Maryland
|
27-3269228
|
|
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
Page
|
||||
PART I. FINANCIAL INFORMATION
|
||||
ITEM 1. Condensed Financial Statements
|
1
|
|||
Balance Sheets as of September 30, 2016 (unaudited) and December 31, 2015
|
1
|
|||
Statements of Operations (unaudited) for the nine and three months ended September 30, 2016 and 2015
|
2
|
|||
Statement of Stockholders' Equity (unaudited) for the nine months ended September 30, 2016
|
3
|
|||
Statements of Cash Flows (unaudited) for the nine months ended September 30, 2016 and 2015
|
4
|
|||
ITEM 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
|
25
|
|||
ITEM 3. Quantitative and Qualitative Disclosures about Market Risk
|
45
|
|||
ITEM 4. Controls and Procedures
|
48
|
|||
PART II. OTHER INFORMATION
|
||||
ITEM 1. Legal Proceedings
|
49
|
|||
ITEM 1A. Risk Factors
|
49
|
|||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
49
|
|||
ITEM 3. Defaults upon Senior Securities
|
49
|
|||
ITEM 4. Mine Safety Disclosures
|
49
|
|||
ITEM 5. Other Information
|
49
|
|||
ITEM 6. Exhibits
|
50
|
|||
SIGNATURES
|
51
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||
CONSOLIDATED BALANCE SHEETS
|
||||||||
($ in thousands, except per share data)
|
||||||||
(Unaudited)
|
||||||||
September 30, 2016
|
December 31, 2015
|
|||||||
ASSETS:
|
||||||||
Mortgage-backed securities, at fair value
|
||||||||
Pledged to counterparties
|
$
|
2,404,113
|
$
|
2,095,574
|
||||
Unpledged
|
97,384
|
62,436
|
||||||
Total mortgage-backed securities
|
2,501,497
|
2,158,010
|
||||||
Cash and cash equivalents
|
110,860
|
57,229
|
||||||
Restricted cash
|
16,881
|
12,730
|
||||||
Accrued interest receivable
|
9,527
|
8,490
|
||||||
Derivative assets, at fair value
|
1,097
|
669
|
||||||
Receivable for securities sold, pledged to counterparties
|
27,509
|
-
|
||||||
Other assets
|
1,100
|
4,709
|
||||||
Total Assets
|
$
|
2,668,471
|
$
|
2,241,837
|
||||
LIABILITIES AND STOCKHOLDERS' EQUITY
|
||||||||
LIABILITIES:
|
||||||||
Repurchase agreements
|
$
|
2,298,097
|
$
|
1,798,813
|
||||
FHLB advances
|
-
|
187,500
|
||||||
Payable for unsettled securities purchased
|
72,343
|
-
|
||||||
Derivative liabilities, at fair value
|
545
|
-
|
||||||
Accrued interest payable
|
1,873
|
863
|
||||||
Due to affiliates
|
480
|
465
|
||||||
Other liabilities
|
737
|
941
|
||||||
Total Liabilities
|
2,374,075
|
1,988,582
|
||||||
COMMITMENTS AND CONTINGENCIES
|
||||||||
STOCKHOLDERS' EQUITY:
|
||||||||
Preferred stock, $0.01 par value; 100,000,000 shares authorized; no shares issued
|
||||||||
and outstanding as of September 30, 2016 and December 31, 2015
|
-
|
-
|
||||||
Common Stock, $0.01 par value; 500,000,000 shares authorized, 26,252,193
|
||||||||
shares issued and outstanding as of September 30, 2016 and 21,749,490 shares issued
|
||||||||
and outstanding as of December 31, 2015
|
263
|
217
|
||||||
Additional paid-in capital
|
294,133
|
253,038
|
||||||
Total Stockholders' Equity
|
294,396
|
253,255
|
||||||
Total Liabilities and Stockholders' Equity
|
$
|
2,668,471
|
$
|
2,241,837
|
||||
See Notes to Consolidated Financial Statements
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||||||||||||
(Unaudited)
|
||||||||||||||||
For the Nine and Three Months Ended September 30, 2016 and 2015
|
||||||||||||||||
($ in thousands, except per share data)
|
||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Interest income
|
$
|
62,059
|
$
|
49,719
|
$
|
22,358
|
$
|
18,352
|
||||||||
Interest expense
|
(10,629
|
)
|
(4,900
|
)
|
(3,979
|
)
|
(2,037
|
)
|
||||||||
Net interest income
|
51,430
|
44,819
|
18,379
|
16,315
|
||||||||||||
Realized gains (losses) on mortgage-backed securities
|
4,482
|
(1,073
|
)
|
229
|
850
|
|||||||||||
Unrealized gains (losses) on mortgage-backed securities
|
5,652
|
(9,029
|
)
|
(2,398
|
)
|
(2,026
|
)
|
|||||||||
(Losses) gains on derivative instruments
|
(32,594
|
)
|
(35,660
|
)
|
6,587
|
(22,506
|
)
|
|||||||||
FHLB stock dividends
|
14
|
-
|
-
|
-
|
||||||||||||
Net portfolio income (loss)
|
28,984
|
(943
|
)
|
22,797
|
(7,367
|
)
|
||||||||||
Expenses:
|
||||||||||||||||
Management fees
|
2,968
|
2,929
|
1,052
|
1,061
|
||||||||||||
Allocated overhead
|
963
|
774
|
336
|
260
|
||||||||||||
Accrued incentive compensation
|
598
|
484
|
212
|
162
|
||||||||||||
Directors' fees and liability insurance
|
763
|
732
|
236
|
250
|
||||||||||||
Audit, legal and other professional fees
|
654
|
493
|
193
|
160
|
||||||||||||
Direct REIT operating expenses
|
426
|
174
|
187
|
86
|
||||||||||||
Other administrative
|
215
|
209
|
55
|
71
|
||||||||||||
Total expenses
|
6,587
|
5,795
|
2,271
|
2,050
|
||||||||||||
Net income (loss)
|
$
|
22,397
|
$
|
(6,738
|
)
|
$
|
20,526
|
$
|
(9,417
|
)
|
||||||
Basic and diluted net income (loss) per share
|
$
|
0.99
|
$
|
(0.34
|
)
|
$
|
0.85
|
$
|
(0.42
|
)
|
||||||
Weighted Average Shares Outstanding
|
22,619,293
|
19,725,675
|
24,133,343
|
22,545,019
|
||||||||||||
Dividends declared per common share
|
$
|
1.26
|
$
|
1.50
|
$
|
0.42
|
$
|
0.42
|
||||||||
See Notes to Consolidated Financial Statements
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||||||||||
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
|
||||||||||||||||
(Unaudited)
|
||||||||||||||||
For the Nine Months Ended September 30, 2016
|
||||||||||||||||
($ in thousands, except per share data)
|
||||||||||||||||
Additional
|
Retained
|
|||||||||||||||
Common
|
Paid-in
|
Earnings
|
||||||||||||||
Stock
|
Capital
|
(Deficit)
|
Total
|
|||||||||||||
Balances, January 1, 2016
|
$
|
217
|
$
|
253,038
|
$
|
-
|
$
|
253,255
|
||||||||
Net income
|
-
|
-
|
22,397
|
22,397
|
||||||||||||
Cash dividends declared, $1.26 per share
|
-
|
(6,467
|
)
|
(22,397
|
)
|
(28,864
|
)
|
|||||||||
Issuance of common stock pursuant to public offerings, net
|
46
|
47,070
|
-
|
47,116
|
||||||||||||
Issuance of common stock pursuant to stock based
|
||||||||||||||||
compensation plan
|
-
|
271
|
-
|
271
|
||||||||||||
Amortization of stock based compensation
|
-
|
221
|
-
|
221
|
||||||||||||
Balances, September 30, 2016
|
$
|
263
|
$
|
294,133
|
$
|
-
|
$
|
294,396
|
||||||||
See Notes to Consolidated Financial Statements
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||||
(Unaudited)
|
||||||||
For the Nine Months Ended September 30, 2016 and 2015
|
||||||||
($ in thousands)
|
||||||||
2016
|
2015
|
|||||||
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||||||
Net income (loss)
|
$
|
22,397
|
$
|
(6,738
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
||||||||
Stock based compensation
|
492
|
364
|
||||||
Realized and unrealized (gains) losses on mortgage-backed securities
|
(10,134
|
)
|
10,102
|
|||||
Realized (gains) losses on interest rate swaptions
|
(36
|
)
|
1,217
|
|||||
Unrealized (gains) losses on interest rate swaps
|
(792
|
)
|
-
|
|||||
Realized losses (gains) on forward settling to-be-announced securities
|
2,385
|
(24
|
)
|
|||||
Changes in operating assets and liabilities:
|
||||||||
Accrued interest receivable
|
(967
|
)
|
(1,973
|
)
|
||||
Other assets
|
(93
|
)
|
(488
|
)
|
||||
Accrued interest payable
|
1,010
|
(176
|
)
|
|||||
Other liabilities
|
(204
|
)
|
9
|
|||||
Due to affiliates
|
15
|
89
|
||||||
NET CASH PROVIDED BY OPERATING ACTIVITIES
|
14,073
|
2,382
|
||||||
CASH FLOWS FROM INVESTING ACTIVITIES:
|
||||||||
From mortgage-backed securities investments:
|
||||||||
Purchases
|
(2,184,709
|
)
|
(2,106,110
|
)
|
||||
Sales
|
1,717,612
|
1,364,754
|
||||||
Principal repayments
|
178,460
|
166,910
|
||||||
Redemption of FHLB stock
|
3,750
|
-
|
||||||
Increase in restricted cash
|
(4,151
|
)
|
(3,444
|
)
|
||||
(Payments on) proceeds from net settlement of to-be-announced securities
|
(2,145
|
)
|
24
|
|||||
Purchase of interest rate swaptions, net of margin cash received
|
705
|
(1,364
|
)
|
|||||
NET CASH USED IN INVESTING ACTIVITIES
|
(290,478
|
)
|
(579,230
|
)
|
||||
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||||||
Proceeds from repurchase agreements
|
22,443,458
|
13,608,591
|
||||||
Principal payments on repurchase agreements
|
(21,944,174
|
)
|
(13,101,943
|
)
|
||||
Principal payments on FHLB advances
|
(187,500
|
)
|
-
|
|||||
Cash dividends
|
(28,864
|
)
|
(29,598
|
)
|
||||
Proceeds from issuance of common stock, net of issuance costs
|
47,116
|
83,275
|
||||||
Common stock repurchases
|
-
|
(9,512
|
)
|
|||||
NET CASH PROVIDED BY FINANCING ACTIVITIES
|
330,036
|
550,813
|
||||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
|
53,631
|
(26,035
|
)
|
|||||
CASH AND CASH EQUIVALENTS, beginning of the period
|
57,229
|
93,137
|
||||||
CASH AND CASH EQUIVALENTS, end of the period
|
$
|
110,860
|
$
|
67,102
|
||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
|
||||||||
Cash paid during the period for:
|
||||||||
Interest
|
$
|
9,619
|
$
|
5,076
|
||||
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING ACTIVITIES:
|
||||||||
Securities acquired settled in later period
|
$
|
72,343
|
$
|
92,325
|
||||
Securities sold settled in later period
|
27,509
|
87,558
|
||||||
See Notes to Consolidated Financial Statements
|
(in thousands)
|
||||||||
September 30, 2016
|
December 31, 2015
|
|||||||
Pass-Through RMBS Certificates:
|
||||||||
Hybrid Adjustable-rate Mortgages
|
$
|
48,764
|
$
|
52,238
|
||||
Adjustable-rate Mortgages
|
2,076
|
2,976
|
||||||
Fixed-rate Mortgages
|
2,332,879
|
2,000,623
|
||||||
Total Pass-Through Certificates
|
2,383,719
|
2,055,837
|
||||||
Structured RMBS Certificates:
|
||||||||
Interest-Only Securities
|
51,174
|
61,574
|
||||||
Inverse Interest-Only Securities
|
66,604
|
40,599
|
||||||
Total Structured RMBS Certificates
|
117,778
|
102,173
|
||||||
Total
|
$
|
2,501,497
|
$
|
2,158,010
|
(in thousands)
|
||||||||
September 30, 2016
|
December 31, 2015
|
|||||||
Greater than one year and less than five years
|
$
|
202
|
$
|
-
|
||||
Greater than five years and less than ten years
|
280
|
835
|
||||||
Greater than or equal to ten years
|
2,501,015
|
2,157,175
|
||||||
Total
|
$
|
2,501,497
|
$
|
2,158,010
|
($ in thousands)
|
||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
