001-32171 Bimini Capital Management, Inc. | |||
(Exact name of registrant as specified in its charter) Maryland 72-1571637 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) | |||
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||
CONDENSED CONSOLIDATED BALANCE SHEETS | ||||||||
(Unaudited) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
ASSETS: | ||||||||
Mortgage-backed securities, at fair value | ||||||||
Pledged to counterparties | $ | 197,515,121 | $ | 129,582,386 | ||||
Unpledged | 475,282 | 719,603 | ||||||
Total mortgage-backed securities | 197,990,403 | 130,301,989 | ||||||
Cash and cash equivalents | 5,211,532 | 4,429,459 | ||||||
Restricted cash | 936,420 | 1,221,978 | ||||||
Orchid Island Capital, Inc. common stock, at fair value | 15,489,167 | 15,108,240 | ||||||
Retained interests in securitizations | 557,659 | 1,113,736 | ||||||
Accrued interest receivable | 711,030 | 512,760 | ||||||
Property and equipment, net | 3,378,516 | 3,407,040 | ||||||
Deferred tax assets, net | 62,632,660 | 63,833,063 | ||||||
Other assets | 2,921,694 | 2,942,139 | ||||||
Total Assets | $ | 289,829,081 | $ | 222,870,404 | ||||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||
LIABILITIES: | ||||||||
Repurchase agreements | $ | 187,373,780 | $ | 121,827,586 | ||||
Junior subordinated notes due to Bimini Capital Trust II | 26,804,440 | 26,804,440 | ||||||
Accrued interest payable | 247,596 | 114,199 | ||||||
Other liabilities | 1,298,472 | 1,977,281 | ||||||
Total Liabilities | 215,724,288 | 150,723,506 | ||||||
COMMITMENTS AND CONTINGENCIES | ||||||||
STOCKHOLDERS' EQUITY: | ||||||||
Preferred stock, $0.001 par value; 10,000,000 shares authorized; 100,000 shares | ||||||||
designated Series A Junior Preferred Stock, 9,900,000 shares undesignated; | ||||||||
no shares issued and outstanding as of September 30, 2017 and December 31, 2016 | - | - | ||||||
Class A Common stock, $0.001 par value; 98,000,000 shares designated: 12,631,627 | ||||||||
shares issued and outstanding as of September 30, 2017 and December 31, 2016 | 12,632 | 12,632 | ||||||
Class B Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares | ||||||||
issued and outstanding as of September 30, 2017 and December 31, 2016 | 32 | 32 | ||||||
Class C Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares | ||||||||
issued and outstanding as of September 30, 2017 and December 31, 2016 | 32 | 32 | ||||||
Additional paid-in capital | 334,872,353 | 334,850,838 | ||||||
Accumulated deficit | (260,780,256 | ) | (262,716,636 | ) | ||||
Stockholders' Equity | 74,104,793 | 72,146,898 | ||||||
Total Liabilities and Stockholders' Equity | $ | 289,829,081 | $ | 222,870,404 | ||||
See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Nine and Three Months Ended September 30, 2017 and 2016 | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest income | $ | 4,075,160 | $ | 2,950,323 | $ | 1,513,511 | $ | 1,107,783 | ||||||||
Interest expense | (1,110,387 | ) | (496,512 | ) | (503,632 | ) | (194,539 | ) | ||||||||
Net interest income, before interest on junior subordinated notes | 2,964,773 | 2,453,811 | 1,009,879 | 913,244 | ||||||||||||
Interest expense on junior subordinated notes | (914,055 | ) | (818,169 | ) | (316,176 | ) | (278,196 | ) | ||||||||
Net interest income | 2,050,718 | 1,635,642 | 693,703 | 635,048 | ||||||||||||
Unrealized (losses) gains on mortgage-backed securities | (296,002 | ) | (312,987 | ) | 168,034 | (273,830 | ) | |||||||||
Realized (losses) gains on mortgage-backed securities | (689 | ) | 179,667 | - | (71,306 | ) | ||||||||||
(Losses) gains on derivative instruments, net | (828,825 | ) | (1,549,638 | ) | (18,813 | ) | 507,838 | |||||||||
Net portfolio income (loss) | 925,202 | (47,316 | ) | 842,924 | 797,750 | |||||||||||
Other income: | ||||||||||||||||
Advisory services | 5,398,019 | 3,930,533 | 1,939,974 | 1,387,997 | ||||||||||||
Gains on retained interests in securitizations | 389,568 | 2,100,367 | 85,451 | 1,020,500 | ||||||||||||
Unrealized (losses) gains on Orchid Island Capital, Inc. common stock | (823,308 | ) | 683,568 | 501,612 | 181,355 | |||||||||||
Orchid Island Capital, Inc. dividends | 1,880,245 | 1,757,745 | 638,415 | 585,915 | ||||||||||||
Other income | 1,223 | 892 | 366 | 432 | ||||||||||||
Total other income | 6,845,747 | 8,473,105 | 3,165,818 | 3,176,199 | ||||||||||||
Expenses: | ||||||||||||||||
Compensation and related benefits | 2,683,872 | 2,273,714 | 868,924 | 722,697 | ||||||||||||
Directors' fees and liability insurance | 498,140 | 466,573 | 165,040 | 155,498 | ||||||||||||
Audit, legal and other professional fees | 346,999 | 452,695 | 120,419 | 157,545 | ||||||||||||
Administrative and other expenses | 1,022,377 | 887,982 | 364,058 | 321,428 | ||||||||||||
Total expenses | 4,551,388 | 4,080,964 | 1,518,441 | 1,357,168 | ||||||||||||
Net income before income tax provision | 3,219,561 | 4,344,825 | 2,490,301 | 2,616,781 | ||||||||||||
Income tax provision | 1,283,181 | 2,117,899 | 989,081 | 1,437,544 | ||||||||||||
Net income | $ | 1,936,380 | $ | 2,226,926 | $ | 1,501,220 | $ | 1,179,237 | ||||||||
