DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Feb. 21, 2020 | Jun. 30, 2019 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2019 | ||
Document Fiscal Year Focus | 2019 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Orchid Island Capital, Inc. | ||
Entity Central Index Key | 0001518621 | ||
Entity Current Reporting Status | Yes | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 334,112,379 | ||
Entity Common Stock Shares Outstanding | 65,066,213 | ||
Trading Symbol | ORC | ||
Entity Well Known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Security Exchange Name | NYSE | ||
Security 12(b) Title | Common Stock, par value $0.01 per share | ||
Interactive Data Current | Yes |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Mortgage-backed securities, at fair value | ||
Pledged to counterparties | $ 3,584,354,000 | $ 2,991,586,000 |
Unpledged | 6,567,000 | 22,917,000 |
Total mortgage-backed securities | 3,590,921,000 | 3,014,503,000 |
Cash and cash equivalents | 193,770,000 | 108,282,000 |
Restricted cash | 84,885,000 | 17,981,000 |
Accrued interest receivable | 12,404,000 | 13,241,000 |
Derivative Assets | 0 | 16,885,000 |
Receivable for securities sold, pledged to counterparties | 0 | 221,746,000 |
Other assets | 100,000 | 2,993,000 |
Total Assets | 3,882,080,000 | 3,395,631,000 |
Liabilities | ||
Outstanding repurchase obligations | 3,448,106,000 | 3,025,052,000 |
Dividends Payable | 5,045,000 | 3,931,000 |
Derivitive Liabilities | 20,658,000 | 5,947,000 |
Accrued interest payable | 11,101,000 | 6,445,000 |
Due to affiliates | 622,000 | 654,000 |
Other Liabilities | 1,041,000 | 17,523,000 |
Total Liabilities | 3,486,573,000 | 3,059,552,000 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 631,000 | 491,000 |
Additional paid in capital | 414,998,000 | 379,975,000 |
Accumulated deficit | (20,122,000) | (44,387,000) |
Total Stockholders Equity | 395,507,000 | 336,079,000 |
Total Liabilities and Stockholders Equity | $ 3,882,080,000 | $ 3,395,631,000 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parentheticals) - $ / shares | Dec. 31, 2019 | Dec. 31, 2018 |
Statement Of Financial Position [Abstract] | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Shares Issued | 0 | 0 |
Preferred Shares Outstanding | 0 | 0 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock Shares Authorized | 500,000,000 | 500,000,000 |
Common Shares Issued | 63,061,781 | 49,132,423 |
Common Shares Outstanding | 63,061,781 | 49,132,423 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Interest income | $ 142,324,000 | $ 154,581,000 | $ 145,962,000 |
Interest expense | 83,666,000 | 70,360,000 | 41,671,000 |
Net interest income | 58,658,000 | 84,221,000 | 104,291,000 |
Realized gains (losses) on mortgage-backed securities | (10,877,000) | (30,289,000) | (7,788,000) |
Unrealized gains (losses) on mortgage-backed securities | 38,045,000 | (110,668,000) | (67,981,000) |
(Losses) gains on derivative instruments | (51,176,000) | 24,311,000 | (15,349,000) |
Net portfolio income | 34,650,000 | (32,425,000) | 13,173,000 |
Expenses | |||
Management Fee Expense | 5,528,000 | 6,204,000 | 5,855,000 |
Allocated Overhead | 1,380,000 | 1,567,000 | 1,576,000 |
Compensation and related benefits | 115,000 | 407,000 | 640,000 |
Directors fees and liability insurance | 998,000 | 968,000 | 949,000 |
Audit, legal and other professional fees | 1,105,000 | 851,000 | 706,000 |
Direct REIT operating expenses | 997,000 | 1,631,000 | 1,124,000 |
Other administrative | 262,000 | 334,000 | 316,000 |
Total expenses | 10,385,000 | 11,962,000 | 11,166,000 |
Net income (loss) | $ 24,265,000 | $ (44,387,000) | $ 2,007,000 |
Basic and diluted net income (loss) per share | |||
Basic | $ 0.43 | $ (0.85) | $ 0.05 |
Diluted | $ 0.43 | $ (0.85) | $ 0.05 |
Weighted Average Shares Outstanding | |||
Weighted Average Shares - Basic and Diluted | 56,328,027 | 52,198,175 | 41,062,039 |