||||||||||||||
(1 DAY OR
|
AND
|
AND
|
||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
TOTAL
|
|||||||||||||
September 30, 2016
|
||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
2,379,715
|
$
|
51,561
|
$
|
2,431,276
|
||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||
these securities
|
$
|
-
|
$
|
2,248,871
|
$
|
49,226
|
$
|
2,298,097
|
||||||||
Net weighted average borrowing rate
|
-
|
0.73
|
%
|
0.71
|
%
|
0.73
|
%
|
|||||||||
December 31, 2015
|
||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
1,894,491
|
$
|
14,801
|
$
|
1,909,292
|
||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||
these securities
|
$
|
-
|
$
|
1,789,338
|
$
|
9,475
|
$
|
1,798,813
|
||||||||
Net weighted average borrowing rate
|
-
|
0.64
|
%
|
1.19
|
%
|
0.64
|
%
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
September 30, 2016
|
December 31, 2015
|
||||||
Assets
|
|||||||||
Interest rate swaps
|
Derivative assets, at fair value
|
$
|
1,097
|
$
|
-
|
||||
Receiver swaptions
|
Derivative assets, at fair value
|
-
|
669
|
||||||
Total derivative assets, at fair value
|
$
|
1,097
|
$
|
669
|
|||||
Liabilities
|
|||||||||
Interest rate swaps
|
Derivative liabilities, at fair value
|
$
|
305
|
$
|
-
|
||||
TBA securities
|
Derivative liabilities, at fair value
|
240
|
-
|
||||||
Total derivative liabilities, at fair value
|
$
|
545
|
$
|
-
|
|||||
Margin Balances Posted to Counterparties
|
|||||||||
Futures contracts
|
Restricted cash
|
$
|
3,268
|
$
|
8,483
|
||||
Interest rate swap contracts
|
Restricted cash
|
5,240
|
-
|
||||||
Total margin balances on derivative contracts
|
$
|
8,508
|
$
|
8,483
|
($ in thousands)
|
||||||||||||||||
September 30, 2016
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2016
|
$
|
200,000
|
1.79
|
%
|
0.92
|
%
|
$
|
(432
|
)
|
|||||||
2017
|
200,000
|
2.14
|
%
|
1.00
|
%
|
(2,279
|
)
|
|||||||||
2018
|
200,000
|
2.53
|
%
|
1.14
|
%
|
(2,786
|
)
|
|||||||||
2019
|
200,000
|
2.55
|
%
|
1.22
|
%
|
(665
|
)
|
|||||||||
Total / Weighted Average
|
$
|
200,000
|
2.30
|
%
|
1.07
|
%
|
$
|
(6,162
|
)
|
|||||||
Treasury Note Futures Contracts (Short Position)(2)
|
||||||||||||||||
December 2016 10 year T-Note futures
|
||||||||||||||||
(Dec 2016 - Dec 2026 Hedge Period)
|
$
|
185,000
|
1.44
|
%
|
1.40
|
%
|
$
|
(335
|
)
|
($ in thousands)
|
||||||||||||||||
December 31, 2015
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2016
|
$
|
900,000
|
1.51
|
%
|
0.98
|
%
|
$
|
(4,718
|
)
|
|||||||
2017
|
900,000
|
2.31
|
%
|
1.59
|
%
|
(6,550
|
)
|
|||||||||
2018
|
900,000
|
2.77
|
%
|
1.99
|
%
|
(7,060
|
)
|
|||||||||
2019
|
900,000
|
2.56
|
%
|
2.17
|
%
|
(865
|
)
|
|||||||||
Total / Weighted Average
|
$
|
900,000
|
2.23
|
%
|
1.57
|
%
|
$
|
(19,193
|
)
|
|||||||
Treasury Note Futures Contracts (Short Position)(2)
|
||||||||||||||||
December 2015 10 year T-Note futures
|
||||||||||||||||
(Dec 2015 - Dec 2025 Hedge Period)
|
$
|
185,000
|
1.99
|
%
|
1.95
|
%
|
$
|
1,091
|
(1)
|
(2)
|
T-Note futures contracts were valued at a price of $131.13 at September 30, 2016 and $125.91 at December 31, 2015. The nominal values of the short positions was $242.6 million and $232.9 million at September 30, 2016 and December 31, 2015, respectively.
|
($ in thousands)
|
|||||
Average
|
Net
|
||||
Fixed
|
Average
|
Estimated
|
Average
|
||
Notional
|
Pay
|
Receive
|
Fair
|
Maturity
|
|
Expiration
|
Amount
|
Rate
|
Rate
|
Value
|
(Years)
|
> 3 to ≤ 5 years
|
$600,000
|
1.05%
|
0.80%
|
$792
|
3.4
|
($ in thousands)
|
|||||||
Option
|
Underlying Swap
|
||||||
Weighted
|
Weighted
|
||||||
Average
|
Fixed
|
Receive
|
Average
|
||||
Fair
|
Months to
|
Notional
|
Pay
|
Rate
|
Term
|
||
Expiration
|
Cost
|
Value
|
Expiration
|
Amount
|
Rate
|
(LIBOR)
|
(Years)
|
Receiver Swaptions
|
|||||||
≤ 1 year
|
$1,100
|
$669
|
4.2
|
$100,000
|
1.77%
|
3 Month
|
5.0
|
($ in thousands)
|
||||||||||||||||||||
Notional
|
Net
|
|||||||||||||||||||
Amount
|
Cost
|
Market
|
Carrying
|
|||||||||||||||||
Long (Short)(1)
|
Basis(2)
|
Value(3)
|
Value(4)
|
|||||||||||||||||
30-Year TBA securities:
|
||||||||||||||||||||
4.0
|
%
|
$
|
(100,000
|
)
|
$
|
(107,219
|
)
|
$
|
(107,422
|
)
|
$
|
(203
|
)
|
|||||||
4.5
|
%
|
(46,800
|
)
|
(51,231
|
)
|
(51,268
|
)
|
(37
|
)
|
|||||||||||
$
|
(146,800
|
)
|
$
|
(158,450
|
)
|
$
|
(158,690
|
)
|
$
|
(240
|
)
|
(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)
|
||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Eurodollar futures contracts (short positions)
|
$
|
(17,507
|
)
|
$
|
(26,406
|
)
|
$
|
1,194
|
$
|
(15,446
|
)
|
|||||
T-Note futures contracts (short position)
|
(12,288
|
)
|
(8,061
|
)
|
1,688
|
(7,050
|
)
|
|||||||||
Interest rate swaps
|
(450
|
)
|
-
|
4,179
|
-
|
|||||||||||
Receiver swaptions
|
36
|
-
|
-
|
-
|
||||||||||||
Payer swaptions
|
-
|
(1,217
|
)
|
-
|
(65
|
)
|
||||||||||
Net TBA securities
|
(2,385
|
)
|
24
|
(474
|
)
|
55
|
||||||||||
$
|
(32,594
|
)
|
$
|
(35,660
|
)
|
$
|
6,587
|
$
|
(22,506
|
)
|
(in thousands)
|
||||||||||||||||||||
September 30, 2016
|
||||||||||||||||||||
Repurchase
|
Clearing
|
Derivative
|
Insurance
|
|||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Margin
|
Agreements
|
Capital(1)
|
Total
|
|||||||||||||||
PT RMBS - fair value
|
$
|
2,356,027
|
$
|
-
|
$
|
-
|
$
|
1,235
|
$
|
2,357,262
|
||||||||||
Structured RMBS - fair value
|
66,539
|
8,491
|
-
|
-
|
75,030
|
|||||||||||||||
Accrued interest on pledged securities
|
8,709
|
284
|
-
|
4
|
8,997
|
|||||||||||||||
Restricted cash
|
8,123
|
-
|
8,508
|
250
|
16,881
|
|||||||||||||||
Total
|
$
|
2,439,398
|
$
|
8,775
|
$
|
8,508
|
$
|
1,489
|
$
|
2,458,170
|
(in thousands)
|
||||||||||||||||||||
December 31, 2015
|
||||||||||||||||||||
Repurchase
|
FHLB
|
Derivative
|
Insurance
|
|||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Advances
|
Agreements
|
Capital(1)
|
Total
|
|||||||||||||||
PT RMBS - fair value
|
$
|
1,833,020
|
$
|
191,550
|
$
|
-
|
$
|
1,752
|
$
|
2,026,322
|
||||||||||
Structured RMBS - fair value
|
69,252
|
-
|
-
|
-
|
69,252
|
|||||||||||||||
Accrued interest on pledged securities
|
7,019
|
645
|
-
|
6
|
7,670
|
|||||||||||||||
Restricted cash
|
3,997
|
-
|
8,483
|
250
|
12,730
|
|||||||||||||||
Total
|
$
|
1,913,288
|
$
|
192,195
|
$
|
8,483
|
$
|
2,008
|
$
|
2,115,974
|
(1)
|
(in thousands)
|
||||||||
Assets Pledged to Orchid
|
September 30, 2016
|
December 31, 2015
|
||||||
PT RMBS - fair value
|
$
|
-
|
$
|
167
|
||||
U.S. Treasury securities - fair value
|
201
|
723
|
||||||
Cash
|
217
|
1,421
|
||||||
Total
|
$
|
418
|
$
|
2,311
|
(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
|
|||||||||||||||||||
September 30, 2016
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
1,097
|
$
|
-
|
$
|
1,097
|
$
|
-
|
$
|
(1,097
|
)
|
$
|
-
|
|||||||||||
December 31, 2015
|
||||||||||||||||||||||||
Receiver swaptions
|
$
|
669
|
$
|
-
|
$
|
669
|
$
|
(669
|
)
|
$
|
-
|
$
|
-
|
(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
|
|||||||||||||||||||
September 30, 2016
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
2,298,097
|
$
|
-
|
$
|
2,298,097
|
$
|
(2,289,974
|
)
|
$
|
(8,123
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
305
|
-
|
305
|
-
|
(305
|
)
|
-
|
|||||||||||||||||
$
|
2,298,402
|
$
|
-
|
$
|
2,298,402
|
$
|
(2,289,974
|
)
|
$
|
(8,428
|
)
|
$
|
-
|
|||||||||||
December 31, 2015
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
1,798,813
|
$
|
-
|
$
|
1,798,813
|
$
|
(1,794,816
|
)
|
$
|
(3,997
|
)
|
$
|
-
|
($ in thousands, except per share amounts)
|
|||||||||||||
Weighted
|
|||||||||||||
Average
|
|||||||||||||
Price
|
|||||||||||||
Received
|
Net
|
||||||||||||
Type of Offering
|
Period
|
Per Share(1)
|
Shares
|
Proceeds(2)
|
|||||||||
2016
|
|||||||||||||
At the Market Offering Program(3)
|
Second Quarter
|
$
|
10.48
|
646,753
|
$
|
6,591
|
|||||||
At the Market Offering Program(3)
|
Third Quarter
|
10.80
|
3,818,802
|
40,525
|
|||||||||
4,465,555
|
$
|
47,116
|
|||||||||||
2015
|
|||||||||||||
At the Market Offering Program(3)
|
First Quarter
|
$
|
13.66
|
1,210,487
|
$
|
16,175
|
|||||||
At the Market Offering Program(3)
|
Second Quarter
|
13.65
|
5,024,530
|
67,100
|
|||||||||
6,235,017
|
$
|
83,275
|
(1)
|
(2)
|
Net proceeds are net of the underwriters' discount, if applicable, and other offering costs.
|
(3)
|
The Company has entered into four equity distribution agreements, three of which have been cancelled and replaced with the current agreement, to publicly offer and sell shares of the Company's common stock in at the market and privately negotiated transactions from time to time. As of September 30, 2016, shares with a value of $87.4 million remain available for issuance under the July 2016 Equity Distribution 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 - YTD(1)
|
1.400
|
32,546
|
||||||
Totals
|
$
|
6.875
|
$
|
98,599
|
(1)
|
($ in thousands, except per share data)
|
||||||||||||||||
Nine Months Ended September 30,
|
||||||||||||||||
2016
|
2015
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
16,000
|
$
|
12.23
|
24,000
|
$
|
12.23
|
||||||||||
Granted
|
-
|
-
|
-
|
-
|
||||||||||||
Vested and issued
|
(8,000
|
)
|
12.23
|
(8,000
|
)
|
12.23
|
||||||||||
Unvested, end of period
|
8,000
|
$
|
12.23
|
16,000
|
$
|
12.23
|
||||||||||
Compensation expense during period
|
$
|
73
|
$
|
73
|
||||||||||||
Unrecognized compensation expense, end of period
|
$
|
57
|
$
|
155
|
||||||||||||
Intrinsic value, end of period
|
$
|
83
|
$
|
148
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
0.6
|
1.6
|
($ in thousands, except per share data)
|
||||||||
Nine Months Ended September 30,
|
||||||||
2016
|
2015
|
|||||||
Fully vested shares granted(1)
|
37,695
|
27,295
|
||||||
Weighted average grant date price
|
$
|
10.05
|
$
|
13.08
|
||||
Compensation expense related to fully vested common share awards(2)
|
$
|
379
|
$
|
357
|
(1)
|
(2)
|
Approximately $330,000 of compensation expense related to the 2016 share awards were accrued and recognized in 2015. Approximately $288,000 of compensation expense related to the 2015 share awards were accrued and recognized in 2014.