Basic and Diluted Net Income Per Share of: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 | ||||||||
CLASS B COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 | ||||||||
Weighted Average Shares Outstanding: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | 12,701,627 | 12,694,762 | 12,701,627 | 12,708,464 | ||||||||||||
CLASS B COMMON STOCK | ||||||||||||||||
Basic and Diluted | 31,938 | 31,938 | 31,938 | 31,938 | ||||||||||||
See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Nine Months Ended September 30, 2017 | ||||||||||||||||
Stockholders' Equity | ||||||||||||||||
Common | Additional | Accumulated | ||||||||||||||
Stock | Paid-in Capital | Deficit | Total | |||||||||||||
Balances, January 1, 2017 | $ | 12,696 | $ | 334,850,838 | $ | (262,716,636 | ) | $ | 72,146,898 | |||||||
Net income | - | - | 1,936,380 | 1,936,380 | ||||||||||||
Amortization of stock based compensation | - | 21,515 | - | 21,515 | ||||||||||||
Balances, September 30, 2017 | $ | 12,696 | $ | 334,872,353 | $ | (260,780,256 | ) | $ | 74,104,793 | |||||||
See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(Unaudited) | ||||||||
For the Nine Months Ended September 30, 2017 and 2016 | ||||||||
2017 | 2016 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net income | $ | 1,936,380 | $ | 2,226,926 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Stock based compensation | 21,515 | 217,206 | ||||||
Depreciation | 57,903 | 64,780 | ||||||
Deferred income tax provision | 1,200,403 | 1,891,268 | ||||||
Losses on mortgage-backed securities, net | 296,691 | 133,320 | ||||||
Gains on retained interests in securitizations | (389,568 | ) | (2,100,367 | ) | ||||
Unrealized losses (gains) on Orchid Island Capital, Inc. common stock | 823,308 | (683,568 | ) | |||||
Changes in operating assets and liabilities: | ||||||||
Accrued interest receivable | (198,270 | ) | (136,360 | ) | ||||
Other assets | 20,445 | (226,813 | ) | |||||
Accrued interest payable | 133,397 | 12,000 | ||||||
Other liabilities | (678,809 | ) | (879,328 | ) | ||||
NET CASH PROVIDED BY OPERATING ACTIVITIES | 3,223,395 | 519,064 | ||||||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||||||||
From mortgage-backed securities investments: | ||||||||
Purchases | (77,294,851 | ) | (133,099,987 | ) | ||||
Sales | 1,654,834 | 73,061,443 | ||||||
Principal repayments | 7,654,912 | 10,291,945 | ||||||
Payments received on retained interests in securitizations | 945,645 | 1,758,303 | ||||||
Purchases of property and equipment | (29,379 | ) | - | |||||
Purchases of Orchid Island Capital, Inc. common stock | (1,204,235 | ) | (1,859,277 | ) | ||||
NET CASH USED IN INVESTING ACTIVITIES | (68,273,074 | ) | (49,847,573 | ) | ||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||
Proceeds from repurchase agreements | 762,398,624 | 712,324,734 | ||||||
Principal repayments on repurchase agreements | (696,852,430 | ) | (663,567,951 | ) | ||||
NET CASH PROVIDED BY FINANCING ACTIVITIES | 65,546,194 | 48,756,783 | ||||||
NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 496,515 | (571,726 | ) | |||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 5,651,437 | 6,712,483 | ||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | $ | 6,147,952 | $ | 6,140,757 | ||||
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION: | ||||||||
Cash paid during the period for: | ||||||||
Interest | $ | 1,891,045 | $ | 1,302,681 | ||||
Income taxes | $ | 261,492 | $ | 515,689 | ||||
See Notes to Condensed Consolidated Financial Statements |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Cash and cash equivalents | $ | 5,211,532 | $ | 4,429,459 | ||||
Restricted cash | 936,420 | 1,221,978 | ||||||
Total cash, cash equivalents and restricted cash | $ | 6,147,952 | $ | 5,651,437 |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Pass-Through MBS: | ||||||||
Fixed-rate Mortgages | $ | 195,151 | $ | 124,299 | ||||
Total Pass-Through MBS | 195,151 | 124,299 | ||||||
Structured MBS: | ||||||||
Interest-Only Securities | 1,643 | 2,654 | ||||||
Inverse Interest-Only Securities | 1,196 | 3,349 | ||||||
Total Structured MBS | 2,839 | 6,003 | ||||||
Total | $ | 197,990 | $ | 130,302 |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Greater than or equal to ten years | $ | 197,990 | $ | 130,302 | ||||
Total | $ | 197,990 | $ | 130,302 |
(in thousands) | |||||||||
Series | Issue Date | September 30, 2017 | December 31, 2016 | ||||||
HMAC 2004-2 | May 10, 2004 | $ | 20 | $ | 143 | ||||
HMAC 2004-3 | June 30, 2004 | 148 | 364 | ||||||
HMAC 2004-4 | August 16, 2004 | 290 | 463 | ||||||
HMAC 2004-5 | September 28, 2004 | 100 | 144 | ||||||
Total | $ | 558 | $ | 1,114 |
($ in thousands) | ||||||||||||||||||||
OVERNIGHT | BETWEEN 2 | BETWEEN 31 | GREATER | |||||||||||||||||
(1 DAY OR | AND | AND | THAN | |||||||||||||||||
LESS) | 30 DAYS | 90 DAYS | 90 DAYS | TOTAL | ||||||||||||||||
September 30, 2017 | ||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||