CONSOLIDATED STATEMENT OF STOCK
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY, (Unaudited) - USD ($) | Total | Common Stock [Member] | Additional Paid In Capital [Member] | Retained Earnings [Member] |
Balances at Dec. 31, 2016 | $ 332,779,000 | $ 330,000 | $ 332,449,000 | $ 0 |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | 2,007,000 | 0 | 0 | 2,007,000 |
Cash dividend declared | (70,717,000) | 0 | (68,710,000) | (2,007,000) |
Issuance of common stock pursuant to public offerings, net | 197,607,000 | 200,000 | 197,407,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 262,000 | 1,000 | 261,000 | 0 |
Amortization of stock based compensation | 273,000 | 0 | 273,000 | 0 |
Balances at Dec. 31, 2017 | $ 462,211,000 | 531,000 | 461,680,000 | 0 |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2016 | 32,963,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 20,045,000 | |||
Stock Issued During Period Shares Share Based Compensation | 54,000 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2017 | 53,062,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ (44,387,000) | 0 | 0 | (44,387,000) |
Cash dividend declared | (55,814,000) | 0 | (55,814,000) | 0 |
Issuance of common shares pursuant to stock based compensation plan | 293,000 | 0 | 293,000 | 0 |
Amortization of stock based compensation | 199,000 | 0 | 199,000 | 0 |
Balances at Dec. 31, 2018 | $ 336,079,000 | 491,000 | 379,975,000 | (44,387,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares Share Based Compensation | 49,000 | |||
Stock Repurchased and Retired During Period, Shares | (3,979,000) | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2018 | 49,132,423 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ 24,265,000 | 0 | 0 | 24,265,000 |
Cash dividend declared | (54,421,000) | 0 | (54,421,000) | 0 |
Issuance of common stock pursuant to public offerings, net | 92,314,000 | 145,000 | 92,169,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 179,000 | 0 | 179,000 | 0 |
Amortization of stock based compensation | 115,000 | 0 | 115,000 | 0 |
Stock Repurchased and Retired During Period, Value | (3,024,000) | (5,000) | (3,019,000) | 0 |
Balances at Dec. 31, 2019 | $ 395,507,000 | $ 631,000 | $ 414,998,000 | $ (20,122,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 14,377,000 | |||
Stock Issued During Period Shares Share Based Compensation | 23,000 | |||
Stock Repurchased and Retired During Period, Shares | (470,000) | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2019 | 63,061,781 |
CONSOLIDATED STATEMENT OF STO_2
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY, (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Statement Of Stockholders Equity [Abstract] | |||||||||||
Cash dividend declared, per share | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.25 | $ 0.27 | $ 0.31 | $ 0.96 | $ 1.07 | $ 1.68 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
CASH FLOWS FROM OPERATING ACTIVITIES | |||
Net income (loss) | $ 24,265,000 | $ (44,387,000) | $ 2,007,000 |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Stock based compensation and equity plan amortization | 294,000 | 492,000 | 535,000 |
Realized and unrealized (gains) losses on mortgage-backed securities | (27,168,000) | 140,957,000 | 75,769,000 |
Derivative, Gain (Loss) on Derivative, Net | 45,207,000 | (4,052,000) | 870,000 |
Changes in operating assets and liabilities | |||
Accrued interest receivable | 837,000 | 1,203,000 | (2,932,000) |
Other assets | 80,000 | (3,000) | (3,000) |
Accrued interest payable | 4,656,000 | (71,000) | 4,690,000 |
Other liabilities | 22,000 | 4,000 | 3,841,000 |
Due to affiliates | (32,000) | (143,000) | 231,000 |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 48,161,000 | 94,000,000 | 85,008,000 |
From mortgage-backed securities investments | |||
Purchases | (4,241,822,000) | (3,893,828,000) | (6,499,153,000) |