|
($ in thousands, except per share data)
|
||||||||||||||||
Nine Months Ended September, 30,
|
||||||||||||||||
2016
|
2015
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
7,508
|
$
|
13.32
|
-
|
$
|
-
|
||||||||||
Granted
|
41,500
|
10.00
|
7,508
|
13.32
|
||||||||||||
Forfeited
|
(100
|
)
|
10.00
|
-
|
-
|
|||||||||||
Vested and issued
|
(2,252
|
)
|
13.32
|
-
|
-
|
|||||||||||
Unvested, end of period
|
46,656
|
$
|
10.37
|
7,508
|
$
|
13.32
|
||||||||||
Compensation expense during period
|
$
|
148
|
$
|
34
|
||||||||||||
Unrecognized compensation expense, end of period
|
$
|
320
|
$
|
66
|
||||||||||||
Intrinsic value, end of period
|
$
|
486
|
$
|
69
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
1.6
|
1.6
|
(in thousands, except per-share information)
|
||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Basic and diluted EPS per common share:
|
||||||||||||||||
Numerator for basic and diluted EPS per common share:
|
||||||||||||||||
Net income (loss) - Basic and diluted
|
$
|
22,397
|
$
|
(6,738
|
)
|
$
|
20,526
|
$
|
(9,417
|
)
|
||||||
Weighted average common shares:
|
||||||||||||||||
Common shares outstanding at the balance sheet date
|
26,252
|
21,893
|
26,252
|
21,893
|
||||||||||||
Unvested dividend eligible share based compensation
|
||||||||||||||||
outstanding at the balance sheet date
|
55
|
-
|
55
|
-
|
||||||||||||
Effect of weighting
|
(3,688
|
)
|
(2,167
|
)
|
(2,174
|
)
|
652
|
|||||||||
Weighted average shares-basic and diluted
|
22,619
|
19,726
|
24,133
|
22,545
|
||||||||||||
Net Income (loss) per common share:
|
||||||||||||||||
Basic and diluted
|
$
|
0.99
|
$
|
(0.34
|
)
|
$
|
0.85
|
$
|
(0.42
|
)
|
|
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)
|
|||||||||||||
September 30, 2016
|
||||||||||||||||
Mortgage-backed securities
|
$
|
2,501,497
|
$
|
-
|
$
|
2,501,497
|
$
|
-
|
||||||||
Margin posted on derivative agreements
|
8,508
|
8,508
|
-
|
-
|
||||||||||||
Interest rate swaps
|
792
|
-
|
792
|
-
|
||||||||||||
TBA securities
|
(240
|
)
|
-
|
(240
|
)
|
-
|
||||||||||
December 31, 2015
|
||||||||||||||||
Mortgage-backed securities
|
$
|
2,158,010
|
$
|
-
|
$
|
2,158,010
|
$
|
-
|
||||||||
Margin posted on derivative agreements
|
8,483
|
8,483
|
-
|
-
|
||||||||||||
Receiver swaptions
|
669
|
-
|
669
|
-
|
|
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 investments in Agency RMBS;
|
|
recent actions taken by the Federal Reserve 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)
|
||||||||||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended, September 30,
|
|||||||||||||||||||||||
2016
|
2015
|
Change
|
2016
|
2015
|
Change
|
|||||||||||||||||||
Interest income
|
$
|
62,059
|
$
|
49,719
|
$
|
12,340
|
$
|
22,358
|
$
|
18,352
|
$
|
4,006
|
||||||||||||
Interest expense
|
(10,629
|
)
|
(4,900
|
)
|
(5,729
|
)
|
(3,979
|
)
|
(2,037
|
)
|
(1,942
|
)
|
||||||||||||
Net interest income
|
51,430
|
44,819
|
6,611
|
18,379
|
16,315
|
2,064
|
||||||||||||||||||
Losses on RMBS and derivative contracts
|
(22,446
|
)
|
(45,762
|
)
|
23,316
|
4,418
|
(23,682
|
)
|
28,100
|
|||||||||||||||
Net portfolio income (loss)
|
28,984
|
(943
|
)
|
29,927
|
22,797
|
(7,367
|
)
|
30,164
|
||||||||||||||||
Expenses
|
(6,587
|
)
|
(5,795
|
)
|
(792
|
)
|
(2,271
|
)
|
(2,050
|
)
|
(221
|
)
|
||||||||||||
Net income (loss)
|
$
|
22,397
|
$
|
(6,738
|
)
|
$
|
29,135
|
$
|
20,526
|
$
|
(9,417
|
)
|
$
|
29,943
|
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
|
(Non-GAAP)
|
(Non-GAAP)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
September 30, 2016
|
$
|
6,587
|
$
|
(474
|
)
|
$
|
(2,660
|
)
|
$
|
9,721
|
||||||
June 30, 2016
|
(11,591
|
)
|
(786
|
)
|
(2,210
|
)
|
(8,595
|
)
|
||||||||
March 31, 2016
|
(27,590
|
)
|
(1,125
|
)
|
(1,933
|
)
|
(24,532
|
)
|
||||||||
December 31, 2015
|
12,770
|
362
|
(1,196
|
)
|
13,604
|
|||||||||||
September 30, 2015
|
(22,506
|
)
|
55
|
(881
|
)
|
(21,680
|
)
|
|||||||||
June 30, 2015
|
(803
|
)
|
(88
|
)
|
(595
|
)
|
(120
|
)
|
||||||||
March 31, 2015
|
(12,351
|
)
|
57
|
(306
|
)
|
(12,102
|
)
|
|||||||||
Nine Months Ended
|
||||||||||||||||
September 30, 2016
|
$
|
(32,594
|
)
|
$
|
(2,385
|
)
|
$
|
(6,803
|
)
|
$
|
(23,406
|
)
|
||||
September 30, 2015
|
(35,660
|
)
|
24
|
(1,782
|
)
|
(33,902
|
)
|
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
|
||||||||||||||||||||||||
September 30, 2016
|
$
|
22,358
|
$
|
3,979
|
$
|
(2,660
|
)
|
$
|
6,639
|
$
|
18,379
|
$
|
15,719
|
|||||||||||
June 30, 2016
|
19,235
|
3,330
|
(2,210
|
)
|
5,540
|
15,905
|
13,695
|
|||||||||||||||||
March 31, 2016
|
20,466
|
3,319
|
(1,933
|
)
|
5,252
|
17,147
|
15,214
|
|||||||||||||||||
December 31, 2015
|
19,092
|
2,371
|
(1,196
|
)
|
3,567
|
16,721
|
15,525
|
|||||||||||||||||
September 30, 2015
|
18,352
|
2,037
|
(881
|
)
|
2,918
|
16,315
|
15,434
|
|||||||||||||||||
June 30, 2015
|
16,753
|
1,567
|
(595
|
)
|
2,162
|
15,186
|
14,591
|
|||||||||||||||||
March 31, 2015
|
14,614
|
1,296
|
(306
|
)
|
1,602
|
13,318
|
13,012
|
|||||||||||||||||
Nine Months Ended
|
||||||||||||||||||||||||
September 30, 2016
|
$
|
62,059
|
$
|
10,629
|
$
|
(6,803
|
)
|
$
|
17,431
|
$
|
51,430
|
44,628
|
||||||||||||
September 30, 2015
|
49,719
|
4,900
|
(1,782
|
)
|
6,682
|
44,819
|
43,037
|
(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
|
||||||||||||||||||||||||||||||||
September 30, 2016
|
$
|
2,362,377
|
$
|
22,358
|
3.79
|
%
|
$
|
2,179,462
|
$
|
3,979
|
$
|
6,639
|
0.73
|
%
|
1.22
|
%
|
||||||||||||||||
June 30, 2016
|
2,100,151
|
19,235
|
3.66
|
%
|
2,000,158
|
3,330
|
5,540
|
0.67
|
%
|
1.11
|
%
|
|||||||||||||||||||||
March 31, 2016
|
2,067,527
|
20,466
|
3.96
|
%
|
1,962,901
|
3,319
|
5,252
|
0.68
|
%
|
1.07
|
%
|
|||||||||||||||||||||
December 31, 2015
|
2,137,810
|
19,092
|
3.57
|
%
|
1,964,806
|
2,371
|
3,567
|
0.48
|
%
|
0.73
|
%
|
|||||||||||||||||||||
September 30, 2015
|
2,146,240
|
18,352
|
3.42
|
%
|
1,978,685
|
2,037
|
2,918
|
0.41
|
%
|
0.59
|
%
|
|||||||||||||||||||||
June 30, 2015
|
1,925,746
|
16,753
|
3.48
|
%
|
1,736,781
|
1,567
|
2,162
|
0.36
|
%
|
0.50
|
%
|
|||||||||||||||||||||
March 31, 2015
|
1,612,896
|
14,614
|
3.62
|
%
|
1,448,071
|
1,296
|
1,602
|
0.36
|
%
|
0.44
|
%
|
|||||||||||||||||||||
Nine Months Ended
|
||||||||||||||||||||||||||||||||
September 30, 2016
|
$
|
2,176,685
|
$
|
62,059
|
3.80
|
%
|
$
|
2,047,507
|
$
|
10,628
|
$
|
17,431
|
0.69
|
%
|
1.14
|
%
|
||||||||||||||||
September 30, 2015
|
1,894,961
|
49,719
|
3.50
|
%
|
1,721,179
|
4,900
|
6,682
|
0.38
|
%
|
0.52
|
%
|
($ in thousands)
|
||||||||||||||||
Net Interest Income
|
Net Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Basis
|
Basis(2)
|
Basis
|
Basis(4)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
September 30, 2016
|
$
|
18,379
|
$
|
15,719
|
3.06
|
%
|
2.57
|
%
|
||||||||
June 30, 2016
|
15,905
|
13,695
|
2.99
|
%
|
2.55
|
%
|
||||||||||
March 31, 2016
|
17,147
|
15,214
|
3.28
|
%
|
2.89
|
%
|
||||||||||
December 31, 2015
|
16,721
|
15,525
|
3.09
|
%
|
2.84
|
%
|
||||||||||
September 30, 2015
|
16,315
|
15,434
|
3.01
|
%
|
2.83
|
%
|
||||||||||
June 30, 2015
|
15,186
|
14,591
|
3.12
|
%
|
2.98
|
%
|
||||||||||
March 31, 2015
|
13,318
|
13,012
|
3.26
|
%
|
3.18
|
%
|
||||||||||
Nine Months Ended
|
||||||||||||||||
September 30, 2016
|
$
|
51,430
|
$
|
44,628
|
3.11
|
%
|
2.66
|
%
|
||||||||
September 30, 2015
|
44,819
|
43,037
|
3.12
|
%
|
2.98
|
%
|
(1)
|
Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 31 and 32 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 32 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
|
|||||||||||||||||||||||||||||||
RMBS
|
RMBS
|
Total
|
RMBS
|
RMBS
|
Total
|
RMBS
|
RMBS
|
Total
|
||||||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||||||
September 30, 2016
|
$
|
2,257,480
|
$
|
104,897
|
$
|
2,362,377
|
$
|
21,898
|
$
|
460
|
$
|
22,358
|
3.88
|
%
|
1.75
|
%
|
3.79
|
%
|
||||||||||||||||||
June 30, 2016
|
2,006,392
|
93,759
|
2,100,151
|
19,072
|
163
|
19,235
|
3.80
|
%
|
0.70
|
%
|
3.66
|
%
|
||||||||||||||||||||||||
March 31, 2016
|
1,968,690
|
98,837
|
2,067,527
|
19,682
|
784
|
20,466
|
4.00
|
%
|
3.17
|
%
|
3.96
|
%
|
||||||||||||||||||||||||
December 31, 2015
|
2,034,623
|
103,187
|
2,137,810
|
19,337
|
(245
|
)
|
19,092
|
3.80
|
%
|
(0.95
|
)%
|
3.57
|
%
|
|||||||||||||||||||||||
September 30, 2015
|
2,033,494
|
112,746
|
2,146,240
|
18,642
|
(290
|
)
|
18,352
|
3.67
|
%
|
(1.03
|
)%
|
3.42
|
%
|
|||||||||||||||||||||||
June 30, 2015
|
1,824,893
|
100,853
|
1,925,746
|
16,549
|
204
|
16,753
|
3.63
|
%
|
0.81
|
%
|
3.48
|
%
|
||||||||||||||||||||||||
March 31, 2015
|
1,541,497
|
71,399
|
1,612,896
|
14,629
|
(15
|
)
|
14,614
|
3.80
|
%
|
(0.09
|
)%
|
3.62
|
%
|
|||||||||||||||||||||||
Nine Months Ended
|
||||||||||||||||||||||||||||||||||||
September 30, 2016
|
$
|
2,077,521
|
$
|
99,164
|
$
|
2,176,685
|
$
|
60,652
|
$
|
1,407
|
$
|
62,059
|
3.89
|
%
|
1.89
|
%
|
3.80
|
%
|
||||||||||||||||||
September 30, 2015
|
1,799,962
|
94,999
|
1,894,961
|
49,820
|
(101
|
)
|
49,719
|
3.69
|
%
|
(0.14
|
)%
|
3.50
|
%
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Balance of
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Borrowings
|
Basis
|
Basis
|
Basis
|
Basis
|
||||||||||||||||
Three Months Ended
|
||||||||||||||||||||
September 30, 2016
|
$
|
2,179,462
|
$
|
3,979
|
$
|
6,639
|
0.73
|
%
|
1.22
|
%
|
||||||||||
June 30, 2016
|
