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.) |
Large accelerated filer | ◻ | Accelerated filer | ◻ |
Non-accelerated filer | ¨ (Do not check if a smaller reporting company) | Smaller reporting company | ⌧ |
Emerging growth company | ◻ |
Title of each Class | Latest Practicable Date | Shares Outstanding |
Class A Common Stock, $0.001 par value | ||
Class B Common Stock, $0.001 par value | 31,938 | |
Class C Common Stock, $0.001 par value | 31,938 |
Page | ||||
PART I. FINANCIAL INFORMATION | ||||
ITEM 1. | 1 | |||
Condensed Consolidated Balance Sheets (unaudited) | 1 | |||
Condensed Consolidated Statements of Operations (unaudited) | 2 | |||
Condensed Consolidated Statement of | 3 | |||
Condensed Consolidated Statements of Cash Flows (unaudited) | 4 | |||
Notes to Condensed Consolidated Financial Statements | 5 | |||
ITEM 2. | 26 | |||
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk | 53 | |||
ITEM 4. Controls and Procedures | 53 | |||
PART II. OTHER INFORMATION | ||||
ITEM 1. Legal Proceedings | 54 | |||
ITEM 1A. Risk Factors | 54 | |||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds | 54 | |||
ITEM 3. Defaults Upon Senior Securities | 54 | |||
ITEM 4. Mine Safety Disclosures | 54 | |||
ITEM 5. Other Information | 54 | |||
ITEM 6. Exhibits | 55 | |||
SIGNATURES | 56 |
BIMINI CAPITAL MANAGEMENT, INC. | BIMINI CAPITAL MANAGEMENT, INC. | BIMINI CAPITAL MANAGEMENT, INC. | ||||||||||||||
CONDENSED CONSOLIDATED BALANCE SHEETS | CONDENSED CONSOLIDATED BALANCE SHEETS | CONDENSED CONSOLIDATED BALANCE SHEETS | ||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
September 30, 2017 | December 31, 2016 | June 30, 2020 | December 31, 2019 | |||||||||||||
ASSETS: | ||||||||||||||||
Mortgage-backed securities, at fair value | ||||||||||||||||
Pledged to counterparties | $ | 197,515,121 | $ | 129,582,386 | $ | 52,784,236 | $ | 217,793,209 | ||||||||
Unpledged | 475,282 | 719,603 | 33,281 | 47,744 | ||||||||||||
Total mortgage-backed securities | 197,990,403 | 130,301,989 | 52,817,517 | 217,840,953 | ||||||||||||
Cash and cash equivalents | 5,211,532 | 4,429,459 | 4,669,314 | 8,070,067 | ||||||||||||
Restricted cash | 936,420 | 1,221,978 | 1,005,680 | 4,315,050 | ||||||||||||
Orchid Island Capital, Inc. common stock, at fair value | 15,489,167 | 15,108,240 | 11,753,131 | 8,892,211 | ||||||||||||
Retained interests in securitizations | 557,659 | 1,113,736 | ||||||||||||||
Accrued interest receivable | 711,030 | 512,760 | 194,229 | 750,875 | ||||||||||||
Property and equipment, net | 3,378,516 | 3,407,040 | 2,128,064 | 2,162,975 | ||||||||||||
Deferred tax assets, net | 62,632,660 | 63,833,063 | ||||||||||||||
Real property held for sale | 450,000 | 450,000 | ||||||||||||||
Deferred tax assets | 24,601,800 | 33,288,536 | ||||||||||||||
Other assets | 2,921,694 | 2,942,139 | 3,686,271 | 3,718,281 | ||||||||||||
Total Assets | $ | 289,829,081 | $ | 222,870,404 | $ | 101,306,006 | $ | 279,488,948 | ||||||||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||||||||||
LIABILITIES: | ||||||||||||||||
Repurchase agreements | $ | 187,373,780 | $ | 121,827,586 | $ | 51,617,000 | $ | 209,954,000 | ||||||||
Junior subordinated notes due to Bimini Capital Trust II | 26,804,440 | 26,804,440 | ||||||||||||||
Long-term debt | 27,623,161 | 27,481,121 | ||||||||||||||
Accrued interest payable | 247,596 | 114,199 | 69,864 | 645,302 | ||||||||||||
Other liabilities | 1,298,472 | 1,977,281 | 883,812 | 1,431,534 | ||||||||||||
Total Liabilities | 215,724,288 | 150,723,506 | 80,193,837 | 239,511,957 | ||||||||||||
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 | ||||||||||||||
no shares issued and outstanding as of June 30, 2020 and December 31, 2019 | - | - | ||||||||||||||
Class A Common stock, $0.001 par value; 98,000,000 shares designated: 11,608,555 | ||||||||||||||||
shares issued and outstanding as of June 30, 2020 and 11,608,555 shares issued | ||||||||||||||||
and outstanding as of December 31, 2019 | 11,609 | 11,609 | ||||||||||||||
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 | ||||||||||||||
issued and outstanding as of June 30, 2020 and December 31, 2019 | 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 | ||||||||||||||
issued and outstanding as of June 30, 2020 and December 31, 2019 | 32 | 32 | ||||||||||||||
Additional paid-in capital | 334,872,353 | 334,850,838 | 332,642,758 | 332,642,758 | ||||||||||||
Accumulated deficit | (260,780,256 | ) | (262,716,636 | ) | (311,542,262 | ) | (292,677,440 | ) | ||||||||
Stockholders' Equity | 74,104,793 | 72,146,898 | ||||||||||||||
Stockholders’ Equity | 21,112,169 | 39,976,991 | ||||||||||||||
Total Liabilities and Stockholders' Equity | $ | 289,829,081 | $ | 222,870,404 | $ | 101,306,006 | $ | 279,488,948 | ||||||||
See Notes to Condensed Consolidated Financial Statements | See Notes to Condensed Consolidated Financial Statements | See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Six and Three Months Ended June 30, 2020 and 2019 | ||||||||||||||||
Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Revenues: | ||||||||||||||||
Advisory services | $ | 3,339,680 | $ | 3,261,116 | $ | 1,615,083 | $ | 1,653,796 | ||||||||
Interest income | 2,563,281 | 4,324,093 | 523,287 | 2,133,677 | ||||||||||||
Dividend income from Orchid Island Capital, Inc. common stock | 753,518 | 729,617 | 388,709 | 364,809 | ||||||||||||
Total revenues | 6,656,479 | 8,314,826 | 2,527,079 | 4,152,282 | ||||||||||||
Interest expense | ||||||||||||||||
Repurchase agreements | (987,417 | ) | (2,652,893 | ) | (59,601 | ) | (1,340,029 | ) | ||||||||
Long-term debt | (631,958 | ) | (806,147 | ) | (282,457 | ) | (399,592 | ) | ||||||||
Net revenues | 5,037,104 | 4,855,786 | 2,185,021 | 2,412,661 | ||||||||||||
Other income (expense): | ||||||||||||||||
Unrealized gains on mortgage-backed securities | 27,855 | 5,276,251 | 602,136 | 2,224,016 | ||||||||||||
Realized losses on mortgage-backed securities | (5,804,656 | ) | - | - | - | |||||||||||
Unrealized (losses) gains on Orchid Island Capital, Inc. common stock | (754,792 | ) | (45,601 | ) | 3,653,312 | (334,408 | ) | |||||||||
Losses on derivative instruments | (5,292,421 | ) | (5,621,756 | ) | (1,690 | ) | (3,364,345 | ) | ||||||||
Gains on retained interests in securitizations | - | 275,115 | - | - | ||||||||||||
Other income | 642 | 494 | 318 | 248 | ||||||||||||
Total other (expense) income | (11,823,372 | ) | (115,497 | ) | 4,254,076 | (1,474,489 | ) | |||||||||
Expenses: | ||||||||||||||||
Compensation and related benefits | 2,146,667 | 2,087,625 | 1,046,623 | 1,016,844 | ||||||||||||
Directors' fees and liability insurance | 345,693 | 321,308 | 181,112 | 160,666 | ||||||||||||
Audit, legal and other professional fees | 346,641 | 284,027 | 187,348 | 145,395 | ||||||||||||
Administrative and other expenses | 552,045 | 526,029 | 270,005 | 275,058 | ||||||||||||
Total expenses | 3,391,046 | 3,218,989 | 1,685,088 | 1,597,963 | ||||||||||||
Net (loss) income before income tax provision (benefit) | (10,177,314 | ) | 1,521,300 | 4,754,009 | (659,791 | ) | ||||||||||
Income tax provision (benefit) | 8,687,508 | 404,419 | 1,285,884 | (158,069 | ) | |||||||||||