interest receivable | $ | - | $ | 75,619 | $ | 122,589 | $ | - | $ | 198,208 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 71,261 | $ | 116,113 | $ | - | $ | 187,374 | ||||||||||
Net weighted average borrowing rate | - | 1.35 | % | 1.34 | % | - | 1.35 | % | ||||||||||||
December 31, 2016 | ||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||
interest receivable | $ | - | $ | 71,565 | $ | 41,334 | $ | 17,172 | $ | 130,071 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 66,919 | $ | 38,733 | $ | 16,176 | $ | 121,828 | ||||||||||
Net weighted average borrowing rate | - | 1.01 | % | 0.96 | % | 0.98 | % | 0.99 | % |
($ in thousands) | ||||||||||||||||
As of September 30, 2017 | ||||||||||||||||
Repurchase Agreement Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 60,000 | 1.58 | % | 1.48 | % | $ | (14 | ) | |||||||
2018 | 60,000 | 1.90 | % | 1.73 | % | (100 | ) | |||||||||
2019 | 60,000 | 2.32 | % | 1.98 | % | (207 | ) | |||||||||
2020 | 60,000 | 2.60 | % | 2.14 | % | (278 | ) | |||||||||
2021 | 60,000 | 2.80 | % | 2.29 | % | (306 | ) | |||||||||
Total / Weighted Average | $ | 60,000 | 2.36 | % | 2.00 | % | $ | (905 | ) |
($ in thousands) | ||||||||||||||||
As of September 30, 2017 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 26,000 | 2.15 | % | 1.48 | % | $ | (43 | ) | |||||||
2018 | 26,000 | 1.84 | % | 1.73 | % | $ | (28 | ) | ||||||||
2019 | 26,000 | 1.63 | % | 1.98 | % | $ | 90 | |||||||||
2020 | 26,000 | 1.95 | % | 2.14 | % | $ | 50 | |||||||||
2021 | 26,000 | 2.22 | % | 2.29 | % | $ | 18 | |||||||||
Total / Weighted Average | $ | 26,000 | 1.92 | % | 2.00 | % | $ | 87 |
($ in thousands) | ||||||||||||||||
As of December 31, 2016 | ||||||||||||||||
Repurchase Agreement Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 60,000 | 1.32 | % | 1.28 | % | $ | (26 | ) | |||||||
2018 | 60,000 | 1.90 | % | 1.82 | % | $ | (49 | ) | ||||||||
2019 | 60,000 | 2.32 | % | 2.21 | % | $ | (69 | ) | ||||||||
2020 | 60,000 | 2.60 | % | 2.45 | % | $ | (88 | ) | ||||||||
2021 | 60,000 | 2.80 | % | 2.64 | % | $ | (93 | ) | ||||||||
Total / Weighted Average | $ | 60,000 | 2.19 | % | 2.08 | % | $ | (325 | ) |
($ in thousands) | ||||||||||||||||
As of December 31, 2016 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 26,000 | 1.93 | % | 1.28 | % | $ | (169 | ) | |||||||
2018 | 26,000 | 1.84 | % | 1.82 | % | $ | (6 | ) | ||||||||
2019 | 26,000 | 1.63 | % | 2.21 | % | $ | 150 | |||||||||
2020 | 26,000 | 1.95 | % | 2.45 | % | $ | 132 | |||||||||
2021 | 26,000 | 2.22 | % | 2.64 | % | $ | 110 | |||||||||
Total / Weighted Average | $ | 26,000 | 1.91 | % | 2.08 | % | $ | 217 |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Eurodollar futures contracts (short positions) | $ | (829 | ) | $ | (1,550 | ) | $ | (19 | ) | $ | 508 | |||||
(Losses) gains on derivative instruments | $ | (829 | ) | $ | (1,550 | ) | $ | (19 | ) | $ | 508 |
($ in thousands) | ||||||||||||
As of September 30, 2017 | ||||||||||||
Repurchase | Derivative | |||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | |||||||||
PT MBS - at fair value | $ | 195,151 | $ | - | $ | 195,151 | ||||||
Structured MBS - at fair value | 2,364 | - | 2,364 | |||||||||
Accrued interest on pledged securities | 693 | - | 693 | |||||||||
Cash | 391 | 545 | 936 | |||||||||
Total | $ | 198,599 | $ | 545 | $ | 199,144 |
($ in thousands) | ||||||||||||
As of December 31, 2016 | ||||||||||||
Repurchase | Derivative | |||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | |||||||||
PT MBS - at fair value | $ | 124,298 | $ | - | $ | 124,298 | ||||||
Structured MBS - at fair value | 5,284 | - | 5,284 | |||||||||
Accrued interest on pledged securities | 489 | - | 489 | |||||||||
Cash | 456 | 766 | 1,222 | |||||||||
Total | $ | 130,527 | $ | 766 | $ | 131,293 |
($ in thousands) | ||||||||
Assets Pledged to Bimini | September 30, 2017 | December 31, 2016 | ||||||
Cash | $ | 8 | $ | - | ||||
Total | $ | 8 | $ | - |
(in thousands) | ||||||||||||||||||||||||
Offsetting of Liabilities | ||||||||||||||||||||||||
Gross Amount Not Offset in the | ||||||||||||||||||||||||
Net Amount | Consolidated Balance Sheet | |||||||||||||||||||||||
Gross Amount | of Liabilities | Financial | ||||||||||||||||||||||
Gross Amount | Offset in the | Presented in the | Instruments | Cash | ||||||||||||||||||||
of Recognized | Consolidated | Consolidated | Posted as | Posted as | Net | |||||||||||||||||||
Liabilities | Balance Sheet | Balance Sheet | Collateral | Collateral | Amount | |||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 187,374 | $ | - | $ | 187,374 | $ | (186,983 | ) | $ | (391 | ) | $ | - | ||||||||||
December 31, 2016 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 121,828 | $ | - | $ | 121,828 | $ | (121,372 | ) | $ | (456 | ) | $ | - |
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
Shares Issued Related To: | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Vested incentive plan shares | - | 258,333 | - | - | ||||||||||||
Total shares of Class A Common Stock issued | - | 258,333 | - | - |
($ in thousands, except per share data) | ||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||