2,000,158
|
3,330
|
5,540
|
0.67
|
%
|
1.11
|
%
|
|||||||||||||
March 31, 2016
|
1,962,901
|
3,319
|
5,252
|
0.68
|
%
|
1.07
|
%
|
|||||||||||||
December 31, 2015
|
1,964,806
|
2,371
|
3,567
|
0.48
|
%
|
0.73
|
%
|
|||||||||||||
September 30, 2015
|
1,978,685
|
2,037
|
2,918
|
0.41
|
%
|
0.59
|
%
|
|||||||||||||
June 30, 2015
|
1,736,781
|
1,567
|
2,162
|
0.36
|
%
|
0.50
|
%
|
|||||||||||||
March 31, 2015
|
1,448,071
|
1,296
|
1,602
|
0.36
|
%
|
0.44
|
%
|
|||||||||||||
Nine Months Ended
|
||||||||||||||||||||
September 30, 2016
|
$
|
2,047,507
|
$
|
10,628
|
$
|
17,431
|
0.69
|
%
|
1.14
|
%
|
||||||||||
September 30, 2015
|
1,721,179
|
4,900
|
6,682
|
0.38
|
%
|
0.52
|
%
|
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
|
||||||||
September 30, 2016
|
0.49%
|
1.09%
|
0.24%
|
(0.36)%
|
0.73%
|
0.13%
|
||
June 30, 2016
|
0.44%
|
0.92%
|
0.23%
|
(0.25)%
|
0.67%
|
0.19%
|
||
March 31, 2016
|
0.40%
|
0.84%
|
0.28%
|
(0.16)%
|
0.67%
|
0.23%
|
||
December 31, 2015
|
0.28%
|
0.65%
|
0.20%
|
(0.17)%
|
0.45%
|
0.08%
|
||
September 30, 2015
|
0.19%
|
0.49%
|
0.22%
|
(0.08)%
|
0.40%
|
0.10%
|
||
June 30, 2015
|
0.18%
|
0.40%
|
0.18%
|
(0.04)%
|
0.32%
|
0.10%
|
||
March 31, 2015
|
0.17%
|
0.35%
|
0.19%
|
0.01%
|
0.27%
|
0.09%
|
||
Nine Months Ended
|
||||||||
September 30, 2016
|
0.44%
|
0.95%
|
0.25%
|
(0.26)%
|
0.70%
|
0.19%
|
||
September 30, 2015
|
0.18%
|
0.41%
|
0.20%
|
(0.03)%
|
0.34%
|
0.11%
|
(in thousands)
|
||||||||||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended September 30,
|
|||||||||||||||||||||||
2016
|
2015
|
Change
|
2016
|
2015
|
Change
|
|||||||||||||||||||
Realized gains (losses) on sales of RMBS
|
$
|
4,482
|
$
|
(1,073
|
)
|
$
|
5,555
|
$
|
229
|
$
|
850
|
$
|
(621
|
)
|
||||||||||
Unrealized gains (losses) on RMBS
|
5,652
|
(9,029
|
)
|
14,681
|
(2,398
|
)
|
(2,026
|
)
|
(372
|
)
|
||||||||||||||
Total gains (losses) on RMBS
|
10,134
|
(10,102
|
)
|
20,236
|
(2,169
|
)
|
(1,176
|
)
|
(993
|
)
|
||||||||||||||
Losses on interest rate futures
|
(29,795
|
)
|
(34,467
|
)
|
4,672
|
2,882
|
(22,496
|
)
|
25,378
|
|||||||||||||||
Losses on interest rate swaps
|
(450
|
)
|
-
|
(450
|
)
|
4,179
|
-
|
4,179
|
||||||||||||||||
Gains (losses) on payer swaptions
|
36
|
(1,217
|
)
|
1,253
|
-
|
(65
|
)
|
65
|
||||||||||||||||
(Losses) gains on TBA securities
|
(2,385
|
)
|
24
|
(2,409
|
)
|
(474
|
)
|
55
|
(529
|
)
|
15 Year
|
30 Year
|
Three
|
|||
5 Year
|
10 Year
|
Fixed-Rate
|
Fixed-Rate
|
Month
|
|
Treasury Rate(1)
|
Treasury Rate(1)
|
Mortgage Rate(2)
|
Mortgage Rate(2)
|
LIBOR(3)
|
|
September 30, 2016
|
1.16%
|
1.61%
|
2.76%
|
3.46%
|
0.85%
|
June 30, 2016
|
1.01%
|
1.49%
|
2.84%
|
3.57%
|
0.65%
|
March 31, 2016
|
1.22%
|
1.79%
|
2.97%
|
3.69%
|
0.63%
|
December 31, 2015
|
1.76%
|
2.27%
|
3.21%
|
3.96%
|
0.54%
|
September 30, 2015
|
1.38%
|
2.06%
|
3.10%
|
3.89%
|
0.33%
|
June 30, 2015
|
1.63%
|
2.34%
|
3.19%
|
3.98%
|
0.28%
|
March 31, 2015
|
1.38%
|
1.93%
|
3.04%
|
3.77%
|
0.27%
|
(1)
|
Historical 5 and 10 Year 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 are obtained from the Intercontinental Exchange Benchmark Administration Ltd.
|
(in thousands)
|
||||||||||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended September 30,
|
|||||||||||||||||||||||
2016
|
2015
|
Change
|
2016
|
2015
|
Change
|
|||||||||||||||||||
Management fees
|
$
|
2,968
|
$
|
2,929
|
$
|
39
|
$
|
1,052
|
$
|
1,061
|
$
|
(9
|
)
|
|||||||||||
Overhead allocation
|
963
|
774
|
189
|
336
|
260
|
76
|
||||||||||||||||||
Accrued incentive compensation
|
598
|
484
|
114
|
212
|
162
|
50
|
||||||||||||||||||
Directors fees and liability insurance
|
763
|
732
|
31
|
236
|
250
|
(14
|
)
|
|||||||||||||||||
Audit, legal and other professional fees
|
654
|
493
|
161
|
193
|
160
|
33
|
||||||||||||||||||
Other direct REIT operating expenses
|
426
|
174
|
252
|
187
|
86
|
101
|
||||||||||||||||||
Other expenses
|
215
|
209
|
6
|
55
|
71
|
(16
|
)
|
|||||||||||||||||
Total expenses
|
$
|
6,587
|
$
|
5,795
|
$
|
792
|
$
|
2,271
|
$
|
2,050
|
$
|
221
|
|
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 $500 million.
|
Structured
|
|||
PT RMBS
|
RMBS
|
Total
|
|
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
September 30, 2016
|
8.9
|
17.9
|
11.7
|
June 30, 2016
|
8.4
|
15.9
|
11.0
|
March 31, 2016
|
5.5
|
12.4
|
8.2
|
December 31, 2015
|
6.8
|
13.4
|
9.0
|
September 30, 2015
|
6.1
|
16.2
|
10.2
|
June 30, 2015
|
13.8
|
17.9
|
15.3
|
March 31, 2015
|
8.1
|
14.6
|
9.7
|
($ 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
|
|||||||||||||||||||||
September 30, 2016
|
|||||||||||||||||||||||||||||
Adjustable Rate RMBS
|
$
|
2,076
|
0.1
|
%
|
3.46
|
%
|
222
|
1-Sep-35
|
8.08
|
10.05
|
%
|
2.00
|
%
|
||||||||||||||||
Fixed Rate RMBS
|
2,332,879
|
93.3
|
%
|
4.23
|
%
|
318
|
1-Sep-46
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Hybrid Adjustable Rate RMBS
|
48,764
|
1.9
|
%
|
2.55
|
%
|
316
|
1-Aug-43
|
76.08
|
7.55
|
%
|
2.00
|
%
|
|||||||||||||||||
Total Mortgage-backed Pass-through
|
2,383,719
|
95.3
|
%
|
4.19
|
%
|
318
|
1-Sep-46
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Interest-Only Securities
|
51,174
|
2.0
|
%
|
3.53
|
%
|
226
|
25-Apr-45
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Inverse Interest-Only Securities
|
66,604
|
2.7
|
%
|
5.65
|
%
|
336
|
25-Sep-46
|
NA
|
6.17
|
%
|
NA
|
||||||||||||||||||
Total Structured RMBS
|
117,778
|
4.7
|
%
|
4.73
|
%
|
288
|
25-Sep-46
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Total Mortgage Assets
|
$
|
2,501,497
|
100.0
|
%
|
4.22
|
%
|
316
|
25-Sep-46
|
NA
|
NA
|
NA
|
||||||||||||||||||
December 31, 2015
|
|||||||||||||||||||||||||||||
Adjustable Rate RMBS
|
$
|
2,976
|
0.1
|
%
|
3.63
|
%
|
224
|
1-Sep-35
|
4.10
|
10.04
|
%
|
2.00
|
%
|
||||||||||||||||
Fixed Rate RMBS
|
2,000,623
|
92.7
|
%
|
4.22
|
%
|
315
|
1-Dec-45
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Hybrid Adjustable Rate RMBS
|
52,238
|
2.4
|
%
|
2.55
|
%
|
325
|
1-Aug-43
|
84.93
|
7.55
|
%
|
2.00
|
%
|
|||||||||||||||||
Total Mortgage-backed Pass-through
|
2,055,837
|
95.2
|
%
|
4.18
|
%
|
315
|
1-Dec-45
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Interest-Only Securities
|
61,574
|
2.9
|
%
|
3.58
|
%
|
250
|
25-Apr-45
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Inverse Interest-Only Securities
|
40,599
|
1.9
|
%
|
5.97
|
%
|
320
|
15-Apr-45
|
NA
|
6.36
|
%
|
NA
|
||||||||||||||||||
Total Structured RMBS
|
102,173
|
4.8
|
%
|
4.53
|
%
|
278
|
25-Apr-45
|
NA
|
NA
|
NA
|
|||||||||||||||||||
Total Mortgage Assets
|
$
|
2,158,010
|
100.0
|
%
|
4.19
|
%
|
313
|
1-Dec-45
|
NA
|
NA
|
NA
|
($ in thousands)
|
||||||||||||||||
September 30, 2016
|
December 31, 2015
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
1,967,076
|
78.6
|
%
|
$
|
1,747,699
|
81.0
|
%
|
||||||||
Freddie Mac
|
526,476
|
21.0
|
%
|
394,256
|
18.3
|
%
|
||||||||||
Ginnie Mae
|
7,945
|
0.4
|
%
|
16,055
|
0.7
|
%
|
||||||||||
Total Portfolio
|
$
|
2,501,497
|
100.0
|
%
|
$
|
2,158,010
|
100.0
|
%
|
September 30, 2016
|
December 31, 2015
|
|||||||
Weighted Average Pass-through Purchase Price
|
$
|
109.09
|
$
|
108.05
|
||||
Weighted Average Structured Purchase Price
|
$
|
15.02
|
$
|
14.18
|
||||
Weighted Average Pass-through Current Price
|
$
|
110.36
|
$
|
107.56
|
||||
Weighted Average Structured Current Price
|
$
|
13.60
|
$
|
14.17
|
||||
Effective Duration (1)
|
2.438
|
2.753
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 bps change in rates. An effective duration of 2.438 indicates that an interest rate increase of 1.0% would be expected to cause a 2.438% decrease in the value of the RMBS in the Company's investment portfolio at September 30, 2016. An effective duration of 2.753 indicates that an interest rate increase of 1.0% would be expected to cause a 2.753% decrease in the value of the RMBS in the Company's investment portfolio at December 31, 2015. 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)
|
||||||||||||||||||||||||
2016
|
2015
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
Pass-through RMBS
|
$
|
2,204,085
|
$
|
109.70
|
2.24
|
%
|
$
|
2,138,728
|
$
|
107.69
|
2.50
|
%
|
||||||||||||
Structured RMBS
|
52,897
|
18.03
|
5.46
|
%
|
59,582
|
14.55
|
2.80
|
%
|
($ in thousands)
|
||||||||||||||||
Difference Between Ending
|
||||||||||||||||
Ending
|
Average
|
Borrowings and
|
||||||||||||||
Balance of
|
Balance of
|
Average Borrowings
|
||||||||||||||
Three Months Ended
|
Borrowings
|
Borrowings
|
Amount
|
Percent
|
||||||||||||
September 30, 2016
|
$
|
2,298,097
|
$
|
2,179,462
|
$
|
118,635
|
5.44
|
%
|
||||||||
June 30, 2016
|
2,060,827
|
2,000,158
|
60,669
|
3.03
|
%
|
|||||||||||
March 31, 2016
|
1,939,489
|
1,962,901
|
(23,412
|
)
|
(1.19
|
)%
|
||||||||||
December 31, 2015
|
1,986,313
|
1,964,806
|
21,507
|
1.09
|
%
|
|||||||||||
September 30, 2015
|
1,943,299
|
1,978,685
|
(35,386
|
)
|
(1.79
|
)%
|
||||||||||
June 30, 2015
|
2,014,071
|
1,736,781
|
277,290
|
15.97
|
%(1)
|
|||||||||||
March 31, 2015
|
1,459,490
|
1,448,071
|
11,419
|
0.79
|
%
|
(1)
|
The higher ending balance relative to the average balance during the quarter ended June 30, 2015 reflects the deployment of the proceeds, on a leveraged basis, of the Company's share issuances under the March 2015 Equity Distribution Agreement. During the quarter ended June 30, 2015, the Company's investment in PT RMBS increased $457.4 million.