Net (loss) income | $ | (18,864,822 | ) | $ | 1,116,881 | $ | 3,468,125 | $ | (501,722 | ) | ||||||
Basic and Diluted Net (loss) income Per Share of: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | (1.62 | ) | $ | 0.09 | $ | 0.30 | $ | (0.04 | ) | ||||||
CLASS B COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | (1.62 | ) | $ | 0.09 | $ | 0.30 | $ | (0.04 | ) | ||||||
Weighted Average Shares Outstanding: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | 11,608,555 | 12,708,587 | 11,608,555 | 12,708,555 | ||||||||||||
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 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 STATEMENTS OF STOCKHOLDERS' EQUITY | ||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||
For the Six and Three Months Ended June 30, 2020 and 2019 | ||||||||||||||||||||
Stockholders' Equity | ||||||||||||||||||||
Common Stock | Additional | Accumulated | ||||||||||||||||||
Shares | Par Value | Paid-in Capital | Deficit | Total | ||||||||||||||||
Balances, January 1, 2019 | 12,773,145 | $ | 12,773 | $ | 334,919,265 | $ | (305,977,417 | ) | $ | 28,954,621 | ||||||||||
Net income | - | - | - | 1,618,603 | 1,618,603 | |||||||||||||||
Class A common shares repurchased and retired | (714 | ) | - | (1,542 | ) | - | (1,542 | ) | ||||||||||||
Balances, March 31, 2019 | 12,772,431 | $ | 12,773 | $ | 334,917,723 | $ | (304,358,814 | ) | $ | 30,571,682 | ||||||||||
Net loss | - | - | - | (501,722 | ) | (501,722 | ) | |||||||||||||
Balances, June 30, 2019 | 12,772,431 | $ | 12,773 | $ | 334,917,723 | $ | (304,860,536 | ) | $ | 30,069,960 | ||||||||||
Balances, January 1, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (292,677,440 | ) | $ | 39,976,991 | ||||||||||
Net loss | - | - | - | (22,332,947 | ) | (22,332,947 | ) | |||||||||||||
Balances, March 31, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (315,010,387 | ) | $ | 17,644,044 | ||||||||||
Net income | - | - | - | 3,468,125 | 3,468,125 | |||||||||||||||
Balances, June 30, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (311,542,262 | ) | $ | 21,112,169 | ||||||||||
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 Six Months Ended June 30, 2020 and 2019 | ||||||||
2020 | 2019 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net (loss) income | $ | (18,864,822 | ) | $ | 1,116,881 | |||
Adjustments to reconcile net (loss) income to net cash used in operating activities: | ||||||||
Depreciation | 34,911 | 36,716 | ||||||
Deferred income tax provision | 8,686,736 | 599,030 | ||||||
Losses (gains) on mortgage-backed securities, net | 5,776,801 | (5,276,251 | ) | |||||
Gains on retained interests in securitizations | - | (275,115 | ) | |||||
Unrealized losses on Orchid Island Capital, Inc. common stock | 754,792 | 45,601 | ||||||
Realized and unrealized losses on forward settling TBA securities | 1,441,406 | 1,801,321 | ||||||
Changes in operating assets and liabilities: | ||||||||
Accrued interest receivable | 556,646 | 30,342 | ||||||
Other assets | 32,010 | (28,261 | ) | |||||
Accrued interest payable | (575,438 | ) | 140,223 | |||||
Other liabilities | (489,128 | ) | (395,183 | ) | ||||
NET CASH USED IN OPERATING ACTIVITIES | (2,646,086 | ) | (2,204,696 | ) | ||||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||||||||
From mortgage-backed securities investments: | ||||||||
Purchases | (20,823,373 | ) | (3,285,372 | ) | ||||
Sales | 171,155,249 | - | ||||||
Principal repayments | 8,914,759 | 9,815,353 | ||||||
Proceeds from termination of retained interests | - | 275,115 | ||||||
Net settlement of forward settling TBA contracts | (1,500,000 | ) | (2,559,863 | ) | ||||
Purchases of Orchid Island Capital, Inc. common stock | (3,615,712 | ) | - | |||||
NET CASH PROVIDED BY INVESTING ACTIVITIES | 154,130,923 | 4,245,233 | ||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||
Proceeds from repurchase agreements | 430,466,397 | 574,564,000 | ||||||
Principal repayments on repurchase agreements | (588,903,397 | ) | (574,304,000 | ) | ||||
Net proceeds on long-term debt | 142,040 | - | ||||||
Class A common shares repurchased and retired | - | (1,542 | ) | |||||
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES | (158,194,960 | ) | 258,458 | |||||
NET (DECREASE) INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | (6,710,123 | ) | 2,298,995 | |||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 12,385,117 | 6,240,488 | ||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | $ | 5,674,994 | $ | 8,539,483 | ||||
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION: | ||||||||
Cash paid (received) during the period for: | ||||||||
Interest expense | $ | 2,194,813 | $ | 3,318,817 | ||||
Income taxes | $ | 13,465 | $ | (46,700 | ) | |||
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 | June 30, 2020 | December 31, 2019 | |||||||||||||
Cash and cash equivalents | $ | 5,211,532 | $ | 4,429,459 | $ | 4,669,314 | $ | 8,070,067 | ||||||||
Restricted cash | 936,420 | 1,221,978 | 1,005,680 | 4,315,050 | ||||||||||||
Total cash, cash equivalents and restricted cash | $ | 6,147,952 | $ | 5,651,437 | $ | 5,674,994 | $ | 12,385,117 |
(in thousands) | ||||||||||||||||
Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Management fee | $ | 2,645 | $ | 2,611 | $ | 1,268 | $ | 1,327 | ||||||||
Allocated overhead | 695 | 650 | 347 | 327 | ||||||||||||
Total | $ | 3,340 | $ | 3,261 | $ | 1,615 | $ | 1,654 |
(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) | ||||||||
June 30, 2020 | December 31, 2019 | |||||||
Fixed-rate MBS | $ | 52,345 | $ | 216,231 | ||||
Interest-Only MBS | 442 | 1,024 | ||||||
Inverse Interest-Only MBS | 31 | 586 | ||||||
Total | $ | 52,818 | $ | 217,841 |
(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 | OVERNIGHT | BETWEEN 2 | BETWEEN 31 | GREATER | |||||||||||||||||||||||||||||||||
(1 DAY OR | AND | AND | THAN | (1 DAY OR | AND | AND | THAN | |||||||||||||||||||||||||||||||||
LESS) | 30 DAYS | 90 DAYS | 90 DAYS | TOTAL | LESS) | 30 DAYS | 90 DAYS | 90 DAYS | TOTAL | |||||||||||||||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||||||||||||||||||
June 30, 2020 | ||||||||||||||||||||||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||||||||||||||||||||||
interest receivable | $ | - | $ | 75,619 | $ | 122,589 | $ | - | $ | 198,208 | $ | - | $ | 41,868 | $ | - | $ | 11,108 | $ | 52,976 | ||||||||||||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||||||||||||||||||||||
these securities | $ | - | $ | 71,261 | $ | 116,113 | $ | - | $ | 187,374 | $ | - | $ | 40,972 | $ | - | $ | 10,645 | $ | 51,617 | ||||||||||||||||||||
Net weighted average borrowing rate | - | 1.35 | % | 1.34 | % | - | 1.35 | % | - | 0.27 | % | - | 0.30 | % | 0.28 | % | ||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||||||||||||||||||||||
interest receivable | $ | - | $ | 71,565 | $ | 41,334 | $ | 17,172 | $ | 130,071 | $ | - | $ | 137,992 | $ | 80,550 | $ | - | $ | 218,542 | ||||||||||||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||||||||||||||||||||||
these securities | $ | - | $ | 66,919 | $ | 38,733 | $ | 16,176 | $ | 121,828 | $ | - | $ | 132,573 | $ | 77,381 | $ | - | $ | 209,954 | ||||||||||||||||||||