2017 | 2016 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Grant Date | Grant Date | |||||||||||||||
Fair Value | Fair Value | |||||||||||||||
Shares | Per Share | Shares | Per Share | |||||||||||||
Unvested, beginning of period | 70,000 | $ | 1.23 | 77,500 | $ | 1.22 | ||||||||||
Granted | - | - | - | - | ||||||||||||
Forfeited | - | - | (1,000 | ) | 0.84 | |||||||||||
Vested and issued | - | - | - | - | ||||||||||||
Unvested, end of period | 70,000 | $ | 1.23 | 76,500 | $ | 1.23 | ||||||||||
Compensation expense during the period | $ | 22 | $ | 23 | ||||||||||||
Unrecognized compensation expense at period end | $ | 17 | $ | 50 | ||||||||||||
Weighted-average remaining vesting term (in years) | 0.8 | 1.8 | ||||||||||||||
Intrinsic value of unvested shares at period end | $ | 195 | $ | 191 |
(in thousands, except per-share information) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Basic and diluted EPS per Class A common share: | ||||||||||||||||
Income attributable to Class A common shares: | ||||||||||||||||
Basic and diluted | $ | 1,931 | $ | 2,221 | $ | 1,497 | $ | 1,176 | ||||||||
Weighted average common shares: | ||||||||||||||||
Class A common shares outstanding at the balance sheet date | 12,632 | 12,632 | 12,632 | 12,632 | ||||||||||||
Unvested dividend-eligible stock incentive plan shares | ||||||||||||||||
outstanding at the balance sheet date | 70 | 77 | 70 | 77 | ||||||||||||
Effect of weighting | - | (14 | ) | - | (1 | ) | ||||||||||
Weighted average shares-basic and diluted | 12,702 | 12,695 | 12,702 | 12,708 | ||||||||||||
Income per Class A common share: | ||||||||||||||||
Basic and diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 |
(in thousands, except per-share information) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Basic and diluted EPS per Class B common share: | ||||||||||||||||
Income attributable to Class B common shares: | ||||||||||||||||
Basic and diluted | $ | 5 | $ | 6 | $ | 4 | $ | 3 | ||||||||
Weighted average common shares: | ||||||||||||||||
Class B common shares outstanding at the balance sheet date | 32 | 32 | 32 | 32 | ||||||||||||
Weighted average shares-basic and diluted | 32 | 32 | 32 | 32 | ||||||||||||
Income per Class B common share: | ||||||||||||||||
Basic and diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 |
(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, 2017 | ||||||||||||||||
Mortgage-backed securities | $ | 197,990 | $ | - | $ | 197,990 | $ | - | ||||||||
Orchid Island Capital, Inc. common stock | 15,489 | 15,489 | - | - | ||||||||||||
Retained interests in securitizations | 558 | - | - | 558 | ||||||||||||
December 31, 2016 | ||||||||||||||||
Mortgage-backed securities | $ | 130,302 | $ | - | $ | 130,302 | $ | - | ||||||||
Orchid Island Capital, Inc. common stock | 15,108 | 15,108 | - | - | ||||||||||||
Retained interests in securitizations | 1,114 | - | - | 1,114 |
(in thousands) | ||||||||
Retained Interests in Secuitizations | ||||||||
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Balances, January 1 | $ | 1,114 | $ | 1,124 | ||||
Gain included in earnings | 390 | 2,100 | ||||||
Collections | (946 | ) | (1,758 | ) | ||||
Balances, September 30 | $ | 558 | $ | 1,466 |
Retained interests in securitzations, at fair value (in thousands) | $ | 558 | ||||||||||
CPR Range | ||||||||||||
Prepayment Assumption | (Weighted Average) | |||||||||||
Constant Prepayment Rate | 10% (10 | %) | ||||||||||
Severity | ||||||||||||
Default Assumptions | Probability of Default | (Weighted Average) | Range Of Loss Timing | |||||||||
Real Estate Owned | 100 | % | 25.5 | % | Next 10 Months | |||||||
Loans in Foreclosure | 100 | % | 25.5 | % | Month 4 - 13 | |||||||
Loans 90 Day Delinquent | 100 | % | 45 | % | Month 11-28 | |||||||
Loans 60 Day Delinquent | 85 | % | 45 | % | Month 11-28 | |||||||
Loans 30 Day Delinquent | 75 | % | 45 | % | Month 11-28 | |||||||
Current Loans | 3.1 | % | 45 | % | Month 29 and Beyond | |||||||
Remaining Life Range | Discount Rate Range | |||||||||||
Cash Flow Recognition | Valuation Technique | (Weighted Average) | (Weighted Average) | |||||||||
Nominal Cash Flows | Discounted Cash Flow | 12.2 - 15.3 | (13.2) | 27.50% (27.50 | %) | |||||||
Discounted Cash Flows | Discounted Cash Flow | 1.3 - 14.2 | (3.8) | 27.50% (27.50 | %) |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Management fee | $ | 4,230 | $ | 2,968 | $ | 1,528 | $ | 1,052 | ||||||||
Allocated overhead | 1,168 | 963 | 412 | 336 | ||||||||||||
Total | $ | 5,398 | $ | 3,931 | $ | 1,940 | $ | 1,388 |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Net portfolio interest | $ | 2,965 | $ | 2,454 | $ | 511 | $ | 1,010 | $ | 913 | $ | 97 | ||||||||||||
Interest expense on junior subordinated notes | (914 | ) | (818 | ) | (96 | ) | (316 | ) | (278 | ) | (38 | ) | ||||||||||||
(Losses) gains on MBS and derivative instruments | (1,126 | ) | (1,683 | ) | 557 | 149 | 163 | (14 | ) | |||||||||||||||
Net portfolio income (loss) | 925 | (47 | ) | 972 | 843 | 798 | 45 | |||||||||||||||||
Other income | 6,846 | 8,473 | (1,627 | ) | 3,166 | 3,176 | (10 | ) | ||||||||||||||||