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$
|
2,298,097
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,298,097
|
||||||||||
Interest expense on repurchase agreements(1)
|
2,440
|
-
|
-
|
-
|
2,440
|
|||||||||||||||
Unsettled securities purchased
|
72,343
|
-
|
-
|
-
|
72,343
|
|||||||||||||||
Totals
|
$
|
2,372,880
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,372,880
|
(1)
|
Interest expense on repurchase agreements is based on current interest rates as of September 30, 2016 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 - YTD(1)
|
1.400
|
32,546
|
||||||
Totals
|
$
|
6.875
|
$
|
98,599
|
(1)
|
On October 12, 2016, the Company declared a dividend of $0.14 per share to be paid on October 31, 2016. The effect of this dividend is included in the table above but is not reflected in the Company's financial statements as of September 30, 2016.
|
Interest Rate Sensitivity(1)
|
||||||
Portfolio
|
||||||
Market
|
Book
|
|||||
Change in Interest Rate
|
Value(2)(3)
|
Value(2)(4)
|
||||
As of September 30, 2016
|
||||||
-100 Basis Points
|
(0.34)%
|
(2.92)%
|
||||
-50 Basis Points
|
0.09%
|
0.79%
|
||||
+50 Basis Points
|
(0.73)%
|
(6.21)%
|
||||
+100 Basis Points
|
(1.98)%
|
(16.83)%
|
||||
As of December 31, 2015
|
||||||
-100 Basis Points
|
(0.03)%
|
(0.21)%
|
||||
-50 Basis Points
|
0.20%
|
1.75%
|
||||
+50 Basis Points
|
(0.72)%
|
(6.16)%
|
||||
+100 Basis Points
|
(2.10)%
|
(17.90)%
|
(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.
|
3.1
|
Articles of Amendment and Restatement of Orchid Island Capital, Inc. (filed as Exhibit 3.1 to the Company's Registration Statement on Amendment No. 1 to Form S-11 (File No.333-184538) filed on November 28, 2012 and incorporated herein by reference).
|
||
3.2
|
Amended and Restated Bylaws of Orchid Island Capital, Inc. (filed as Exhibit 3.2 to the Company's Registration Statement on Amendment No. 1 to Form S-11 (File No.333-184538) filed on November 28, 2012 and incorporated herein by reference).
|
||
10.1
|
Equity Distribution Agreement, dated July 29, 2016, by and between the Orchid Island Capital, Inc., Bimini Advisors, LLC, Ladenberg Thalmann & Co., Inc. and MUFG Securities Americas, Inc. (filed as Exhibit 1.1 to the Registrant's current report on Form 8-K filed with the Securities Exchange Commission on July 29, 2016, and incorporated herein by reference).
|
||
31.1
|
Certification of Robert E. Cauley, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
|
||
31.2
|
Certification of G. Hunter Haas, IV, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
|
||
32.1
|
Certification of Robert E. Cauley, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
|
||
32.2
|
Certification of G. Hunter Haas, IV, Chief Financial Officer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
|
Exhibit 101.INS XBRL
|
Instance Document ***
|
||
Exhibit 101.SCH XBRL
|
Taxonomy Extension Schema Document ***
|
||
Exhibit 101.CAL XBRL
|
Taxonomy Extension Calculation Linkbase Document***
|
||
Exhibit 101.DEF XBRL
|
Additional Taxonomy Extension Definition Linkbase Document Created***
|
||
Exhibit 101.LAB XBRL
|
Taxonomy Extension Label Linkbase Document ***
|
||
Exhibit 101.PRE XBRL
|
Taxonomy Extension Presentation Linkbase Document ***
|
* | Filed herewith. |
** | Furnished herewith. |
*** | Submitted electronically herewith. |
Orchid Island Capital, Inc.
|
||||
Registrant
|
||||
Date: November 1, 2016
|
By:
|
/s/ Robert E. Cauley
|
||
Robert E. Cauley
Chief Executive Officer, President and Chairman of the Board
|
||||
Date: November 1, 2016
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By:
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/s/ G. Hunter Haas, IV
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||
G. Hunter Haas, IV
Secretary, Chief Financial Officer, Chief Investment Officer and Director (Principal Financial and Accounting Officer)
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3.1
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Articles of Amendment and Restatement of Orchid Island Capital, Inc. (filed as Exhibit 3.1 to the Company's Registration Statement on Amendment No. 1 to Form S-11 (File No.333-184538) filed on November 28, 2012 and incorporated herein by reference).
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3.2
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Amended and Restated Bylaws of Orchid Island Capital, Inc. (filed as Exhibit 3.2 to the Company's Registration Statement on Amendment No. 1 to Form S-11 (File No.333-184538) filed on November 28, 2012 and incorporated herein by reference).
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10.1
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Equity Distribution Agreement, dated July 29, 2016, by and between the Orchid Island Capital, Inc., Bimini Advisors, LLC, Ladenberg Thalmann & Co., Inc. and MUFG Securities Americas, Inc. (filed as Exhibit 1.1 to the Registrant's current report on Form 8-K filed with the Securities Exchange Commission on July 29, 2016, and incorporated herein by reference).
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31.1
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Certification of Robert E. Cauley, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
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31.2
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Certification of G. Hunter Haas, IV, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
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32.1
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Certification of Robert E. Cauley, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
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32.2
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Certification of G. Hunter Haas, IV, Chief Financial Officer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
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Exhibit 101.INS XBRL
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Instance Document ***
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Exhibit 101.SCH XBRL
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Taxonomy Extension Schema Document ***
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||
Exhibit 101.CAL XBRL
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Taxonomy Extension Calculation Linkbase Document***
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||
Exhibit 101.DEF XBRL
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Additional Taxonomy Extension Definition Linkbase Document Created***
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Exhibit 101.LAB XBRL
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Taxonomy Extension Label Linkbase Document ***
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||
Exhibit 101.PRE XBRL
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Taxonomy Extension Presentation Linkbase Document ***
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* | Filed herewith. |
** | Furnished herewith. |
*** | Submitted electronically herewith. |
1.
|
I have reviewed this quarterly report on Form 10-Q of Orchid Island Capital, Inc. (the "registrant");
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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: November 1, 2016
|
|
/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: November 1, 2016
|
|
/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.
|
November 1, 2016
|
/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.
|
November 1, 2016
|
/s/ G. Hunter Haas, IV
|
|
G. Hunter Haas, IV
Chief Financial Officer
|
On October 12 , 2016, the Company declared a dividend of $0.14 per share to be paid on October 31 , 2016. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of September 30, 2016 .