Net weighted average borrowing rate | - | 1.01 | % | 0.96 | % | 0.98 | % | 0.99 | % | - | 2.02 | % | 1.92 | % | - | 1.98 | % |
(in thousands) | |||||||||
Derivative Instruments and Related Accounts | Balance Sheet Location | June 30, 2020 | December 31, 2019 | ||||||
Liabilities | |||||||||
TBA Securities | Other liabilities | $ | - | $ | 59 | ||||
Total derivative liabilities, at fair value | $ | - | $ | 59 | |||||
Margin Balances Posted To (From) Counterparties | |||||||||
Futures contracts | Restricted cash | $ | 2 | $ | 537 | ||||
Total margin balances on derivative contracts | $ | 2 | $ | 537 |
($ 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 June 30, 2020 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2021 | $ | 1,000 | 1.02 | % | 0.19 | % | $ | (8 | ) | |||||||
Total / Weighted Average | $ | 1,000 | 1.02 | % | 0.19 | % | $ | (8 | ) |
($ in thousands) | ||||||||||||||||||||||||||||||||
As of September 30, 2017 | ||||||||||||||||||||||||||||||||
As of December 31, 2019 | ||||||||||||||||||||||||||||||||
Junior Subordinated Debt Funding Hedges | Repurchase Agreement Funding Hedges | |||||||||||||||||||||||||||||||
Average | Weighted | Weighted | Average | Weighted | Weighted | |||||||||||||||||||||||||||
Contract | Average | Average | Contract | Average | Average | |||||||||||||||||||||||||||
Notional | Entry | Effective | Open | Notional | Entry | Effective | Open | |||||||||||||||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | 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 | $ | 120,000 | 2.90 | % | 1.67 | % | $ | (1,480 | ) | ||||||||||||||||
2021 | 26,000 | 2.22 | % | 2.29 | % | $ | 18 | 80,000 | 2.80 | % | 1.57 | % | (984 | ) | ||||||||||||||||||
Total / Weighted Average | $ | 26,000 | 1.92 | % | 2.00 | % | $ | 87 | $ | 102,500 | 2.86 | % | 1.63 | % | $ | (2,464 | ) | |||||||||||||||
Treasury Note Futures Contracts | ||||||||||||||||||||||||||||||||
March 2020- 5-year T-Note futures(2) | ||||||||||||||||||||||||||||||||
(Mar 2020 - Mar 2025 Hedge Period) | $ | 20,000 | 1.96 | % | 2.06 | % | $ | 88 |
($ 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) | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2020 | $ | 19,500 | 1.92 | % | 1.68 | % | $ | (46 | ) | |||||||
Total / Weighted Average | $ | 19,500 | 1.92 | % | 1.68 | % | $ | (46 | ) |
(1) | Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. |
(2) | T-Note futures contracts were valued at a price of $118.61 at December 31, 2019. The notional contract values of the short positions were $23.7 million. |
($ in thousands) | |||||||||
Notional | Net | ||||||||
Amount | Cost | Market | Carrying | ||||||
Long (Short)(1) | Basis(2) | Value(3) | Value(4) | ||||||
December 31, 2019 | |||||||||
30-Year TBA Securities: | |||||||||
3.5% | $ | (50,000) | $ | (51,414) | $ | (51,438) | $ | (24) | |
4.5% | (50,000) | (52,621) | (52,656) | (35) | |||||
$ | (100,000) | $ | (104,035) | $ | (104,094) | $ | (59) |
(1) | Notional amount represents the par value (or principal balance) of the underlying Agency MBS. |
(2) | Cost basis represents the forward price to be paid (received) for the underlying Agency MBS. |
(3) | Market value represents the current market value of the TBA securities (or of the underlying Agency MBS) 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, | Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||||
Eurodollar futures contracts (short positions) | $ | (829 | ) | $ | (1,550 | ) | $ | (19 | ) | $ | 508 | |||||||||||||||||||||
(Losses) gains on derivative instruments | $ | (829 | ) | $ | (1,550 | ) | $ | (19 | ) | $ | 508 | |||||||||||||||||||||
Repurchase agreement funding hedges | $ | (2,328 | ) | $ | (2,831 | ) | $ | - | $ | (1,860 | ) | |||||||||||||||||||||
Junior subordinated debt funding hedges | (517 | ) | (409 | ) | (2 | ) | (189 | ) | ||||||||||||||||||||||||
T-Note futures contracts (short positions) | ||||||||||||||||||||||||||||||||
Repurchase agreement funding hedges | (1,006 | ) | (581 | ) | - | (581 | ) | |||||||||||||||||||||||||
Net TBA securities | (1,441 | ) | (1,801 | ) | - | (734 | ) | |||||||||||||||||||||||||
Losses on derivative instruments | $ | (5,292 | ) | $ | (5,622 | ) | $ | (2 | ) | $ | (3,364 | ) |
($ in thousands) | ||||||||||||||||||||||||||||||||||||
As of September 30, 2017 | ||||||||||||||||||||||||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||||||
Repurchase | Derivative | Repurchase | Derivative | Repurchase | Derivative | |||||||||||||||||||||||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | Agreements | Agreements | Total | Agreements | Agreements | Total | |||||||||||||||||||||||||||
PT MBS - at fair value | $ | 195,151 | $ | - | $ | 195,151 | $ | 52,345 | $ | - | $ | 52,345 | $ | 216,231 | $ | - | $ | 216,231 | ||||||||||||||||||
Structured MBS - at fair value | 2,364 | - | 2,364 | 439 | - | 439 | 1,562 | - | 1,562 | |||||||||||||||||||||||||||
Accrued interest on pledged securities | 693 | - | 693 | 192 | - | 192 | 749 | - | 749 | |||||||||||||||||||||||||||
Cash | 391 | 545 | 936 | |||||||||||||||||||||||||||||||||
Restricted cash | 1,004 | 2 | 1,006 | 3,778 | 537 | 4,315 | ||||||||||||||||||||||||||||||
Total | $ | 198,599 | $ | 545 | $ | 199,144 | $ | 53,980 | $ | 2 | $ | 53,982 | $ | 222,320 | $ | 537 | $ | 222,857 |
($ 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 | June 30, 2020 | December 31, 2019 | ||||||||||||
Cash | $ | 8 | $ | - | ||||||||||||
Repurchase agreements | $ | 204 | $ | - | ||||||||||||
Total | $ | 8 | $ | - | $ | 204 | $ | - |
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Liabilities | Offsetting of Liabilities | Offsetting of Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Gross Amount Not Offset in the | Gross Amount Not Offset in the | |||||||||||||||||||||||||||||||||||||||||||||||
Net Amount | Consolidated Balance Sheet | Net Amount | Consolidated Balance Sheet | |||||||||||||||||||||||||||||||||||||||||||||
Gross Amount | of Liabilities | Financial | Gross Amount | of Liabilities | Financial | |||||||||||||||||||||||||||||||||||||||||||
Gross Amount | Offset in the | Presented in the | Instruments | Cash | Gross Amount | Offset in the | Presented in the | Instruments | Cash | |||||||||||||||||||||||||||||||||||||||
of Recognized | Consolidated | Consolidated | Posted as | Posted as | Net | of Recognized | Consolidated | Consolidated | Posted as | Posted as | Net | |||||||||||||||||||||||||||||||||||||
Liabilities | Balance Sheet | Balance Sheet | Collateral | Collateral | Amount | Liabilities | Balance Sheet | Balance Sheet | Collateral | Collateral | Amount | |||||||||||||||||||||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | $ | 187,374 | $ | - | $ | 187,374 | $ | (186,983 | ) | $ | (391 | ) | $ | - | $ | 51,617 | $ | - | $ | 51,617 | $ | (50,613 | ) | $ | (1,004 | ) | $ | - | ||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||
$ | 51,617 | $ | - | $ | 51,617 | $ | (50,613 | ) | $ | (1,004 | ) | $ | - | |||||||||||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | $ | 121,828 | $ | - | $ | 121,828 | $ | (121,372 | ) | $ | (456 | ) | $ | - | $ | 209,954 | $ | - | $ | 209,954 | $ | (206,176 | ) | $ | (3,778 | ) | $ | - | ||||||||||||||||||||