Expenses, including income taxes | (5,835 | ) | (6,199 | ) | 364 | (2,508 | ) | (2,795 | ) | 287 | ||||||||||||||
Net income | $ | 1,936 | $ | 2,227 | $ | (291 | ) | $ | 1,501 | $ | 1,179 | $ | 322 |
Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Three Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (13 | ) | $ | (6 | ) | $ | (19 | ) | |||
June 30, 2017 | (581 | ) | (251 | ) | (832 | ) | ||||||
March 31, 2017 | 15 | 7 | 22 | |||||||||
December 31, 2016 | 496 | 1,037 | 1,533 | |||||||||
September 30, 2016 | 326 | 182 | 508 | |||||||||
June 30, 2016 | (353 | ) | (404 | ) | (757 | ) | ||||||
March 31, 2016 | (787 | ) | (513 | ) | (1,300 | ) | ||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Nine Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (579 | ) | $ | (250 | ) | $ | (829 | ) | |||
September 30, 2016 | (814 | ) | (735 | ) | (1,549 | ) |
Losses on Derivative Instruments - Attributed to Current Period (Non-GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Three Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (162 | ) | $ | (40 | ) | $ | (202 | ) | |||
June 30, 2017 | (152 | ) | (37 | ) | (189 | ) | ||||||
March 31, 2017 | (116 | ) | (60 | ) | (176 | ) | ||||||
December 31, 2016 | (122 | ) | (57 | ) | (179 | ) | ||||||
September 30, 2016 | (92 | ) | (55 | ) | (147 | ) | ||||||
June 30, 2016 | (60 | ) | (77 | ) | (137 | ) | ||||||
March 31, 2016 | (45 | ) | (80 | ) | (125 | ) | ||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Nine Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (430 | ) | $ | (137 | ) | $ | (567 | ) | |||
September 30, 2016 | (197 | ) | (212 | ) | (409 | ) |
Gains (Losses) on Derivative Instruments - Attributed to Future Periods (Non-GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Three Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | 149 | $ | 34 | $ | 183 | ||||||
June 30, 2017 | (429 | ) | (214 | ) | (643 | ) | ||||||
March 31, 2017 | 131 | 67 | 198 | |||||||||
December 31, 2016 | 618 | 1,094 | 1,712 | |||||||||
September 30, 2016 | 418 | 237 | 655 | |||||||||
June 30, 2016 | (293 | ) | (327 | ) | (620 | ) | ||||||
March 31, 2016 | (742 | ) | (433 | ) | (1,175 | ) | ||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Nine Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (149 | ) | $ | (113 | ) | $ | (262 | ) | |||
September 30, 2016 | (617 | ) | (523 | ) | (1,140 | ) |
Economic Net Portfolio Interest Income | ||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Interest Expense on Repurchase Agreements | Net Portfolio | |||||||||||||||||||||||
Effect of | Interest Income | |||||||||||||||||||||||
Interest | GAAP | Non-GAAP | Economic | GAAP | Economic | |||||||||||||||||||
Three Months Ended | Income | Basis | Hedges(1) | Basis(2) | Basis | Basis(3) | ||||||||||||||||||
September 30, 2017 | $ | 1,514 | $ | 504 | $ | (162 | ) | $ | 666 | $ | 1,010 | $ | 848 | |||||||||||
June 30, 2017 | 1,269 | 324 | (152 | ) | 476 | 945 | 793 | |||||||||||||||||
March 31, 2017 | 1,293 | 283 | (116 | ) | 399 | 1,010 | 894 | |||||||||||||||||
December 31, 2016 | 1,285 | 251 | (122 | ) | 373 | 1,034 | 912 | |||||||||||||||||
September 30, 2016 | 1,108 | 195 | (92 | ) | 287 | 913 | 821 | |||||||||||||||||
June 30, 2016 | 1,025 | 174 | (60 | ) | 234 | 851 | 791 | |||||||||||||||||
March 31, 2016 | 817 | 127 | (45 | ) | 172 | 690 | 645 | |||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Interest Expense on Repurchase Agreements | Net Portfolio | |||||||||||||||||||||||
Effect of | Interest Income | |||||||||||||||||||||||
Interest | GAAP | Non-GAAP | Economic | GAAP | Economic | |||||||||||||||||||
Nine Months Ended | Income | Basis | Hedges(1) | Basis(2) | Basis | Basis(3) | ||||||||||||||||||
September 30, 2017 | $ | 4,076 | $ | 1,111 | $ | (430 | ) | $ | 1,541 | $ | 2,965 | $ | 2,535 | |||||||||||
September 30, 2016 | 2,950 | 496 | (197 | ) | 693 | 2,454 | 2,257 |
Economic Net Interest Income | ||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Junior Subordinated Notes | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Three Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
September 30, 2017 | $ | 1,010 | $ | 847 | $ | 316 | $ | (40 | ) | $ | 356 | $ | 694 | $ | 491 | |||||||||||||
June 30, 2017 | 945 | 793 | 306 | (37 | ) | 343 | 639 | 450 | ||||||||||||||||||||
March 31, 2017 | 1,010 | 894 | 292 | (60 | ) | 352 | 718 | 542 | ||||||||||||||||||||
December 31, 2016 | 1,034 | 912 | 291 | (57 | ) | 348 | 743 | 564 | ||||||||||||||||||||
September 30, 2016 | 913 | 821 | 278 | (55 | ) | 333 | 635 | 488 | ||||||||||||||||||||
June 30, 2016 | 851 | 791 | 276 | (77 | ) | 353 | 575 | 438 | ||||||||||||||||||||
March 31, 2016 | 690 | 645 | 264 | (80 | ) | 344 | 426 | 301 | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Junior Subordinated Notes | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Nine Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
September 30, 2017 | $ | 2,965 | $ | 2,534 | $ | 914 | $ | (137 | ) | $ | 1,051 | $ | 2,051 | $ | 1,483 | |||||||||||||