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Document and Entity Information - shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Nov. 01, 2016 |
|
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2016 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | Orchid Island Capital, Inc. | |
Entity Central Index Key | 0001518621 | |
Entity Current Reporting Status | Yes | |
Entity Voluntary Filers | No | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Well Known Seasoned Issuer | No | |
Entity Common Stock Shares Outstanding | 26,252,193 | |
Trading Symbol | ORC |
Consolidated Balance Sheets (Parentheticals) - $ / shares |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Statement Of Financial Position [Abstract] | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Shares Issued | 0 | 0 |
Preferred Shares Outstanding | 0 | 0 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock Shares Authorized | 500,000,000 | 500,000,000 |
Common Shares Issued | 26,252,193 | 21,749,490 |
Common Shares Outstanding | 26,252,193 | 21,749,490 |
Consolidated Statements of Operations - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Portfolio Income | ||||
Interest income | $ 22,358,000 | $ 18,352,000 | $ 62,059,000 | $ 49,719,000 |
Interest expense | 3,979,000 | 2,037,000 | 10,629,000 | 4,900,000 |
Net interest income | 18,379,000 | 16,315,000 | 51,430,000 | 44,819,000 |
Realized gains (losses) on mortgage-backed securities | 229,000 | 850,000 | 4,482,000 | (1,073,000) |
Unrealized gains (losses) on mortgage-backed securities | (2,398,000) | (2,026,000) | 5,652,000 | (9,029,000) |
(Losses) gains on derivative instruments | 6,587,000 | (22,506,000) | (32,594,000) | (35,660,000) |
FHLB stock dividends | 0 | 0 | 14,000 | 0 |
Net portfolio income | 22,797,000 | (7,367,000) | 28,984,000 | (943,000) |
Expenses | ||||
Management Fees | 1,052,000 | 1,061,000 | 2,968,000 | 2,929,000 |
Allocated Overhead | 336,000 | 260,000 | 963,000 | 774,000 |
Compensation and related benefits | 212,000 | 162,000 | 598,000 | 484,000 |
Directors fees and liability insurance | 236,000 | 250,000 | 763,000 | 732,000 |
Audit, legal and other professional fees | 193,000 | 160,000 | 654,000 | 493,000 |
Direct REIT operating expenses | 187,000 | 86,000 | 426,000 | 174,000 |
Other administrative | 55,000 | 71,000 | 215,000 | 209,000 |
Total expenses | 2,271,000 | 2,050,000 | 6,587,000 | 5,795,000 |
Net income (loss) | $ 20,526,000 | $ (9,417,000) | $ 22,397,000 | $ (6,738,000) |
Basic and diluted net income (loss) per share | ||||
Basic | $ 0.85 | $ (0.42) | $ 0.99 | $ (0.34) |
Diluted | $ 0.85 | $ (0.42) | $ 0.99 | $ (0.34) |
Weighted Average Shares Outstanding | ||||
Weighted Average Number Of Basic Shares Outstanding | 24,133,343 | 22,545,019 | 22,619,293 | 19,725,675 |
Weighted Average Number Of Diluted Shares Outstanding | 24,133,343 | 22,545,019 | 22,619,293 | 19,725,675 |
Dividends Declared Per Common Share | $ 0.42 | $ 0.42 | $ 1.26 | $ 1.5 |
Consolidated Statement of Stockholders' Equity - 9 months ended Sep. 30, 2016 - USD ($) |
Total |
Common Stock [Member] |
Additional Paid In Capital [Member] |
Retained Earnings [Member] |
---|---|---|---|---|
Balances at Dec. 31, 2015 | $ 253,255,000 | $ 217,000 | $ 253,038,000 | $ 0 |
Increase (Decrease) in Stockholders' Equity | ||||
Net loss | 22,397,000 | 0 | 0 | 22,397,000 |
Cash dividend declared | (28,864,000) | 0 | (6,467,000) | (22,397,000) |
Stock Issued During Period, Value, New Issues | 47,116,000 | 46,000 | 47,070,000 | 0 |
Issuance of common shares pursuant to equity compensation plan | 271,000 | 0 | 271,000 | 0 |
Amortization of equity plan compensation | 221,000 | 0 | 221,000 | 0 |
Balances at Sep. 30, 2016 | $ 294,396,000 | $ 263,000 | $ 294,133,000 | $ 0 |
Statement of Stockholders' Equity (Parentheticals) - $ / shares |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Statement Of Stockholders Equity [Abstract] | ||||
Dividends Declared Per Common Share | $ 0.42 | $ 0.42 | $ 1.26 | $ 1.5 |
Organization and Significant Accounting Policies |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | Organization and Business Description Orchid Island Capital, Inc. (“Orchid” or the “Company”), was incorporated in Maryland on August 17, 2010 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (“RMBS”). From incorporation to February 20, 2013 Orchid was a wholly owned subsidiary of Bimini Capital Management, Inc. (“Bimini”). Orchid began operations on November 24, 2010 (the date of commencement of operations). From incorporation through November 24, 2010, Orchid’s only activity was the issuance of common stock to Bimini. On February 20, 2013, Orchid completed the initial public offering (“IPO”) of its common stock in which it sold approximately 2.4 million shares of its common stock and raised gross proceeds of $35.4 million, which were invested in RMBS that were issued and the principal and interest of which were guaranteed by a federally chartered corporation or agency (“Agency RMBS”) on a leveraged basis. Orchid is an “emerging growth company” as defined in the Jumpstart Our Business Startups Act of 2012 (the “JOBS Act”). Orchid completed a secondary offering of 1,800,000 shares of common stock on January 23, 2014. The underwriters exercised their overallotment option in full for an additional 270,000 shares on January 29, 2014. The aggregate net proceeds to Orchid were approximately $24.2 million which were invested in Agency RMBS on a leveraged basis. Orchid completed a secondary offering of 3,200,000 shares of common stock shares on March 24, 2014. The underwriters exercised their overallotment option in full for an additional 480,000 shares on April 11, 2014. The aggregate net proceeds to Orchid were approximately $44.0 million which were invested in Agency RMBS on a leveraged basis. On June 17, 2014, Orchid entered into an equity distribution agreement (the “June 2014 Equity Distribution Agreement”) with two sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $35,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. The Company issued a total of 2,528,416 shares under the June 2014 Equity Distribution Agreement for aggregate proceeds of approximately $34.2 million, net of commissions and fees, prior to its termination in September 2014. On September 3, 2014, Orchid entered into a second equity distribution agreement (the “September 2014 Equity Distribution Agreement”) with two sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $75,000,000 of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. The September 2014 Equity Distribution Agreement replaced the June 2014 Equity Distribution Agreement. The Company issued a total of 5,087,646 shares under the September 2014 Equity Distribution Agreement for aggregate proceeds of approximately $69.1 million, net of commissions and fees, prior to its termination in March 2015. On March 2, 2015, Orchid entered into a third equity distribution agreement (the “March 2015 Equity Distribution Agreement”) with two sales agents pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $100,000,000 of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. The March 2015 Equity Distribution Agreement replaced the September 2014 Equity Distribution Agreement. The Company issued a total of 7,218,766 shares under the March 2015 Equity Distribution Agreement for aggregate proceeds of approximately $93.2 million, net of commissions and fees, prior to its termination in July 2016. 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. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company’s discretion without prior notice. From the inception of the share repurchase program through September 30, 2016, the Company repurchased a total of 1,216,243 shares at an aggregate cost of approximately $10.8 million, including commissions and fees. On July 29, 2016, Orchid entered into a fourth equity distribution agreement (the “July 2016 Equity Distribution Agreement”) with two sales agents pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $125,000,000 of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. The July 2016 Equity Distribution Agreement replaced the March 2015 Equity Distribution Agreement. Through September 30, 2016, the Company issued a total of 3,467,891 shares under the July 2016 Equity Distribution Agreement for aggregate proceeds of approximately $37.0 million, net of commissions and fees. Basis of Presentation and Use of Estimates The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. The consolidated financial statements include the accounts of our wholly-owned subsidiary, Orchid Island Casualty, LLC. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the nine and three month periods ended September 30, 2016 are not necessarily indicative of the results that may be expected for the year ending December 31, 2016. The balance sheet at December 31, 2015 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. Statement of Comprehensive Income (Loss) In accordance with the Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 220, Comprehensive Income, a statement of comprehensive income (loss) has not been included as the Company has no items of other comprehensive income (loss). Comprehensive income (loss) is the same as net income (loss) for the periods presented. Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. The Company maintains cash balances at four banks, and, at times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At September 30, 2016, the Company’s cash deposits exceeded federally insured limits by approximately $108.8 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known bank and derivative counterparties and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances. Mortgage-Backed Securities The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest only (“IO”) securities and inverse interest only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company has elected to account for its investment in RMBS under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company records RMBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the RMBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are removed from the RMBS balance with an offsetting receivable recorded. The fair value of the Company’s investments in RMBS is governed by FASB ASC 820, Fair Value Measurement. The definition of fair value in FASB ASC 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third party broker quotes, when available. Income on PT RMBS securities is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the consolidated statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of RMBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. FHLB Stock The Company's wholly-owned subsidiary, Orchid Island Casualty, LLC, is a member of, and owns capital stock in, the Federal Home Loan Bank of Cincinnati (“FHLBC”). As a condition of its membership in the FHLBC, the subsidiary is required to maintain a FHLBC stock investment, both for membership and for the level of advances from the FHLBC to the subsidiary. The Company accounts for its investment in FHLBC stock as a cost method investment in "Other assets". The Company periodically evaluates FHLBC stock for impairment in accordance with ASC 320. See Note 3 for more information about the subsidiary’s membership in the FHLBC. Derivative Financial Instruments
The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are T-Note and Eurodollar futures contracts, interest rate swaps, and options to enter in interest rate swaps (“interest rate swaptions”), but may enter into other derivatives in the future. The Company purchases a portion of its Agency RMBS through forward settling transactions, including “to-be-announced” (“TBA”) securities transactions. At times when market conditions are conducive, the Company may choose to move the settlement of these TBA securities transactions out to a later date by entering into an offsetting short position, which is then net settled for cash, and simultaneously entering into a substantially similar TBA securities trade for a later settlement date. Such a set of transactions is referred to as a TBA “dollar roll” transaction. The TBA securities purchased at the later settlement date are typically priced at a discount to securities for settlement in the current month. This difference is referred to as the “price drop.” The price drop represents compensation to the Company for foregoing net interest margin and is referred to as TBA “dollar roll income.” Specified pools of mortgage loans can also be the subject of a dollar roll transaction, when market conditions allow. The Company accounts for TBA securities as derivative instruments if either the TBA securities do not settle in the shortest period of time possible or if the Company cannot assert that it is probable at inception of the TBA transaction, or throughout its term, that it will take physical delivery of the Agency RMBS for a long position, or make delivery of the Agency RMBS for a short position, upon settlement of the trade. The Company accounts for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with TBA securities transactions and dollar roll transactions are reported in gain (loss) on derivative instruments in the accompanying consolidated statements of operations. The fair value of TBA securities is estimated based on similar methods used to value RMBS securities. The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period. Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. To mitigate this risk, the Company uses only well-established commercial banks as counterparties. Financial Instruments FASB ASC 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. RMBS, Eurodollar and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 12 of the consolidated financial statements. The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values as of September 30, 2016 and December 31, 2015 due to the short-term nature of these financial instruments. Repurchase Agreements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. Manager Compensation The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 13 for the terms of the management agreement. Earnings Per Share The Company follows the provisions of FASB ASC 260, Earnings Per Share. Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding or subscribed during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable, for common stock equivalents, if any. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive. Income Taxes Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. Orchid measures, recognizes and presents its uncertain tax positions in accordance with FASB ASC 740, Income Taxes. Under that guidance, Orchid assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. Recent Accounting Pronouncements In August 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-15, Statement of Cash Flows – (Topic 230): Classification of Certain Cash Receipts and Cash Payments. ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. ASU 2016-15 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017. Early application is permitted. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit loss model (referred to as the current expected credit loss (CECL) model). ASU 2016-13 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2019. Early application is permitted for fiscal periods beginning after December 15, 2018. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach. Early application is permitted for certain provisions. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In June 2014, the FASB issued ASU 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. |
Mortgage Backed Securities |
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Mortgage Backed Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-Backed Securities | NOTE 2. MORTGAGE-BACKED SECURITIES The following table presents the Company’s RMBS portfolio as of September 30, 2016 and December 31, 2015:
The following table summarizes the Company’s RMBS portfolio as of September 30, 2016 and December 31, 2015, according to the contractual maturities of the securities in the portfolio. Actual maturities of RMBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.
The Company generally pledges its RMBS assets as collateral under repurchase agreements. At September 30, 2016 and December 31, 2015, the Company had unpledged securities totaling $97.4 million and $62.4 million, respectively. The unpledged balance at September 30, 2016 includes unsettled security purchases with a fair value of approximately $72.5 million that will be pledged as collateral under repurchase agreements on their respective settlement dates in October 2016. |
Borrowings |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | NOTE 3. REPURCHASE AGREEMENTS AND OTHER BORROWINGS The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is generally paid at the termination of a borrowing. If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company. As of September 30, 2016, the Company had met all margin call requirements. Repurchase Agreements As of September 30, 2016, the Company had outstanding repurchase obligations of approximately $2,298.1 million with a net weighted average borrowing rate of 0.73%. These agreements were collateralized by RMBS with a fair value, including accrued interest and securities pledged related to securities sold but not yet settled, of approximately $2,431.3 million, and cash pledged to the counterparties of approximately $8.1 million. As of December 31, 2015, the Company had outstanding repurchase obligations of approximately $1,798.8 million with a net weighted average borrowing rate of 0.64%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $1,909.3 million, and cash pledged to the counterparties of approximately $4.0 million. As of September 30, 2016 and 2015, the Company’s repurchase agreements had remaining maturities as summarized below:
If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable and cash posted by the Company as collateral. At September 30, 2016, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable and securities posted by the counterparty (if any), and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $139.4 million. The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at September 30, 2016 and December 31, 2015 FHLB Advances In December 2015, our wholly-owned subsidiary, Orchid Island Casualty, LLC, was accepted for membership in the FHLBC. As of December 31, 2015, our subsidiary had approximately $187.5 million of outstanding secured FHLB advances, with a weighted average borrowing rate of 0.42%. These advances were secured by RMBS with a fair value, including accrued interest, of approximately $192.2 million as of December 31, 2015. This agreement also required our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. As of December 31, 2015, our subsidiary held FHLBC stock with a cost basis of approximately $3.8 million which is included in other assets in our consolidated balance sheets. On January 12, 2016, the regulator of the FHLB system, the Federal Housing Finance Agency (“FHFA”), released a final rule that amended regulations governing FHLB membership, including an amendment which prevents captive insurance companies from being eligible for FHLB membership. Under the terms of the final rule, our subsidiary is required to terminate its membership, redeem existing FHLBC stock, and repay its existing advances within one year following the effective date of the final rule. In addition, our subsidiary is prohibited from obtaining new advances or renewing existing advances upon their maturity during the one year transition period. The final rule became effective on February 19, 2016. During the nine months ended September 30, 2016, all of our subsidiary’s outstanding advances, including accrued interest, were refinanced through repurchase agreements. During the nine months ended September 30, 2016, the Company redeemed all of its activity-based FHLBC stock but still holds stock with a carrying value of $2,500, the minimum amount required to retain membership. |
Derivative Financial Instruments |
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Derivative Financial Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Financial Instruments | NOTE 4. DERIVATIVE FINANCIAL INSTRUMENTS In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding by entering into derivatives and other hedging contracts. To date, the Company has entered into Eurodollar and T-Note futures contracts, interest rate swaps, and interest rate swaptions, but may enter into other contracts in the future. The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented. In addition, the Company utilizes TBA securities as a means of investing in and financing Agency RMBS or as a means of reducing its exposure to Agency RMBS, and not as a hedge. The Company accounts for TBA securities as derivative instruments if either the TBA securities do not settle in the shortest period of time possible or if the Company cannot assert that it is probable at inception and throughout the term of the TBA securities that it will take physical delivery of the Agency RMBS for a long position, or make delivery of the Agency RMBS for a short position, upon settlement of the trade. Derivative Assets (Liability), at Fair Value The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2016 and December 31, 2015.
Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at September 30, 2016 and December 31, 2015.
Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on LIBOR ("payer swaps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post collateral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at September 30, 2016.
The table below presents information related to the Company’s interest rate swaption positions at December 31, 2015.
The following table summarizes our contracts to purchase and sell TBA securities as of September 30, 2016.
Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the nine and three months ended September 30, 2016 and 2015.
Credit Risk-Related Contingent Features The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our consolidated balance sheets. |
Pledged Assets |
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Pledged Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Pledged Assets [Text Block] | NOTE 5. PLEDGED ASSETS Assets Pledged to Counterparties The table below summarizes our assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, FHLB advances, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2016 and December 31, 2015.
Orchid Island Casualty, Inc. is required to maintain sufficient capital in the form of cash and securities to protect it against losses. Assets Pledged from Counterparties The table below summarizes our assets pledged to us from counterparties under our repurchase agreements as of September 30, 2016 and December 31, 2015.
PT RMBS and U.S. Treasury securities received as margin under our repurchase agreements are not recorded in the consolidated balance sheets because the counterparty retains ownership of the security. Cash received as margin is recognized in cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements in the consolidated balance sheets. |
Offsetting Assets and Liabilties |
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Offsetting Assets and Liabilities [Text Block] | NOTE 6. OFFSETTING ASSETS AND LIABILITIES The Company’s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of September 30, 2016 and December 31, 2015.
The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the consolidated balance sheets. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Notes 3 and 4 for a discussion of collateral posted or received against or for repurchase obligations and derivative instruments. |
Capital Stock |
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Capital Stock [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Stock | NOTE 7. CAPITAL STOCK Common Stock Issuances During 2016 and 2015, the Company completed the following public offerings of shares of its common stock.
Share Repurchase Program 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. As part of the share repurchase program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company’s discretion without prior notice. From the inception of the share repurchase program through September 30, 2016, the Company repurchased a total of 1,216,243 shares at an aggregate cost of approximately $10.8 million, including commissions and fees, for a weighted average price of $8.92 per share. Cash Dividends The table below presents the cash dividends declared on the Company’s common stock since its February 2013 IPO.
On October 12, 2016, the Company declared a dividend of $0.14 per share to be paid on October 31, 2016. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of September 30, 2016. |
Stock Incentive Plans |
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Employee Benefits And Share Based Compensation [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stock incentive Plans | NOTE 8. STOCK INCENTIVE PLAN In October 2012, the Company’s Board of Directors adopted and Bimini, then the Company’s sole stockholder, approved, the Orchid Island Capital, Inc. 2012 Equity Incentive Plan (the “Incentive Plan”) to recruit and retain employees, directors and other service providers, including employees of the Manager and other affiliates. The Incentive Plan provides for the award of stock options, stock appreciation rights, stock award, performance units, other equity-based awards (and dividend equivalents with respect to awards of performance units and other equity-based awards) and incentive awards. The Incentive Plan is administered by the Compensation Committee of the Company’s Board of Directors except that the Company’s full Board of Directors will administer awards made to directors who are not employees of the Company or its affiliates. The Incentive Plan provides for awards of up to an aggregate of 10% of the issued and outstanding shares of our common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregate 4,000,000 shares of the Company’s common stock that may be issued under the Incentive Plan. Restricted Stock Awards On April 25, 2014, the Compensation Committee granted each of our non-employee directors 6,000 shares of restricted common stock subject to a three year vesting schedule whereby 2,000 shares of the award vest on the first, second and third anniversaries of the award date. Directors will have all the rights of a stockholder with respect to the awards, including the right to receive dividends and vote the shares. The awards are subject to forfeiture should the director no longer be a member of the Board of Directors of the Company prior to the respective vesting dates. The table below presents information related to the Company’s restricted common stock at September 30, 2016 and 2015.
Stock Awards The Company issues immediately vested common stock under the Incentive Plan to certain executive officers, employees and directors. The following table presents information related to fully vested common stock issued during the nine months ended September 30, 2016 and 2015.
Performance Units The Company may issue performance units under the Incentive Plan to certain executive officers and employees. “Performance Units” vest after the end of a defined performance period, based on satisfaction of the performance conditions set forth in the performance unit agreement. When earned, each Performance Unit will be settled by the issuance of one share of the Company’s common stock, at which time the Performance Unit will be cancelled. The Performance Units contain dividend equivalent rights which entitle the Participants to receive distributions declared by the Company on common stock, but do not include the right to vote the shares. Performance Units are subject to forfeiture should the participant no longer serve as an executive officer or employee for the Company. Compensation expense for the Performance Units are recognized over the remaining vesting period once it becomes probable that the performance conditions will be achieved. The following table presents information related to Performance Units outstanding during the nine months ended September 30, 2016.
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Commitments and Contingencies |
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Commitments And Contingencies Disclosure [Abstract] | |
Commitments And Contingencies | NOTE 9. COMMITMENTS AND CONTINGENCIES From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any reported or unreported contingencies at September 30, 2016. |
Income Taxes |
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Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10. INCOME TAXES The Company will generally not be subject to federal income tax on its REIT taxable income to the extent that it distributes its REIT taxable income to its stockholders and satisfies the ongoing REIT requirements, including meeting certain asset, income and stock ownership tests. A REIT must generally distribute at least 90% of its REIT taxable income to its stockholders, of which 85% generally must be distributed within the taxable year, in order to avoid the imposition of an excise tax. The remaining balance may be distributed up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution and meets certain other requirements. |
Earnings Per Share |
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Earnings Per Share | NOTE 11. EARNINGS PER SHARE (EPS) The Company had dividend eligible shares of restricted common stock and Performance Units that were outstanding during the nine and three months ended September 30, 2016. The basic and diluted per share computations include these unvested shares of restricted common stock and performance units if there is income available to common stock, as they have dividend participation rights. The shares of restricted common stock and Performance Units have no contractual obligation to share in losses. Because there is no such obligation, the shares of restricted common stock and Performance Units are not included in the basic and diluted EPS computations when no income is available to common stock even though they are considered participating securities. The table below reconciles the numerator and denominator of EPS for the nine and three months ended September 30, 2016 and 2015.
The average number of restricted common stock and Performance Units that were anti-dilutive and not included in diluted earnings per share for the nine and three months ended September 30, 2015 were 26,300 and 23,508, respectively. |
Fair Value |
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Fair Value | NOTE 12. FAIR VALUE Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are:
The Company’s RMBS, interest rate swaptions and TBA securities are valued using Level 2 valuations, and such valuations currently are determined by the Company based on independent pricing sources and/or third party broker quotes, when available. Because the price estimates may vary, the Company must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. Alternatively, the Company could opt to have the value of all of our positions in RMBS, interest rate swaptions and TBA securities determined by either an independent third-party or do so internally. RMBS (based on the fair value option), interest rate swaps, interest rate swaptions, TBA securities and futures contracts were recorded at fair value on a recurring basis during the nine and three months ended September 30, 2016 and 2015. When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers assumptions that market participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets. When identical assets are not traded in active markets, the Company looks to market observable data for similar assets. The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of September 30, 2016 and December 31, 2015:
During the nine and three months ended September 30, 2016 and 2015, there were no transfers of financial assets or liabilities between levels 1, 2 or 3. |
Related Party Transactions |
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Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 13. RELATED PARTY TRANSACTIONS Management Agreement The Company is externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a management agreement. The management agreement has been renewed through February 20, 2017 and provides for automatic one-year extension options thereafter and is subject to certain termination rights. Under the terms of the management agreement, the Manager is responsible for administering the business activities and day-to-day operations of the Company. The Manager receives a monthly management fee in the amount of:
The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Company terminate the management agreement without cause, it will pay to the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement. Total expenses recorded for the management fee and costs incurred were approximately $3.9 million and $1.4 million for the nine and three months ended September 30, 2016, respectively, and $3.7 million and $1.3 million for the nine and three months ended September 30, 2015, respectively. At September 30, 2016 and December 31, 2015, the net amount due to affiliates was approximately $0.5 million and $0.5 million, respectively. Other Relationships with Bimini John B. Van Heuvelen, one of our independent directors, owns shares of common stock of Bimini. Robert Cauley, our Chief Executive Officer and Chairman of our Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Bimini. Hunter Haas, our Chief Financial Officer, Chief Investment Officer, Secretary and a member of our Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of September 30, 2016, Bimini owned 1,395,036 shares, or 5.3%, of the Company’s common stock. |
Basis of Presentation (Policies) |
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Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Use of Estimates The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. The consolidated financial statements include the accounts of our wholly-owned subsidiary, Orchid Island Casualty, LLC. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the nine and three month periods ended September 30, 2016 are not necessarily indicative of the results that may be expected for the year ending December 31, 2016. The balance sheet at December 31, 2015 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. |
Statement of Comprehensive Income | Statement of Comprehensive Income (Loss) In accordance with the Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 220, Comprehensive Income, a statement of comprehensive income (loss) has not been included as the Company has no items of other comprehensive income (loss). Comprehensive income (loss) is the same as net income (loss) for the periods presented. |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. The Company maintains cash balances at four banks, and, at times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At September 30, 2016, the Company’s cash deposits exceeded federally insured limits by approximately $108.8 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known bank and derivative counterparties and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances. |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest only (“IO”) securities and inverse interest only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company has elected to account for its investment in RMBS under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company records RMBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the RMBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are removed from the RMBS balance with an offsetting receivable recorded. The fair value of the Company’s investments in RMBS is governed by FASB ASC 820, Fair Value Measurement. The definition of fair value in FASB ASC 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third party broker quotes, when available. Income on PT RMBS securities is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the consolidated statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of RMBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. |
FHLB Stock [Policy Text Block] | FHLB Stock The Company's wholly-owned subsidiary, Orchid Island Casualty, LLC, is a member of, and owns capital stock in, the Federal Home Loan Bank of Cincinnati (“FHLBC”). As a condition of its membership in the FHLBC, the subsidiary is required to maintain a FHLBC stock investment, both for membership and for the level of advances from the FHLBC to the subsidiary. The Company accounts for its investment in FHLBC stock as a cost method investment in "Other assets". The Company periodically evaluates FHLBC stock for impairment in accordance with ASC 320. See Note 3 for more information about the subsidiary’s membership in the FHLBC. |
Derivative Financial Instruments | Derivative Financial Instruments