TBA securities | 59 | - | 59 | - | - | 59 | ||||||||||||||||||||||||||||||||||||||||||
$ | 210,013 | $ | - | $ | 210,013 | $ | (206,176 | ) | $ | (3,778 | ) | $ | 59 |
(in thousands) | ||||||||
June 30, 2020 | December 31, 2019 | |||||||
Junior subordinated debt | $ | 26,804 | $ | 26,804 | ||||
Note payable | 667 | 677 | ||||||
Paycheck Protection Plan ("PPP") loan | 152 | - | ||||||
Total | $ | 27,623 | $ | 27,481 |
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) | ||||
Last six months of 2020 | $ | 10 | ||
2021 | 22 | |||
2022 | 175 | |||
2023 | 24 | |||
2024 | 25 | |||
After 2024 | 27,367 | |||
Total | $ | 27,623 |
($ 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) | ||||||||||||||||
Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Basic and diluted EPS per Class A common share: | ||||||||||||||||
(Loss) income attributable to Class A common shares: | ||||||||||||||||
Basic and diluted | $ | (18,813 | ) | $ | 1,114 | $ | 3,458 | $ | (501 | ) | ||||||
Weighted average common shares: | ||||||||||||||||
Class A common shares outstanding at the balance sheet date | 11,609 | 12,709 | 11,609 | 12,709 | ||||||||||||
Weighted average shares-basic and diluted | 11,609 | 12,709 | 11,609 | 12,709 | ||||||||||||
(Loss) income per Class A common share: | ||||||||||||||||
Basic and diluted | $ | (1.62 | ) | $ | 0.09 | $ | 0.30 | $ | (0.04 | ) |
(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, except per-share information) | ||||||||||||||||
Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Basic and diluted EPS per Class B common share: | ||||||||||||||||
(Loss) income attributable to Class B common shares: | ||||||||||||||||
Basic and diluted | $ | (52 | ) | $ | 3 | $ | 10 | $ | (1 | ) | ||||||
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 | ||||||||||||
(Loss) income per Class B common share: | ||||||||||||||||
Basic and diluted | $ | (1.62 | ) | $ | 0.09 | $ | 0.30 | $ | (0.04 | ) |
(in thousands) | ||||||||||||||||||||||||||||||||
Quoted Prices | Quoted Prices | |||||||||||||||||||||||||||||||
in Active | Significant | in Active | Significant | |||||||||||||||||||||||||||||
Markets for | Other | Significant | Markets for | Other | Significant | |||||||||||||||||||||||||||
Identical | Observable | Unobservable | Identical | Observable | Unobservable | |||||||||||||||||||||||||||
Fair Value | Assets | Inputs | Inputs | Fair Value | Assets | Inputs | Inputs | |||||||||||||||||||||||||
Measurements | (Level 1) | (Level 2) | (Level 3) | Measurements | (Level 1) | (Level 2) | (Level 3) | |||||||||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||||||||||
June 30, 2020 | ||||||||||||||||||||||||||||||||
Mortgage-backed securities | $ | 197,990 | $ | - | $ | 197,990 | $ | - | $ | 52,818 | $ | - | $ | 52,818 | $ | - | ||||||||||||||||
Orchid Island Capital, Inc. common stock | 15,489 | 15,489 | - | - | 11,753 | 11,753 | - | - | ||||||||||||||||||||||||
Retained interests in securitizations | 558 | - | - | 558 | ||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||
Mortgage-backed securities | $ | 130,302 | $ | - | $ | 130,302 | $ | - | $ | 217,841 | $ | - | $ | 217,841 | $ | - | ||||||||||||||||
Orchid Island Capital, Inc. common stock | 15,108 | 15,108 | - | - | 8,892 | 8,892 | - | - | ||||||||||||||||||||||||
Retained interests in securitizations | 1,114 | - | - | 1,114 | ||||||||||||||||||||||||||||
TBA securities | (59 | ) | - | (59 | ) | - |
(in thousands) | ||||||||||||||||
Retained Interests in Secuitizations | Retained Interests in Securitizations | |||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||
Balances, January 1 | $ | 1,114 | $ | 1,124 | $ | - | $ | - | ||||||||
Gain included in earnings | 390 | 2,100 | - | 275 | ||||||||||||
Collections | (946 | ) | (1,758 | ) | - | (275 | ) | |||||||||
Balances, September 30 | $ | 558 | $ | 1,466 | ||||||||||||
Balances, June 30 | $ | - | $ | - |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 3,340 | $ | - | $ | - | $ | - | $ | 3,340 |
Advisory services, other operating segments(1) | 84 | - | - | (84) | - | |||||
Interest and dividend income | - | 3,317 | - | - | 3,317 | |||||
Interest expense | - | (988) | (632)(2) | - | (1,620) | |||||
Net revenues | 3,424 | 2,329 | (632) | (84) | 5,037 | |||||
Other | - | (11,307) | (516)(3) | - | (11,823) | |||||
Operating expenses(4) | (1,690) | (1,701) | - | - | (3,391) | |||||
Intercompany expenses(1) | - | (84) | - | 84 | - | |||||
Income (loss) before income taxes | $ | 1,734 | $ | (10,763) | $ | (1,148) | $ | - | $ | (10,177) |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 3,261 | $ | - | $ | - | $ | - | $ | 3,261 |
Advisory services, other operating segments(1) | 137 | - | - | (137) | - | |||||
Interest and dividend income | - | 5,053 | 1 | - | 5,054 | |||||
Interest expense | - | (2,653) | (806)(2) | - | (3,459) | |||||
Net revenues | 3,398 | 2,400 | (805) | (137) | 4,856 | |||||
Other | - | 18 | (134)(3) | - | (116) | |||||
Operating expenses(4) | (1,272) | (1,947) | - | - | (3,219) | |||||
Intercompany expenses(1) | - | (137) | - | 137 | - | |||||
Income (loss) before income taxes | $ | 2,126 | $ | 334 | $ | (939) | $ | - | $ | 1,521 |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 1,615 | $ | - | $ | - | $ | - | $ | 1,615 |
Advisory services, other operating segments(1) | 26 | - | - | (26) | - | |||||
Interest and dividend income | - | 912 | - | - | 912 | |||||
Interest expense | - | (60) | (282)(2) | - | (342) | |||||
Net revenues | 1,641 | 852 | (282) | (26) | 2,185 | |||||
Other | - | 4,256 | (2)(3) | - | 4,254 | |||||
Operating expenses(4) | (1,067) | (618) | - | - | (1,685) | |||||
Intercompany expenses(1) | - | (26) | - | 26 | - | |||||
Income (loss) before income taxes | $ | 574 | $ | 4,464 | $ | (284) | $ | - | $ | 4,754 |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 1,654 | $ | - | $ | - | $ | - | $ | 1,654 |
Advisory services, other operating segments(1) | 69 | - | - | (69) | - | |||||
Interest and dividend income | - | 2,498 | - | - | 2,498 | |||||
Interest expense | - | (1,340) | (400)(2) | - | (1,740) | |||||
Net revenues | 1,723 | 1,158 | (400) | (69) | 2,412 | |||||
Other | - | (1,286) | (188)(3) | - | (1,474) | |||||
Operating expenses(4) | (642) | (956) | - | - | (1,598) | |||||
Intercompany expenses(1) | - | (69) | - | 69 | - | |||||
Income (loss) before income taxes | $ | 1,081 | $ | (1,153) | $ | (588) | $ | - | $ | (660) |
(1) | Includes fees paid by Royal Palm to Bimini Advisors for advisory services. |
(2) | Includes interest on long-term debt. |
(3) | Includes gains (losses) on Eurodollar futures contracts entered into as a hedge on junior subordinated notes and fair value adjustments on retained interests in securitizations. |
(4) | Corporate expenses are allocated based on each segment’s proportional share of total revenues. |
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) | ||||||||||||||||
Asset | Investment | |||||||||||||||
Management | Portfolio | Corporate | Total | |||||||||||||