September 30, 2016 | 2,454 | 2,257 | 818 | (212 | ) | 1,030 | 1,636 | 1,227 |
($ in thousands) | ||||||||||||||||||||||||||||||||
Average | Yield on | Average | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||
MBS | Interest | Average | Repurchase | GAAP | Economic | GAAP | Economic | |||||||||||||||||||||||||
Three Months Ended | Held(1) | Income(2) | MBS | Agreements(1) | Basis | Basis(2) | Basis | Basis(3) | ||||||||||||||||||||||||
September 30, 2017 | $ | 170,237 | $ | 1,514 | 3.56 | % | $ | 161,003 | $ | 504 | $ | 666 | 1.25 | % | 1.66 | % | ||||||||||||||||
June 30, 2017 | 134,188 | 1,269 | 3.78 | % | 126,341 | 324 | 476 | 1.02 | % | 1.51 | % | |||||||||||||||||||||
March 31, 2017 | 128,098 | 1,293 | 4.04 | % | 119,938 | 283 | 399 | 0.94 | % | 1.33 | % | |||||||||||||||||||||
December 31, 2016 | 131,952 | 1,285 | 3.89 | % | 123,909 | 251 | 373 | 0.81 | % | 1.20 | % | |||||||||||||||||||||
September 30, 2016 | 122,220 | 1,108 | 3.63 | % | 114,858 | 195 | 287 | 0.68 | % | 1.00 | % | |||||||||||||||||||||
June 30, 2016 | 110,017 | 1,025 | 3.73 | % | 103,259 | 174 | 234 | 0.67 | % | 0.91 | % | |||||||||||||||||||||
March 31, 2016 | 96,592 | 817 | 3.39 | % | 90,014 | 127 | 172 | 0.57 | % | 0.77 | % | |||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||
Average | Yield on | Average | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||
MBS | Interest | Average | Repurchase | GAAP | Economic | GAAP | Economic | |||||||||||||||||||||||||
Nine Months Ended | Held(1) | Income(2) | MBS | Agreements(1) | Basis | Basis(2) | Basis | Basis(3) | ||||||||||||||||||||||||
September 30, 2017 | $ | 144,174 | $ | 4,076 | 3.77 | % | $ | 135,761 | $ | 1,111 | $ | 1,541 | 1.09 | % | 1.51 | % | ||||||||||||||||
September 30, 2016 | 109,610 | 2,950 | 3.59 | % | 102,710 | 496 | 693 | 0.64 | % | 0.90 | % |
($ in thousands) | ||||||||||||||||
Net Portfolio | Net Portfolio | |||||||||||||||
Interest Income | Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Three Months Ended | Basis | Basis(2) | Basis | Basis(4) | ||||||||||||
September 30, 2017 | $ | 1,010 | $ | 847 | 2.31 | % | 1.90 | % | ||||||||
June 30, 2017 | 945 | 793 | 2.76 | % | 2.27 | % | ||||||||||
March 31, 2017 | 1,010 | 894 | 3.10 | % | 2.71 | % | ||||||||||
December 31, 2016 | 1,034 | 912 | 3.08 | % | 2.69 | % | ||||||||||
September 30, 2016 | 913 | 821 | 2.95 | % | 2.63 | % | ||||||||||
June 30, 2016 | 851 | 791 | 3.06 | % | 2.82 | % | ||||||||||
March 31, 2016 | 690 | 645 | 2.82 | % | 2.62 | % | ||||||||||
($ in thousands) | ||||||||||||||||
Net Portfolio | Net Portfolio | |||||||||||||||
Interest Income | Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Nine Months Ended | Basis | Basis(2) | Basis | Basis(4) | ||||||||||||
September 30, 2017 | $ | 2,965 | $ | 2,534 | 2.68 | % | 2.26 | % | ||||||||
September 30, 2016 | 2,454 | 2,257 | 2.95 | % | 2.69 | % |
($ in thousands) | ||||||||||||||||||||||||||||||||||||
Average MBS Held | Interest Income | Realized Yield on Average MBS | ||||||||||||||||||||||||||||||||||
PT | Structured | PT | Structured | PT | Structured | |||||||||||||||||||||||||||||||
Three Months Ended | MBS | MBS | Total | MBS | MBS | Total | MBS | MBS | Total | |||||||||||||||||||||||||||
September 30, 2017 | $ | 167,081 | $ | 3,156 | $ | 170,237 | $ | 1,524 | $ | (10 | ) | $ | 1,514 | 3.65 | % | (1.28 | )% | 3.56 | % | |||||||||||||||||
June 30, 2017 | 130,519 | 3,669 | 134,188 | 1,220 | 49 | 1,269 | 3.74 | % | 5.33 | % | 3.78 | % | ||||||||||||||||||||||||
March 31, 2017 | 123,163 | 4,935 | 128,098 | 1,210 | 83 | 1,293 | 3.93 | % | 6.67 | % | 4.04 | % | ||||||||||||||||||||||||
December 31, 2016 | 127,627 | 4,325 | 131,952 | 1,238 | 47 | 1,285 | 3.88 | % | 4.32 | % | 3.89 | % | ||||||||||||||||||||||||
September 30, 2016 | 119,411 | 2,809 | 122,220 | 1,092 | 16 | 1,108 | 3.66 | % | 2.19 | % | 3.63 | % | ||||||||||||||||||||||||
June 30, 2016 | 106,653 | 3,364 | 110,017 | 1,008 | 17 | 1,025 | 3.78 | % | 2.05 | % | 3.73 | % | ||||||||||||||||||||||||
March 31, 2016 | 92,365 | 4,227 | 96,592 | 783 | 34 | 817 | 3.39 | % | 3.25 | % | 3.39 | % | ||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||
Average MBS Held | Interest Income | Realized Yield on Average MBS | ||||||||||||||||||||||||||||||||||
PT | Structured | PT | Structured | PT | Structured | |||||||||||||||||||||||||||||||
Nine Months Ended | MBS | MBS | Total | MBS | MBS | Total | MBS | MBS | Total | |||||||||||||||||||||||||||
September 30, 2017 | $ | 140,254 | $ | 3,920 | $ | 144,174 | $ | 3,954 | $ | 122 | $ | 4,076 | 3.76 | % | 4.12 | % | 3.77 | % | ||||||||||||||||||
September 30, 2016 | 106,143 | 3,467 | 109,610 | 2,883 | 67 | 2,950 | 3.62 | % | 2.58 | % | 3.59 | % |
($ in thousands) | ||||||||||||||||||||
Average | ||||||||||||||||||||
Balance of | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Repurchase | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Three Months Ended | Agreements | Basis | Basis | Basis | Basis | |||||||||||||||
September 30, 2017 | $ | 161,003 | $ | 504 | $ | 666 | 1.25 | % | 1.66 | % | ||||||||||