The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are T-Note and Eurodollar futures contracts, interest rate swaps, and options to enter in interest rate swaps (“interest rate swaptions”), but may enter into other derivatives in the future. The Company purchases a portion of its Agency RMBS through forward settling transactions, including “to-be-announced” (“TBA”) securities transactions. At times when market conditions are conducive, the Company may choose to move the settlement of these TBA securities transactions out to a later date by entering into an offsetting short position, which is then net settled for cash, and simultaneously entering into a substantially similar TBA securities trade for a later settlement date. Such a set of transactions is referred to as a TBA “dollar roll” transaction. The TBA securities purchased at the later settlement date are typically priced at a discount to securities for settlement in the current month. This difference is referred to as the “price drop.” The price drop represents compensation to the Company for foregoing net interest margin and is referred to as TBA “dollar roll income.” Specified pools of mortgage loans can also be the subject of a dollar roll transaction, when market conditions allow. The Company accounts for TBA securities as derivative instruments if either the TBA securities do not settle in the shortest period of time possible or if the Company cannot assert that it is probable at inception of the TBA transaction, or throughout its term, that it will take physical delivery of the Agency RMBS for a long position, or make delivery of the Agency RMBS for a short position, upon settlement of the trade. The Company accounts for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with TBA securities transactions and dollar roll transactions are reported in gain (loss) on derivative instruments in the accompanying consolidated statements of operations. The fair value of TBA securities is estimated based on similar methods used to value RMBS securities. The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period. Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. To mitigate this risk, the Company uses only well-established commercial banks as counterparties. |
Financial Instruments | Financial Instruments FASB ASC 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. RMBS, Eurodollar and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 12 of the consolidated financial statements. The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values as of September 30, 2016 and December 31, 2015 due to the short-term nature of these financial instruments. |
Repurchase Agreements | Repurchase Agreements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. |
Management Fees [Policy Text Block] | Manager Compensation The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 13 for the terms of the management agreement. |
Earnings Per Share | Earnings Per Share The Company follows the provisions of FASB ASC 260, Earnings Per Share. Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding or subscribed during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable, for common stock equivalents, if any. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive. |
Income Taxes | Income Taxes Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. Orchid measures, recognizes and presents its uncertain tax positions in accordance with FASB ASC 740, Income Taxes. Under that guidance, Orchid assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In August 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-15, Statement of Cash Flows – (Topic 230): Classification of Certain Cash Receipts and Cash Payments. ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. ASU 2016-15 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017. Early application is permitted. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit loss model (referred to as the current expected credit loss (CECL) model). ASU 2016-13 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2019. Early application is permitted for fiscal periods beginning after December 15, 2018. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach. Early application is permitted for certain provisions. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In June 2014, the FASB issued ASU 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. |
Mortgage-Backed Securities (Tables) |
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Mortgage Backed Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Mortgage-Backed Securities Reconciliation |
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Schedule Of Mortgage-Backed Securities by Contractual Maturity |
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Borrowings (Tables) |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Repurchase Agreements |
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Derivative Financial Instruments (Tables) |
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Derivative Financial Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments |
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Schedule of Eurodollar Positions |
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Schedule of Interest Rate Swap Agreements [Table Text Block] |
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Schedule Of Interest Rate Swaption Agreements Outstanding [Table Text Block] |
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Schedule of To Be Announced Securities [TableTextBlock] |
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Income Statement Effect of Derivatives [Table Text Block] |
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Pledged Assets (Tables) |
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Pledged Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Financial Instruments Owned and Pledged as Collateral [TextBlock] |
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Schedule of Financial Instruments Pledged as Collateral from Counterparties [Text Block] |
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Offsetting Assets and Liabilities (Tables) |
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Offsetting of Assets [Table Text Block] |
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Offsetting of Liabilties [Table Text Block] |
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Capital Stock (Tables) |
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Issuances of Common Stock |
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Dividends |
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Stock Incentive Plans (Tables) |
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Schedule Of Restricted Stock Awards [Table Text Block] |
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Schedule Of Stock Awards [Table Text Block] |
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Schedule Of Performance Units [Table Text Block] |
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Earnings Per Share (Tables) |
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Earnings Per Share |
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Fair Value (Tables) |
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Assets Measured at Fair Value on Recurring Basis |
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Significant Accounting Policies (Organization) (Details) |
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Accounting Policies [Abstract] | |
Entity Incorporation, Date of Incorporation | Aug. 17, 2010 |
Entity Incorporation, State Country Name | MD |
Operations Commenced Date | Nov. 24, 2010 |
Required Annual Distribution Of Taxable Income | 90.00% |
Significant Accounting Policies - Cash and Cash Equivalents (Details) |
Sep. 30, 2016
USD ($)
|
---|---|
Accounting Policies [Abstract] | |
Uninsured Cash Balances | $ 108,800,000 |
Insurance per depositor at each financial institution | $ 250,000 |
Significant Accounting Policies - Stock Repurchase Program |
9 Months Ended |
---|---|
Sep. 30, 2016
USD ($)
shares
| |
Accounting Policies [Abstract] | |
Stock Repurchase Program Authorization Date | Jul. 29, 2015 |
Share Repurchase | 2,000,000 |
Stock Repurchase Program, Cumulative Shares Repurchased | 1,216,243 |
Stock Repurchase Program Cumulative Cost | $ | $ 10,800,000 |
Mortgage-Backed Securities - By Maturity (Details) - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Mortgage Backed Securities [Abstract] | ||
Greater than one year and less than five years | $ 202,000 | $ 0 |
Greater than five years and less than ten years | 280,000 | 835,000 |
Greater than or equal to ten years | 2,501,015,000 | 2,157,175,000 |
Total mortgage-backed securities | $ 2,501,497,000 | $ 2,158,010,000 |
Mortgage-Backed Securities - Narrative (Details) - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Mortgage Backed Securities [Abstract] | ||
Unpledged Mortgage Backed Securities | $ 97,384,000 | $ 62,436,000 |
Unsettled Securities Purchases Included in Unpledged Securities | $ 72,500,000 |
Borrowings - Narrative (Details) - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 2,298,097,000 | $ 1,798,813,000 |
Fair Value of securities pledged, including accrued interest receivable | 2,431,276,000 | 1,909,292,000 |
Cash Held on Deposit with Repurchase Agreement Counterparties | $ 8,123,000 | $ 3,997,000 |
Weighted Average Borrowing Rate | 0.73% | 0.64% |
Maximum Amount at Risk | $ 139,400,000 | |
FHLB Advances | 0 | $ 187,500,000 |
Weighted Average Borrowing Rate - FHLB Advances | 0.42% | |
Collateral Held On FHLB Advances | $ 192,200,000 | |
FHLBC Stock | $ 2,500 | $ 3,800,000 |
Derivative Financial Instruments - Schedule of Derivative Assets and Liabilties (Details) - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Assets, at Fair Value | $ 1,097,000 | $ 669,000 |
Liabilities, at Fair Value | 545,000 | 0 |
Restricted cash | 16,881,000 | 12,730,000 |
Interest Rate Swaps [Member] | ||
Assets, at Fair Value | 1,097,000 | 0 |
Liabilities, at Fair Value | 305,000 | 0 |
Receiver Swaption [Member] | ||
Assets, at Fair Value | 0 | 669,000 |
TBA Contracts [Member] | ||
Assets, at Fair Value | 0 | 0 |
Liabilities, at Fair Value | 240,000 | 0 |
Eurodollar Future Margin [Member] | ||
Restricted cash | 3,268,000 | 8,483,000 |
Interest Rate Swaption Margin [Member] | ||
Restricted cash | $ 5,240,000 | $ 0 |
Derivative Financial Instruments - Summary of Outstanding Swaps (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Dec. 31, 2015 |
|
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | $ 1,097,000 | $ 669,000 |
Liabilities, at Fair Value | 545,000 | $ 0 |
Swap [Member] | 3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 600,000,000 | |
Average Fixed Pay Rate | 1.05% | |
Average Receive Rate | 0.80% | |
Liabilities, at Fair Value | $ (792,000) | |
Average Maturity | 3 years 4 months 10 days |
Derivative Financial Instruments - Summary of Outstanding Swaptions (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Sep. 30, 2016 |
|
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | $ 669,000 | $ 1,097,000 |
Interest Rate Swaption [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | 669,000 | |
Interest Rate Swaption [Member] | Less Than Or Equal To One Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | 1,100,000 | |
Assets, at Fair Value | $ 669,000 | |
Derivative Instruments Average Months To Expiration | 4 months 5 days | |
Notional Amount | $ 100,000,000 | |
Derivative Average Fixed Interest Rate | 1.77% | |
Derivative Avergage Receive Rate | 3 Month | |
Term (Years) | 5 years |
Derivative Financial Instruments - Summary of TBA Contracts - 30 Year [Member] |
Sep. 30, 2016
USD ($)
|
---|---|
Derivatives, Fair Value [Line Items] | |
Notional Amount | $ (146,800,000) |
Cost Basis | (158,450,000) |
Market Value Of TBA Contract | (158,690,000) |
Liabilities, at Fair Value | 240 |
4.0% [Member] | |
Derivatives, Fair Value [Line Items] | |
Notional Amount | (100,000,000) |
Cost Basis | (107,219,000) |
Market Value Of TBA Contract | (107,422,000) |
Liabilities, at Fair Value | 203,000 |
4.5% [Member] | |
Derivatives, Fair Value [Line Items] | |
Notional Amount | (46,800,000) |
Cost Basis | (51,231,000) |
Market Value Of TBA Contract | (51,268,000) |
Liabilities, at Fair Value | $ 37,000 |
Pledged Assets - Assets Pledged By Counterparties (Details) - Repurchase Agreement [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Pledged Assets [Line Items] | ||
Mortgage Backed Securities Pledged From Counterparties | $ 0 | $ 167,000 |
United States Treasury Securities Pledged By Counterparties | 201,000 | 723,000 |
Cash Pledged By Counterparties | 217,000 | 1,421,000 |
Total Assets Pledged By Counterparties | $ 418,000 | $ 2,311,000 |
Offsetting Assets and Liabilities - Offsetting of Assets (Details) - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Swap [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | $ 1,097,000 | |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 1,097,000 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (1,097,000) | |
Net Amount Of Assets | $ 0 | |
Receiver Swaption [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | $ 669,000 | |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 669,000 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | (669,000) | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | |
Net Amount Of Assets | $ 0 |
Capital Stock - Stock Repurchase Program (Details) |
9 Months Ended |
---|---|
Sep. 30, 2016
USD ($)
$ / shares
shares
| |
Capital Stock [Abstract] | |
Stock Repurchase Program Authorization Date | Jul. 29, 2015 |
Share Repurchase | 2,000,000 |
Stock Repurchase Program, Cumulative Shares Repurchased | 1,216,243 |
Stock Repurchase Program Cumulative Cost | $ | $ 10,800,000 |
Stock Repurchase Program Weighted Average Price Cumulative | $ / shares | $ 8.92 |
Capital Stock - Dividends (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Cash Dividends [Line Items] | ||||
Per Share Amount | $ 0.42 | $ 0.42 | $ 1.26 | $ 1.5 |
Year 2013 [Member] | ||||
Cash Dividends [Line Items] | ||||
Per Share Amount | $ 1.395 | |||
Total | $ 4,662,000 | |||
Year 2014 [Member] | ||||
Cash Dividends [Line Items] | ||||
Per Share Amount | $ 2.16 | |||
Total | $ 22,643,000 | |||
Year 2015 [Member] | ||||
Cash Dividends [Line Items] | ||||
Per Share Amount | $ 1.92 | |||
Total | $ 38,748,000 | |||
Year 2016 [Member] | ||||
Cash Dividends [Line Items] | ||||
Per Share Amount | $ 1.4 | |||
Total | $ 32,546,000 | |||
Cumulative Total [Member] | ||||
Cash Dividends [Line Items] | ||||
Per Share Amount | $ 6.875 | |||
Total | $ 98,599,000 | |||
Subsequent Event Dividend Declaration [Member] | ||||
Cash Dividends [Line Items] | ||||
Declaration Date | 10/12/2016 | |||
Payment Date | 10/31/2016 | |||
Per Share Amount | $ 0.14 |
Stock Incentive Plans - Descriptions of Plans (Details) |
3 Months Ended |
---|---|
Sep. 30, 2016
shares
| |
Employee Benefits And Share Based Compensation [Abstract] | |
Maximum Number of Shares to Be Issued the Plan | 4,000,000 |
Percentage of Outstanding Stock Limitation | 10.00% |
Stock Incentive Plans - Narrative (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Restricted Stock | ||
Share Based Awards [Line Items] | ||
Award Date | Apr. 25, 2014 | |
Shares Granted To Each Director | 6,000 | |
Shares Vesting Per Director Each Year | 2,000 | |
Intrinsic Value of Nonvested | $ 83,000 | $ 148,000 |
Weighted Average Remaining Term | 6 months 25 days | 1 year 6 months 25 days |
Remaining Compensation Expense | $ 57,000 | $ 155,000 |
Share Based Compensation | 73,000 | 73,000 |
Stock Awards [Member] | ||
Share Based Awards [Line Items] | ||
Share Based Compensation | $ 379,000 | $ 357,000 |
Shares Issued Prior Year Sevice | 33,019 | 21,715 |
Share Based Compensation Prior Year | $ 330,000 | $ 288,000 |
Performance Units [Member] | ||
Share Based Awards [Line Items] | ||
Intrinsic Value of Nonvested | $ 486,000 | $ 69,000 |
Weighted Average Remaining Term | 1 year 6 months 20 days | 1 year 7 months 15 days |
Remaining Compensation Expense | $ 320,000 | $ 66,000 |
Share Based Compensation | $ 148,000 | $ 34,000 |
Related Party Transactions (Management Agreement) (Details) - Bimini Advisors, LLC [Member] |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
First $250 million of Equity [Member] | |
Related Party Transaction [Line Items] | |
Annual management fee as a percent of equity | 1.50% |
Greater than $250 million but less than or equal to $500 million Equity [Member] | |
Related Party Transaction [Line Items] | |
Annual management fee as a percent of equity | 1.25% |
Greater than $500 million of Equity [Member] | |
Related Party Transaction [Line Items] | |
Annual management fee as a percent of equity | 1.00% |
Related Party Transactions - Narrative (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
|
Related Party Transaction [Line Items] | |||||
Due to affiliates | $ 480,000 | $ 480,000 | $ 465,000 | ||
Orchid Shares Owned | 1,395,036 | 1,395,036 | |||
Orchid Ownership Percentage | 5.30% | 5.30% | |||
Bimini Advisors, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Termination Date | 2/20/2017 | ||||
Automatic Renewal Period Of Management Agreement | 1 year | ||||
Management Fees And Allocated Expenses | $ 1,388,000 | $ 1,320,000 | $ 3,931,000 | $ 3,703,000 |
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