June 30, 2020 | $ | 1,500 | $ | 84,913 | 14,893 | $ | 101,306 | |||||||||
December 31, 2019 | 1,457 | 263,223 | 14,809 | 279,489 |
(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 |
(in thousands) | ||||||||||||||||||||||||
Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||||||||||
2020 | 2019 | Change | 2020 | 2019 | Change | |||||||||||||||||||
Advisory services revenues | $ | 3,340 | $ | 3,261 | $ | 79 | $ | 1,615 | $ | 1,654 | $ | (39 | ) | |||||||||||
Interest and dividend income | 3,317 | 5,054 | (1,737 | ) | 912 | 2,498 | (1,586 | ) | ||||||||||||||||
Interest expense | (1,620 | ) | (3,459 | ) | 1,839 | (342 | ) | (1,740 | ) | 1,398 | ||||||||||||||
Net revenues | 5,037 | 4,856 | 181 | 2,185 | 2,412 | (227 | ) | |||||||||||||||||
Other (expense) income | (11,823 | ) | (116 | ) | (11,707 | ) | 4,254 | (1,474 | ) | 5,728 | ||||||||||||||
Expenses | (3,391 | ) | (3,219 | ) | (172 | ) | (1,685 | ) | (1,598 | ) | (87 | ) | ||||||||||||
Net (loss) income before income tax provision (benefit) | (10,177 | ) | 1,521 | (11,698 | ) | 4,754 | (660 | ) | 5,414 | |||||||||||||||
Income tax provision (benefit) | 8,688 | 404 | 8,284 | 1,286 | (158 | ) | 1,444 | |||||||||||||||||
Net (loss) income | $ | (18,865 | ) | $ | 1,117 | $ | (19,982 | ) | $ | 3,468 | $ | (502 | ) | $ | 3,970 |
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 | ) |
Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Recognized in | ||||||||||||
Statement of | TBA | |||||||||||
Operations | Securities | Futures | ||||||||||
Three Months Ended | (GAAP) | Loss | Contracts | |||||||||
June 30, 2020 | $ | (2 | ) | $ | - | $ | (2 | ) | ||||
March 31, 2020 | (5,291 | ) | (1,441 | ) | (3,850 | ) | ||||||
December 31, 2019 | 287 | (192 | ) | 479 | ||||||||
September 30, 2019 | (483 | ) | (204 | ) | (279 | ) | ||||||
June 30, 2019 | (3,364 | ) | (734 | ) | (2,630 | ) | ||||||
March 31, 2019 | (2,258 | ) | (1,067 | ) | (1,191 | ) | ||||||
(in thousands) | ||||||||||||
Recognized in | ||||||||||||
Statement of | TBA | |||||||||||
Operations | Securities | Futures | ||||||||||
Six Months Ended | (GAAP) | Loss | Contracts | |||||||||
June 30, 2020 | $ | (5,292 | ) | $ | (1,441 | ) | $ | (3,851 | ) | |||
June 30, 2019 | (5,622 | ) | (1,801 | ) | (3,821 | ) |
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 | ) | ||||||
Gains (Losses) on Derivative Instruments - Attributed to Current Period (Non-GAAP) | ||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Attributed to Current Period (Non-GAAP) | Attributed to Future Periods (Non-GAAP) | |||||||||||||||||||||||||||
Repurchase | Long-Term | Repurchase | Long-Term | Statement of | ||||||||||||||||||||||||
Three Months Ended | Agreements | Debt | Total | Agreements | Debt | Total | Operations | |||||||||||||||||||||
June 30, 2020 | $ | (456 | ) | $ | (40 | ) | $ | (496 | ) | $ | 456 | $ | 38 | $ | 494 | $ | (2 | ) | ||||||||||
March 31, 2020 | (456 | ) | (40 | ) | (496 | ) | (2,879 | ) | (475 | ) | (3,354 | ) | (3,850 | ) | ||||||||||||||
December 31, 2019 | 510 | 56 | 566 | (50 | ) | (37 | ) | (87 | ) | 479 | ||||||||||||||||||
September 30, 2019 | (124 | ) | 61 | (63 | ) | (155 | ) | (61 | ) | (216 | ) | (279 | ) | |||||||||||||||
June 30, 2019 | (226 | ) | 43 | (183 | ) | (2,215 | ) | (232 | ) | (2,447 | ) | (2,630 | ) | |||||||||||||||
March 31, 2019 | 5 | 65 | 70 | (976 | ) | (285 | ) | (1,261 | ) | (1,191 | ) | |||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Attributed to Current Period (Non-GAAP) | Attributed to Current Period (Non-GAAP) | |||||||||||||||||||||||||||
Junior | Junior | |||||||||||||||||||||||||||
Repurchase | Subordinated | Repurchase | Subordinated | Statement of | ||||||||||||||||||||||||
Six Months Ended | Agreements | Debt | Total | Agreements | Debt | Total | Operations | |||||||||||||||||||||
June 30, 2020 | $ | (912 | ) | $ | (80 | ) | $ | (992 | ) | $ | (2,422 | ) | $ | (437 | ) | $ | (2,859 | ) | $ | (3,851 | ) | |||||||
June 30, 2019 | (221 | ) | 108 | (113 | ) | (3,191 | ) | (517 | ) | (3,708 | ) | $ | (3,821 | ) |
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) | ||||||||||||||||||
June 30, 2020 | $ | 523 | $ | 60 | $ | (456 | ) | $ | 516 | $ | 463 | $ | 7 | |||||||||||
March 31, 2020 | 2,040 | 928 | (456 | ) | 1,384 | 1,112 | 656 | |||||||||||||||||
December 31, 2019 | 1,899 | 948 | 510 | 438 | 951 | 1,461 | ||||||||||||||||||
September 30, 2019 | 1,646 | 1,002 | (124 | ) | 1,126 | 644 | 520 | |||||||||||||||||
June 30, 2019 | 2,134 | 1,340 | (226 | ) | 1,566 | 794 | 568 | |||||||||||||||||
March 31, 2019 | 2,190 | 1,313 | 5 | 1,308 | 877 | 882 | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Interest Expense on Repurchase Agreements | Net Portfolio | |||||||||||||||||||||||
Effect of | Interest Income | |||||||||||||||||||||||
Interest | GAAP | Non-GAAP | Economic | GAAP | Economic | |||||||||||||||||||
Six Months Ended | Income | Basis | Hedges(1) | Basis(2) | Basis | Basis(3) | ||||||||||||||||||
June 30, 2020 | $ | 2,563 | $ | 988 | $ | (912 | ) | $ | 1,900 | $ | 1,575 | $ | 663 | |||||||||||
June 30, 2019 | 4,324 | 2,653 | (221 | ) | 2,874 | 1,671 | 1,450 |
(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 |
(1) | Reflects the effect of derivative instrument hedges for only the period presented. |
(2) | Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense. |
(3) | Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income. |
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 |
Economic Net Interest Income | ||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Long-Term Debt | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income (Loss) | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Three Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
June 30, 2020 | $ | 463 | $ | 7 | $ | 282 | $ | (40 | ) | $ | 322 | $ | 181 | $ | (315 | ) | ||||||||||||
March 31, 2020 | 1,112 | 656 | 350 | (40 | ) | 390 | 762 | 266 | ||||||||||||||||||||
December 31, 2019 | 951 | 1,461 | 376 | 56 | 320 | 575 | 1,141 | |||||||||||||||||||||
September 30, 2019 | 644 | 520 | 390 | 61 | 329 | 254 | 191 | |||||||||||||||||||||
June 30, 2019 | 794 | 568 | 400 | 43 | 357 | 394 | 211 | |||||||||||||||||||||
March 31, 2019 | 877 | 882 | 406 | 65 | 341 | 471 | 541 | |||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Junior Subordinated Notes | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income (Loss) | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Six Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
June 30, 2020 | $ | 1,575 | $ | 663 | $ | 632 | $ | (80 | ) | $ | 712 | $ | 943 | $ | (49 | ) | ||||||||||||
June 30, 2019 | 1,671 | 1,450 | 806 | 108 | 698 | 865 | 752 |
(1) | Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income. |
(2) | Reflects the effect of derivative instrument hedges for only the period presented. |
(3) | Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense. |
(4) | Calculated by |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 3,340 | $ | - | $ | - | $ | - | $ | 3,340 |
Advisory services, other operating segments(1) | 84 | - | - | (84) | - | |||||
Interest and dividend income | - | 3,317 | - | - | 3,317 | |||||