June 30, 2017 | 126,341 | 324 | 476 | 1.02 | % | 1.51 | % | |||||||||||||
March 31, 2017 | 119,938 | 283 | 399 | 0.94 | % | 1.33 | % | |||||||||||||
December 31, 2016 | 123,909 | 251 | 373 | 0.81 | % | 1.20 | % | |||||||||||||
September 30, 2016 | 114,858 | 195 | 287 | 0.68 | % | 1.00 | % | |||||||||||||
June 30, 2016 | 103,259 | 174 | 234 | 0.67 | % | 0.91 | % | |||||||||||||
March 31, 2016 | 90,014 | 127 | 172 | 0.57 | % | 0.77 | % | |||||||||||||
($ in thousands) | ||||||||||||||||||||
Average | ||||||||||||||||||||
Balance of | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Repurchase | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Nine Months Ended | Agreements | Basis | Basis | Basis | Basis | |||||||||||||||
September 30, 2017 | $ | 135,761 | $ | 1,111 | $ | 1,541 | 1.09 | % | 1.51 | % | ||||||||||
September 30, 2016 | 102,710 | 496 | 693 | 0.64 | % | 0.90 | % |
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 | ||||||||||||||||||||
Three Months Ended | One-Month | Six-Month | LIBOR | LIBOR | LIBOR | LIBOR | ||||||||||||||||||
September 30, 2017 | 1.20 | % | 1.45 | % | 0.05 | % | (0.20 | )% | 0.46 | % | 0.21 | % | ||||||||||||
June 30, 2017 | 1.05 | % | 1.43 | % | (0.03 | )% | (0.41 | )% | 0.46 | % | 0.08 | % | ||||||||||||
March 31, 2017 | 0.82 | % | 1.37 | % | 0.12 | % | (0.43 | )% | 0.51 | % | (0.04 | )% | ||||||||||||
December 31, 2016 | 0.62 | % | 1.28 | % | 0.19 | % | (0.47 | )% | 0.58 | % | (0.08 | )% | ||||||||||||
September 30, 2016 | 0.49 | % | 1.09 | % | 0.19 | % | (0.41 | )% | 0.51 | % | (0.09 | )% | ||||||||||||
June 30, 2016 | 0.44 | % | 0.92 | % | 0.23 | % | (0.25 | )% | 0.47 | % | (0.01 | )% | ||||||||||||
March 31, 2016 | 0.40 | % | 0.84 | % | 0.17 | % | (0.27 | )% | 0.37 | % | (0.07 | )% | ||||||||||||
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 | ||||||||||||||||||||
Nine Months Ended | One-Month | Six-Month | LIBOR | LIBOR | LIBOR | LIBOR | ||||||||||||||||||
September 30, 2017 | 1.03 | % | 1.42 | % | 0.06 | % | (0.33 | )% | 0.48 | % | 0.09 | % | ||||||||||||
September 30, 2016 | 0.44 | % | 0.95 | % | 0.20 | % | (0.31 | )% | 0.46 | % | (0.05 | )% |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Realized (losses) gains on sales of MBS | $ | (1 | ) | $ | 180 | $ | (181 | ) | $ | - | $ | (71 | ) | $ | 71 | |||||||||
Unrealized (losses) gains on MBS | (296 | ) | (313 | ) | 17 | 168 | (274 | ) | 442 | |||||||||||||||
Total (losses) gains on MBS | (297 | ) | (133 | ) | (164 | ) | 168 | (345 | ) | 513 | ||||||||||||||
(Losses) gains on derivative instruments | (829 | ) | (1,550 | ) | 721 | (19 | ) | 508 | (527 | ) | ||||||||||||||
Advisory services | 5,398 | 3,931 | 1,467 | 1,940 | 1,388 | 552 | ||||||||||||||||||
Gains on retained interests in securitizations | 390 | 2,100 | (1,710 | ) | 85 | 1,021 | (936 | ) | ||||||||||||||||
Unrealized (losses) gains on | ||||||||||||||||||||||||
Orchid Island Capital, Inc. common stock | (823 | ) | 684 | (1,507 | ) | 502 | 181 | 321 | ||||||||||||||||
Orchid Island Capital, Inc. dividends | 1,880 | 1,758 | 122 | 638 | 586 | 52 | ||||||||||||||||||
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, 2017 | 1.93 | % | 2.33 | % | 3.11 | % | 3.81 | % | 1.32 | % | ||||||||||
June 30, 2017 | 1.88 | % | 2.30 | % | 3.17 | % | 3.90 | % | 1.26 | % | ||||||||||
March 31, 2017 | 1.93 | % | 2.40 | % | 3.41 | % | 4.20 | % | 1.13 | % | ||||||||||
December 31, 2016 | 1.93 | % | 2.45 | % | 3.43 | % | 4.20 | % | 0.98 | % | ||||||||||
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 | % |
10 Year 15 Year 30 Year Three U.S. Treasury U.S. Treasury Fixed-Rate Fixed-Rate Month Rate (1) Rate (1) Mortgage Rate (2) Mortgage Rate (2) Libor (3) June 30, 2021 0.87% 1.44% 2.27% 2.98% 0.13% March 31, 2021 0.94% 1.75% 2.39% 3.08% 0.19% December 31, 2020 0.36% 0.92% 2.22% 2.68% 0.23% September 30, 2020 0.27% 0.68% 2.39% 2.89% 0.24% June 30, 2020 0.29% 0.65% 2.60% 3.16% 0.31% March 31, 2020 0.38% 0.70% 2.89% 3.45% 1.10% (1) Historical 5 Year and10 Year U.S. TreasuryRates are obtained from quoted end of day prices |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Compensation and related benefits | $ | 2,684 | $ | 2,274 | $ | 410 | $ | 869 | $ | 723 | $ | 146 | ||||||||||||
Legal fees | 81 | 144 | (63 | ) | 40 | 40 | - | |||||||||||||||||
Accounting, auditing and other professional fees | 266 | 308 | (42 | ) | 80 | 118 | (38 | ) | ||||||||||||||||
Directors' fees and liability insurance | 498 | 467 | 31 | 165 | 155 | 10 | ||||||||||||||||||
Administrative and other expenses | 1,022 | 888 | 134 | 364 | 321 | 43 | ||||||||||||||||||
$ | 4,551 | $ | 4,081 | $ | 470 | $ | 1,518 | $ | 1,357 | $ | 161 |
Structured | ||||||||||||
PT MBS | MBS | Total | ||||||||||
Three Months Ended | Portfolio (%) | Portfolio (%) | Portfolio (%) | |||||||||
September 30, 2017 | 5.2 | 18.8 | 8.3 | |||||||||
June 30, 2017 | 5.9 | 20.4 | 9.9 | |||||||||
March 31, 2017 | 4.8 | 18.8 | 8.8 | |||||||||
December 31, 2016 | 5.5 | 27.3 | 11.1 | |||||||||
September 30, 2016 | 9.4 | 19.7 | 13.6 | |||||||||
June 30, 2016 | 7.8 | 20.4 | 12.6 | |||||||||
March 31, 2016 | 11.8 | 16.6 | 14.3 |