Interest expense | - | (988) | (632)(2) | - | (1,620) | |||||
Net revenues | 3,424 | 2,329 | (632) | (84) | 5,037 | |||||
Other | - | (11,307) | (516)(3) | - | (11,823) | |||||
Operating expenses(4) | (1,690) | (1,701) | - | - | (3,391) | |||||
Intercompany expenses(1) | - | (84) | - | 84 | - | |||||
Income (loss) before income taxes | $ | 1,734 | $ | (10,763) | $ | (1,148) | $ | - | $ | (10,177) |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 3,261 | $ | - | $ | - | $ | - | $ | 3,261 |
Advisory services, other operating segments(1) | 137 | - | - | (137) | - | |||||
Interest and dividend income | - | 5,053 | 1 | - | 5,054 | |||||
Interest expense | - | (2,653) | (806)(2) | - | (3,459) | |||||
Net revenues | 3,398 | 2,400 | (805) | (137) | 4,856 | |||||
Other | - | 18 | (134)(3) | - | (116) | |||||
Operating expenses(4) | (1,272) | (1,947) | - | - | (3,219) | |||||
Intercompany expenses(1) | - | (137) | - | 137 | - | |||||
Income (loss) before income taxes | $ | 2,126 | $ | 334 | $ | (939) | $ | - | $ | 1,521 |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 1,615 | $ | - | $ | - | $ | - | $ | 1,615 |
Advisory services, other operating segments(1) | 26 | - | - | (26) | - | |||||
Interest and dividend income | - | 912 | - | - | 912 | |||||
Interest expense | - | (60) | (282)(2) | - | (342) | |||||
Net revenues | 1,641 | 852 | (282) | (26) | 2,185 | |||||
Other | - | 4,256 | (2)(3) | - | 4,254 | |||||
Operating expenses(4) | (1,067) | (618) | - | - | (1,685) | |||||
Intercompany expenses(1) | - | (26) | - | 26 | - | |||||
Income (loss) before income taxes | $ | 574 | $ | 4,464 | $ | (284) | $ | - | $ | 4,754 |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 1,654 | $ | - | $ | - | $ | - | $ | 1,654 |
Advisory services, other operating segments(1) | 69 | - | - | (69) | - | |||||
Interest and dividend income | - | 2,498 | - | - | 2,498 | |||||
Interest expense | - | (1,340) | (400)(2) | - | (1,740) | |||||
Net revenues | 1,723 | 1,158 | (400) | (69) | 2,412 | |||||
Other | - | (1,286) | (188)(3) | - | (1,474) | |||||
Operating expenses(4) | (642) | (956) | - | - | (1,598) | |||||
Intercompany expenses(1) | - | (69) | - | 69 | - | |||||
Income (loss) before income taxes | $ | 1,081 | $ | (1,153) | $ | (588) | $ | - | $ | (660) |
(1) | Includes advisory services revenue received by Bimini Advisors from Royal Palm. |
(2) | Includes interest on long-term debt. |
(3) | Includes gains (losses) on Eurodollar futures contracts entered into as a hedge on junior subordinated notes and fair value adjustments on retained interests in securitizations. |
(4) | Corporate expenses are allocated based on each segment’s proportional share of total revenues. |
(in thousands) | ||||||||||||||||
Asset | Investment | |||||||||||||||
Management | Portfolio | Corporate | Total | |||||||||||||
June 30, 2020 | $ | 1,500 | $ | 84,913 | $ | 14,893 | $ | 101,306 | ||||||||
December 31, 2019 | 1,457 | 263,223 | 14,809 | 279,489 |
(in thousands) | ||||||||||||||||||||
Average | Average | Advisory Services | ||||||||||||||||||
Orchid | Orchid | Management | Overhead | |||||||||||||||||
Three Months Ended | MBS | Equity | Fee | Allocation | Total | |||||||||||||||
June 30, 2020 | $ | 3,126,779 | $ | 361,093 | 1,268 | 347 | 1,615 | |||||||||||||
March 31, 2020 | 3,269,859 | 356,685 | 1,377 | 348 | 1,725 | |||||||||||||||
December 31, 2019 | 3,705,920 | 414,018 | 1,477 | 379 | 1,856 | |||||||||||||||
September 30, 2019 | 3,674,087 | 394,788 | 1,440 | 351 | 1,791 | |||||||||||||||
June 30, 2019 | 3,307,885 | 363,961 | 1,326 | 328 | 1,654 | |||||||||||||||
March 31, 2019 | 3,051,509 | 363,204 | 1,285 | 322 | 1,607 |
($ 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) | ||||||||||||||||||||||||||||||||
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) | ||||||||||||||||||||||||
June 30, 2020 | $ | 53,630 | $ | 523 | 3.90 | % | $ | 51,987 | $ | 60 | $ | 516 | 0.46 | % | 3.97 | % | ||||||||||||||||
March 31, 2020 | 136,142 | 2,040 | 5.99 | % | 131,156 | 928 | 1,384 | 2.83 | % | 4.22 | % | |||||||||||||||||||||
December 31, 2019 | 190,534 | 1,898 | 3.99 | % | 182,215 | 948 | 438 | 2.08 | % | 0.96 | % | |||||||||||||||||||||
September 30, 2019 | 187,199 | 1,646 | 3.52 | % | 177,566 | 1,002 | 1,126 | 2.26 | % | 2.54 | % | |||||||||||||||||||||
June 30, 2019 | 211,406 | 2,134 | 4.04 | % | 199,901 | 1,340 | 1,566 | 2.68 | % | 3.13 | % | |||||||||||||||||||||
March 31, 2019 | 212,033 | 2,190 | 4.13 | % | 199,771 | 1,313 | 1,308 | 2.63 | % | 2.62 | % | |||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||
Average | Yield on | Average | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||
MBS | Interest | Average | Repurchase | GAAP | Economic | GAAP | Economic | |||||||||||||||||||||||||
Six Months Ended | Held(1) | Income(2) | MBS | Agreements(1) | Basis | Basis(2) | Basis | Basis(3) | ||||||||||||||||||||||||
June 30, 2020 | $ | 94,886 | $ | 2,563 | 5.40 | % | $ | 91,571 | $ | 988 | $ | 1,900 | 2.16 | % | 4.15 | % | ||||||||||||||||
June 30, 2019 | 211,719 | 4,324 | 4.08 | % | 199,836 | 2,653 | 2,874 | 2.66 | % | 2.88 | % |
($ 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) | ||||||||||||||||
Net Portfolio | Net Portfolio | |||||||||||||||
Interest Income | Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Three Months Ended | Basis | Basis(2) | Basis | Basis(4) | ||||||||||||
June 30, 2020 | 463 | 7 | 3.44 | % | (0.07 | )% | ||||||||||
March 31, 2020 | 1,112 | 656 | 3.16 | % | 1.77 | % | ||||||||||
December 31, 2019 | 951 | 1,461 | 1.91 | % | 3.03 | % | ||||||||||
September 30, 2019 | 644 | 520 | 1.26 | % | 0.98 | % | ||||||||||
June 30, 2019 | 794 | 568 | 1.36 | % | 0.91 | % | ||||||||||
March 31, 2019 | 877 | 882 | 1.50 | % | 1.51 | % | ||||||||||
($ in thousands) | ||||||||||||||||
Net Portfolio | Net Portfolio | |||||||||||||||
Interest Income | Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Six Months Ended | Basis | Basis(2) | Basis | Basis(4) | ||||||||||||
June 30, 2020 | $ | 1,575 | $ | 663 | 3.24 | % | 1.25 | % | ||||||||
June 30, 2019 | 1,671 | 1,450 | 1.42 | % | 1.20 | % |
(1) | Portfolio yields and costs of borrowings presented in the tables above and the tables on pages |
(2) | Economic interest expense and economic net interest income presented in the tables above and the tables on page |
(3) | Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period related to hedging activities divided by average MBS. |
(4) | Economic net interest spread is calculated by subtracting average economic cost of funds from yield on average MBS. |
($ 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 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 | |||||||||||||||||||||||||||
June 30, 2020 | $ | 53,101 | $ | 529 | $ | 53,630 | $ | 502 | $ | 21 | $ | 523 | 3.78 | % | 16.12 | % | 3.90 | % | ||||||||||||||||||
March 31, 2020 | 135,044 | 1,098 | 136,142 | 2,029 | 11 | 2,040 | 6.01 | % | 3.93 | % | 5.99 | % | ||||||||||||||||||||||||
December 31, 2019 | 188,884 | 1,650 | 190,534 | 1,870 | 28 | 1,898 | 3.96 | % | 6.90 | % | 3.99 | % | ||||||||||||||||||||||||
September 30, 2019 | 185,309 | 1,890 | 187,199 | 1,652 | (6 | ) | 1,646 | 3.57 | % | (1.15 | )% | 3.52 | % | |||||||||||||||||||||||
June 30, 2019 | 209,171 | 2,235 | 211,406 | 2,111 | 23 | 2,134 | 4.04 | % | 4.01 | % | 4.04 | % | ||||||||||||||||||||||||
March 31, 2019 | 209,469 | 2,564 | 212,033 | 2,143 | 47 | 2,190 | 4.09 | % | 7.42 | % | 4.13 | % | ||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||
Average MBS Held | Interest Income | Realized Yield on Average MBS | ||||||||||||||||||||||||||||||||||
PT | Structured | PT | Structured | PT | Structured | |||||||||||||||||||||||||||||||
Six Months Ended | MBS | MBS | Total | MBS | MBS | Total | MBS | MBS | Total | |||||||||||||||||||||||||||
June 30, 2020 | $ | 94,073 | $ | 813 | $ | 94,886 | $ | 2,531 | $ | 32 | $ | 2,563 | 5.38 | % | 7.89 | % | 5.40 | % | ||||||||||||||||||
June 30, 2019 | 209,320 | 2,399 | 211,719 | 4,254 | 70 | 4,324 | 4.06 | % | 5.83 | % | 4.08 | % |
($ 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 | % |
($ in thousands) | ||||||||||||||||||||
Average | ||||||||||||||||||||
Balance of | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Repurchase | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Three Months Ended | Agreements | Basis | Basis | Basis | Basis | |||||||||||||||
June 30, 2020 | $ | 51,987 | $ | 60 | $ | 516 | 0.46 | % | 3.97 | % | ||||||||||
March 31, 2020 | 131,156 | 928 | 1,384 | 2.83 | % | 4.22 | % | |||||||||||||
December 31, 2019 | 182,215 | 948 | 438 | 2.08 | % | 0.96 | % | |||||||||||||
September 30, 2019 | 177,566 | 1,002 | 1,126 | 2.26 | % | 2.54 | % | |||||||||||||
June 30, 2019 | 199,901 | 1,340 | 1,566 | 2.68 | % | 3.13 | % | |||||||||||||
March 31, 2019 | 199,771 | 1,313 | 1,308 | 2.63 | % | 2.62 | % | |||||||||||||
($ in thousands) | ||||||||||||||||||||
Average | ||||||||||||||||||||
Balance of | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Repurchase | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Six Months Ended | Agreements | Basis | Basis | Basis | Basis | |||||||||||||||
June 30, 2020 | $ | 91,571 | $ | 988 | $ | 1,900 | 2.16 | % | 4.15 | % | ||||||||||
June 30, 2019 | 199,836 | 2,653 | 2,874 | 2.66 | % | 2.88 | % |
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 | ||||||||||||||||||
June 30, 2020 | 0.55 | % | 0.70 | % | (0.09 | )% | (0.24 | )% | 3.42 | % | 3.27 | % | ||||||||||||
March 31, 2020 | 1.34 | % | 1.43 | % | 1.49 | % | 1.40 | % | 2.88 | % | 2.79 | % | ||||||||||||
December 31, 2019 | 1.90 | % | 1.98 | % | 0.18 | % | 0.10 | % | (0.94 | )% | (1.02 | )% | ||||||||||||
September 30, 2019 | 2.22 | % | 2.18 | % | 0.04 | % | 0.08 | % | 0.32 | % | 0.36 | % | ||||||||||||
June 30, 2019 | 2.45 | % | 2.49 | % | 0.23 | % | 0.19 | % | 0.68 | % | 0.64 | % | ||||||||||||
March 31, 2019 | 2.50 | % | 2.77 | % | 0.13 | % | (0.14 | )% | 0.12 | % | (0.15 | )% | ||||||||||||
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 | )% |
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 | ||||||||||||||||||||
Six Months Ended | One-Month | Six-Month | LIBOR | LIBOR | LIBOR | LIBOR | ||||||||||||||||||
June 30, 2020 | 0.94 | % | 1.06 | % | 1.22 | % | 1.10 | % | 3.21 | % | 3.09 | % | ||||||||||||
June 30, 2019 | 2.48 | % | 2.63 | % | 0.18 | % | 0.03 | % | 0.40 | % | 0.25 | % |
(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 | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||||||||||
2020 | 2019 | Change | 2020 | 2019 | Change | |||||||||||||||||||
Realized losses on sales of MBS | $ | (5,805 | ) | $ | - | $ | (5,805 | ) | $ | - | $ | - | $ | - | ||||||||||
Unrealized gains on MBS | 28 | 5,276 | (5,248 | ) | 602 | 2,224 | (1,622 | ) | ||||||||||||||||
Total (losses) gains on MBS | (5,777 | ) | 5,276 | (11,053 | ) | 602 | 2,224 | (1,622 | ) | |||||||||||||||
Losses on derivative instruments | (5,292 | ) | (5,622 | ) | 330 | (2 | ) | (3,364 | ) | 3,362 | ||||||||||||||
Gains on retained interests in securitizations | - | 275 | (275 | ) | - | - | - | |||||||||||||||||
Unrealized (losses) gains on | ||||||||||||||||||||||||
Orchid Island Capital, Inc. common stock | (755 | ) | (46 | ) | (709 | ) | 3,653 | (334 | ) | 3,987 |
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 | % |
5 Year | 10 Year | 15 Year | 30 Year | Three | ||||||||||||||||
U.S. Treasury | U.S. Treasury | Fixed-Rate | Fixed-Rate | Month | ||||||||||||||||
Rate(1) | Rate(1) | Mortgage Rate(2) | Mortgage Rate(2) | Libor(3) | ||||||||||||||||
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 | % | ||||||||||
December 31, 2019 | 1.69 | % | 1.92 | % | 3.18 | % | 3.72 | % | 1.91 | % | ||||||||||
September 30, 2019 | 1.55 | % | 1.68 | % | 3.12 | % | 3.61 | % | 2.13 | % | ||||||||||
June 30, 2019 | 1.76 | % | 2.00 | % | 3.24 | % | 3.80 | % | 2.40 | % | ||||||||||
March 31, 2019 | 2.24 | % | 2.41 | % | 3.72 | % | 4.27 | % | 2.61 | % |
(1) | Historical 5 Year and 10 Year U.S. Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange. |
(2) | Historical |
(3) | Historical LIBOR are obtained from the Intercontinental Exchange Benchmark Administration Ltd. |
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | Six Months Ended June 30, | Three Months Ended June 30, | |||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | 2020 | 2019 | Change | 2020 | 2019 | Change | |||||||||||||||||||||||||||||||||||||
Compensation and related benefits | $ | 2,684 | $ | 2,274 | $ | 410 | $ | 869 | $ | 723 | $ | 146 | $ | 2,147 | $ | 2,088 | $ | 59 | $ | 1,047 | $ | 1,017 | $ | 30 | ||||||||||||||||||||||||
Legal fees | 81 | 144 | (63 | ) | 40 | 40 | - | 95 | 96 | (1 | ) | 75 | 70 | 5 | ||||||||||||||||||||||||||||||||||
Accounting, auditing and other professional fees | 266 | 308 | (42 | ) | 80 | 118 | (38 | ) | 251 | 188 | 63 | 112 | 75 | 37 | ||||||||||||||||||||||||||||||||||
Directors' fees and liability insurance | 498 | 467 | 31 | 165 | 155 | 10 | ||||||||||||||||||||||||||||||||||||||||||
Directors’ fees and liability insurance | 346 | 321 | 25 | 181 | 161 | 20 | ||||||||||||||||||||||||||||||||||||||||||
Administrative and other expenses | 1,022 | 888 | 134 | 364 | 321 | 43 | 552 | 526 | 26 | 270 | 275 | (5 | ) | |||||||||||||||||||||||||||||||||||
$ | 4,551 | $ | 4,081 | $ | 470 | $ | 1,518 | $ | 1,357 | $ | 161 | $ | 3,391 | $ | 3,219 | $ | 172 | $ | 1,685 | $ | 1,598 | $ | 87 |
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 |
Structured | ||||||||||||
PT MBS | MBS | Total | ||||||||||
Three Months Ended | Portfolio (%) | Portfolio (%) | Portfolio (%) | |||||||||
June 30, 2020 | 12.4 | 25.0 | 15.3 | |||||||||
March 31, 2020 | 11.6 | 18.1 | 13.7 | |||||||||
December 31, 2019 | 15.6 | 15.6 | 15.6 | |||||||||
September 30, 2019 | 9.5 | 16.2 | 10.5 | |||||||||
June 30, 2019 | 9.9 | 14.6 | 10.5 | |||||||||
March 31, 2019 | 5.7 | 13.4 | 6.8 |
($ 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) | ||||||
Weighted | ||||||
Percentage | Average | |||||
of | Weighted | Maturity | ||||
Fair | Entire | Average | in | Longest | ||
Asset Category | Value | Portfolio | Coupon | Months | Maturity | |
June 30, 2020 | ||||||
Fixed Rate MBS | $ | 52,345 | 99.1% | 4.18% | 332 | 1-Feb-50 |
Interest-Only MBS | 442 | 0.8% | 3.60% | 292 | 15-Jul-48 | |