($ in thousands) | ||||||
Weighted | ||||||
Percentage | Average | |||||
of | Weighted | Maturity | ||||
Fair | Entire | Average | in | Longest | ||
Asset Category | Value | Portfolio | Coupon | Months | Maturity | |
September 30, 2017 | ||||||
Fixed Rate MBS | $ | 195,151 | 98.6% | 4.23% | 326 | 1-Sep-47 |
Total PT MBS | 195,151 | 98.6% | 4.23% | 326 | 1-Sep-47 | |
Interest-Only Securities | 1,643 | 0.8% | 3.44% | 232 | 25-Dec-39 | |
Inverse Interest-Only Securities | 1,196 | 0.6% | 5.32% | 281 | 25-Apr-41 | |
Total Structured MBS | 2,839 | 1.4% | 4.23% | 253 | 25-Apr-41 | |
Total MBS | $ | 197,990 | 100.0% | 4.23% | 325 | 1-Sep-47 |
December 31, 2016 | ||||||
Fixed Rate MBS | $ | 124,299 | 95.4% | 4.24% | 347 | 1-Oct-46 |
Total PT MBS | 124,299 | 95.4% | 4.24% | 347 | 1-Oct-46 | |
Interest-Only Securities | 2,654 | 2.0% | 3.48% | 245 | 25-Dec-39 | |
Inverse Interest-Only Securities | 3,349 | 2.6% | 5.52% | 325 | 25-Dec-46 | |
Total Structured MBS | 6,003 | 4.6% | 4.62% | 290 | 25-Dec-46 | |
Total MBS | $ | 130,302 | 100.0% | 4.26% | 344 | 25-Dec-46 |
($ in thousands) | ||||||||||||||||
September 30, 2017 | December 31, 2016 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Agency | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | ||||||||||||
Fannie Mae | $ | 171,565 | 86.7 | % | $ | 120,961 | 92.8 | % | ||||||||
Freddie Mac | 26,201 | 13.2 | % | 8,870 | 6.8 | % | ||||||||||
Ginnie Mae | 224 | 0.1 | % | 471 | 0.4 | % | ||||||||||
Total Portfolio | $ | 197,990 | 100.0 | % | $ | 130,302 | 100.0 | % |
September 30, 2017 | December 31, 2016 | |||||||
Weighted Average Pass-through Purchase Price | $ | 109.33 | $ | 110.31 | ||||
Weighted Average Structured Purchase Price | $ | 6.02 | $ | 6.74 | ||||
Weighted Average Pass-through Current Price | $ | 108.00 | $ | 107.54 | ||||
Weighted Average Structured Current Price | $ | 7.38 | $ | 10.40 | ||||
Effective Duration (1) | 3.867 | 4.769 |
($ in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
Total Cost | Average Price | Weighted Average Yield | Total Cost | Average Price | Weighted Average Yield | |||||||||||||||||||
PT MBS | $ | 77,295 | $ | 107.68 | 2.70 | % | $ | 133,100 | $ | 110.31 | 2.42 | % |
($ in thousands) | ||||||||||||||||||||||||||||
Fair | $ Change in Fair Value | % Change in Fair Value | ||||||||||||||||||||||||||
MBS Portfolio | Value | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | |||||||||||||||||||||
Fixed Rate MBS | $ | 195,151 | $ | 6,177 | $ | (10,066 | ) | $ | (22,189 | ) | 3.17 | % | (5.16 | )% | (11.37 | )% | ||||||||||||
Interest-Only MBS | 1,643 | (621 | ) | 465 | 735 | (37.77 | )% | 28.31 | % | 44.75 | % | |||||||||||||||||
Inverse Interest-Only MBS | 1,196 | (134 | ) | (51 | ) | (256 | ) | (11.17 | )% | (4.27 | )% | (21.37 | )% | |||||||||||||||
Total MBS Portfolio | $ | 197,990 | $ | 5,422 | $ | (9,652 | ) | $ | (21,710 | ) | 2.74 | % | (4.88 | )% | (10.96 | )% |
($ in thousands) | ||||||||||||||||||||||||||||
Notional | $ Change in Fair Value | % Change in Fair Value | ||||||||||||||||||||||||||
Amount(1) | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | ||||||||||||||||||||||
Eurodollar Futures Contracts | ||||||||||||||||||||||||||||
Repurchase Agreement Hedges | $ | 1,020,000 | $ | (1,701 | ) | $ | 2,550 | $ | 5,100 | (0.68 | )% | 1.02 | % | 2.04 | % | |||||||||||||
Junior Subordinated Debt Hedges | 442,000 | (737 | ) | 1,105 | 2,210 | (0.68 | )% | 1.02 | % | 2.04 | % | |||||||||||||||||
$ | 1,462,000 | $ | (2,438 | ) | $ | 3,655 | $ | 7,310 | (0.68 | )% | 1.02 | % | 2.04 | % | ||||||||||||||
Gross Totals | $ | 2,984 | $ | (5,997 | ) | $ | (14,400 | ) |
($ in thousands) | ||||||||||||||||
Difference Between Ending | ||||||||||||||||
Ending Balance | Average Balance | Repurchase Agreements and | ||||||||||||||
of Repurchase | of Repurchase | Average Repurchase Agreements | ||||||||||||||
Three Months Ended | Agreements | Agreements | Amount | Percent | ||||||||||||
September 30, 2017 | $ | 187,374 | $ | 161,003 | $ | 26,371 | 16.38 | %(1) | ||||||||
June 30, 2017 | 134,633 | 126,341 | 8,292 | 6.56 | % | |||||||||||
March 31, 2017 | 118,049 | 119,938 | (1,889 | ) | (1.57 | )% | ||||||||||
December 31, 2016 | 121,828 | 123,909 | (2,081 | ) | (1.68 | )% | ||||||||||
September 30, 2016 | 125,991 | 114,858 | 11,133 | 9.69 | % | |||||||||||
June 30, 2016 | 103,725 | 103,259 | 466 | 0.45 | % | |||||||||||
March 31, 2016 | 102,794 | 90,014 | 12,780 | 14.20 | %(2) |
(in thousands) | ||||||||||||||||||||
Obligations Maturing | ||||||||||||||||||||
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | ||||||||||||||||
Repurchase agreements | $ | 187,374 | $ | - | $ | - | $ | - | $ | 187,374 | ||||||||||
Interest expense on repurchase agreements(1) | 521 | - | - | - | 521 | |||||||||||||||
Junior subordinated notes(2) | - | - | - | 26,000 | 26,000 | |||||||||||||||
Interest expense on junior subordinated notes(1) | 1,326 | 2,545 | 2,541 | 16,793 | 23,205 | |||||||||||||||
Litigation settlement | 250 | 250 | - | - | 500 | |||||||||||||||
Totals | $ | 189,471 | $ | 2,795 | $ | 2,541 | $ | 42,793 | $ | 237,600 |