Inverse Interest-Only MBS | 31 | 0.1% | 5.19% | 227 | 15-May-39 | |
Total MBS Portfolio | $ | 52,818 | 100.0% | 4.17% | 331 | 1-Feb-50 |
December 31, 2019 | ||||||
Fixed Rate MBS | $ | 216,231 | 99.3% | 4.25% | 316 | 1-Nov-49 |
Interest-Only MBS | 1,024 | 0.4% | 3.65% | 281 | 15-Jul-48 | |
Inverse Interest-Only MBS | 586 | 0.3% | 4.77% | 254 | 25-Apr-41 | |
Total MBS Portfolio | $ | 217,841 | 100.0% | 4.25% | 316 | 1-Nov-49 |
($ in thousands) | ||||||||||||||||||||||||||||||||
September 30, 2017 | December 31, 2016 | June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||
Percentage of | Percentage of | Percentage of | Percentage of | |||||||||||||||||||||||||||||
Agency | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | ||||||||||||||||||||||||
Fannie Mae | $ | 171,565 | 86.7 | % | $ | 120,961 | 92.8 | % | $ | 25,552 | 48.4 | % | $ | 203,321 | 93.3 | % | ||||||||||||||||
Freddie Mac | 26,201 | 13.2 | % | 8,870 | 6.8 | % | 27,263 | 51.6 | % | 14,499 | 6.7 | % | ||||||||||||||||||||
Ginnie Mae | 224 | 0.1 | % | 471 | 0.4 | % | 3 | 0.0 | % | 21 | 0.0 | % | ||||||||||||||||||||
Total Portfolio | $ | 197,990 | 100.0 | % | $ | 130,302 | 100.0 | % | $ | 52,818 | 100.0 | % | $ | 217,841 | 100.0 | % |
September 30, 2017 | December 31, 2016 | June 30, 2020 | December 31, 2019 | |||||||||||||
Weighted Average Pass-through Purchase Price | $ | 109.33 | $ | 110.31 | $ | 108.92 | $ | 107.12 | ||||||||
Weighted Average Structured Purchase Price | $ | 6.02 | $ | 6.74 | $ | 5.38 | $ | 6.39 | ||||||||
Weighted Average Pass-through Current Price | $ | 108.00 | $ | 107.54 | $ | 111.54 | $ | 108.77 | ||||||||
Weighted Average Structured Current Price | $ | 7.38 | $ | 10.40 | $ | 3.34 | $ | 6.91 | ||||||||
Effective Duration (1) | 3.867 | 4.769 | 3.155 | 3.196 |
(1) | Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of |
($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||||||||||||||||||||||||||||||||||
Total Cost | Average Price | Weighted Average Yield | Total Cost | Average Price | Weighted Average Yield | 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 | % | $ | 20,823 | $ | 110.83 | 2.64 | % | $ | 3,285 | $ | 104.12 | 3.35 | % |
($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair | $ Change in Fair Value | % Change in Fair Value | Fair | $ Change in Fair Value | % Change in Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
MBS Portfolio | Value | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | Value | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | ||||||||||||||||||||||||||||||||||||||||||
Fixed Rate MBS | $ | 195,151 | $ | 6,177 | $ | (10,066 | ) | $ | (22,189 | ) | 3.17 | % | (5.16 | )% | (11.37 | )% | $ | 52,345 | $ | 1,582 | $ | (1,962 | ) | $ | (4,378 | ) | 3.02 | % | (3.75 | )% | (8.36 | )% | ||||||||||||||||||||||||
Interest-Only MBS | 1,643 | (621 | ) | 465 | 735 | (37.77 | )% | 28.31 | % | 44.75 | % | 442 | (53 | ) | 118 | 245 | (12.12 | )% | 26.85 | % | 55.43 | % | ||||||||||||||||||||||||||||||||||
Inverse Interest-Only MBS | 1,196 | (134 | ) | (51 | ) | (256 | ) | (11.17 | )% | (4.27 | )% | (21.37 | )% | 31 | 2 | (4 | ) | (9 | ) | 5.29 | % | (14.40 | )% | (28.18 | )% | |||||||||||||||||||||||||||||||
Total MBS Portfolio | $ | 197,990 | $ | 5,422 | $ | (9,652 | ) | $ | (21,710 | ) | 2.74 | % | (4.88 | )% | (10.96 | )% | $ | 52,818 | $ | 1,531 | $ | (1,848 | ) | $ | (4,142 | ) | 2.90 | % | (3.50 | )% | (7.84 | )% |
($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional | $ Change in Fair Value | % Change in Fair Value | Notional | $ Change in Fair Value | % Change in Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
Amount(1) | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | 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 | % | $ | 1,000 | $ | (10 | ) | $ | 10 | $ | 20 | (1.00 | )% | 1.00 | % | 2.00 | % | ||||||||||||||||||||||||||||||
$ | 1,462,000 | $ | (2,438 | ) | $ | 3,655 | $ | 7,310 | (0.68 | )% | 1.02 | % | 2.04 | % | $ | 1,000 | $ | (10 | ) | $ | 10 | $ | 20 | |||||||||||||||||||||||||||||||||
Gross Totals | $ | 2,984 | $ | (5,997 | ) | $ | (14,400 | ) | $ | 1,521 | $ | (1,838 | ) | $ | (4,122 | ) |
(1) | Represents the |
($ 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) | ||||||||||||||||||||
Ending | Maximum | Average | Difference Between Ending | |||||||||||||||||
Balance | Balance | Balance | Repurchase Agreements and | |||||||||||||||||
of Repurchase | of Repurchase | of Repurchase | Average Repurchase Agreements | |||||||||||||||||
Three Months Ended | Agreements | Agreements | Agreements | Amount | Percent | |||||||||||||||
June 30, 2020 | $ | 51,617 | $ | 52,068 | $ | 51,987 | $ | (370 | ) | (0.71 | )% | |||||||||
March 31, 2020 | 52,357 | 214,921 | 131,156 | (78,799 | ) | (60.08 | )%(1) | |||||||||||||
December 31, 2019 | 209,954 | 239,243 | 182,215 | 27,739 | 15.22 | %(2) | ||||||||||||||
September 30, 2019 | 154,475 | 200,552 | 177,566 | (23,091 | ) | (13.00 | )%(3) | |||||||||||||
June 30, 2019 | 200,656 | 200,776 | 199,901 | 755 | 0.38 | % | ||||||||||||||
March 31, 2019 | 199,146 | 200,113 | 199,771 | (625 | ) | (0.31 | )% |
(1) | The lower ending balance relative to the average balance during the quarter ended March 31, 2020 reflects the Company’s response to the COVID-19 pandemic. During the quarter ended March 31, 2020, the Company's investment in PT MBS decreased $162.4 million. |
(2) | The higher ending balance relative to the average balance during the quarter ended |
(3) | The |
(in thousands) | ||||||||||||||||||||||||||||||||||||||||
Obligations Maturing | Obligations Maturing | |||||||||||||||||||||||||||||||||||||||
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | |||||||||||||||||||||||||||||||
Repurchase agreements | $ | 187,374 | $ | - | $ | - | $ | - | $ | 187,374 | $ | 51,617 | $ | - | $ | - | $ | - | $ | 51,617 | ||||||||||||||||||||
Interest expense on repurchase agreements(1) | 521 | - | - | - | 521 | 51 | - | - | - | 51 | ||||||||||||||||||||||||||||||
Junior subordinated notes(2) | - | - | - | 26,000 | 26,000 | - | - | - | 26,000 | 26,000 | ||||||||||||||||||||||||||||||
Interest expense on junior subordinated notes(1) | 1,326 | 2,545 | 2,541 | 16,793 | 23,205 | 1,049 | 2,010 | 2,013 | 10,521 | 15,593 | ||||||||||||||||||||||||||||||
Litigation settlement | 250 | 250 | - | - | 500 | |||||||||||||||||||||||||||||||||||
Principal and interest on mortgage loan(1) | 54 | 107 | 104 | 771 | 1,036 | |||||||||||||||||||||||||||||||||||
Totals | $ | 189,471 | $ | 2,795 | $ | 2,541 | $ | 42,793 | $ | 237,600 | $ | 52,771 | $ | 2,117 | $ | 2,117 | $ | 37,292 | $ | 94,297 |
(1) | Interest expense on repurchase agreements, |
(2) | We hold a common equity interest in Bimini Capital Trust II. The amount presented represents |
* | Filed herewith. |
** | Furnished herewith |
*** | Submitted electronically herewith. |
Date: | By: | /s/ Robert E. Cauley | ||
Robert E. Cauley Chairman and Chief Executive Officer |
Date: | By: | /s/ G. Hunter | ||
G. Hunter Haas, IV President, Chief Financial Officer, Chief Investment Officer and Treasurer (Principal Financial Officer and Principal Accounting Officer) |