Sales | 3,321,206,000 | 3,885,817,000 | 5,335,583,000 |
Principal repayments | 594,833,000 | 373,934,000 | 365,166,000 |
Proceeds From Sale Of Federal Home Loan Bank Stock | 0 | 0 | 3,000 |
Payments on net settlement of to-be-announced securities | (8,423,000) | 7,292,000 | (5,242,000) |
Purchase of interest rate swaptions, net of margin cash received | 20,600,000 | (6,805,000) | (1,138,000) |
NET CASH USED IN INVESTING ACTIVITIES | (354,806,000) | 380,020,000 | (802,505,000) |
CASH FLOWS FROM FINANCING ACTIVITIES | |||
Proceeds from repurchase agreements | 45,595,010,000 | 52,096,292,000 | 54,481,746,000 |
Principal payments on repurchase agreements | (45,171,956,000) | (52,605,026,000) | (53,741,665,000) |
Cash dividends | (53,307,000) | (59,312,000) | (67,904,000) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 92,314,000 | 0 | 197,607,000 |
Payments For Repurchase Of Common Stock | 3,024,000 | 26,423,000 | 0 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | 459,037,000 | (594,469,000) | 869,784,000 |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 152,392,000 | (120,449,000) | 152,287,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 126,263,000 | 246,712,000 | 94,425,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 278,655,000 | 126,263,000 | 246,712,000 |
Cash paid during the period for: | |||
Interest Paid | 79,010,000 | 70,431,000 | 36,981,000 |
SUPPLEMENTAL DISCLOSURES OF NONCASH FINANCING ACTIVITIES: | |||
Securities Sold Settled In Later Period | 0 | 220,655,000 | 0 |
Interest Rate Swaption [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | 1,379,000 | 1,502,000 | (1,038,000) |
Swap [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | 39,471,000 | (1,027,000) | (4,030,000) |
TBA Contracts [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | $ 4,357,000 | $ (4,527,000) | $ 5,938,000 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | Organization and Business Description Orchid Island Capital, Inc. (“Orchid” or the “Company”), was incorporated in Maryland on August 17, 2010 for the purpose of creating and managing a leveraged investment portfolio consisting of residentia l mortgage-backed securities (“RMBS ”). From incorporation t o February 20, 2013 Orchid was a wholl y owned subsidiary of Bimini Capital Management, Inc. (“Bimini”). Orchid began operations on November 24, 2010 (the date of commencement of operations). From incorporation through November 24, 2010, Orchid’s only activity was the issuance of common stock to Bimini. On July 29, 2016 , Orchid entered into a n equity distribution agreement (the “ July 2016 Equity Distribution Agreement”) with two sales agents pursuant to which the Company could offer and sell, from time to time, u p to an aggregate amount of $1 25 ,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. The Company issued a total of 10,174,992 shares under the July 2016 Equity Distribution Agreement for aggregate gross proceeds of $110.0 million, and net proceeds of approximately $ 108.2 million, net of commissions and fees, prior to its termination in February 2017 . On February 23, 2017 , Orchid entered into a nother equity distribution agreement , as amended and restated on May 10, 2017 (the “ May 2017 Equity Distribution Agreement”) with two sales agents pursuant to which the Company could offer and sell, from time to time, u p to an aggregate amount of $125 ,000, 000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. T he Company issued a total of 12,299,032 shares under the May 2017 Equity Distribution Agreement for aggreg ate gross proceeds of $125.0 million, and net proceeds of approximately $ 122.9 million, net of commissions and fees , prior to its termination in August 2017. On August 2, 2017, Orchid entered into another equity distribution agreement (the “August 2017 Eq uity Distribution Agreement”) with two sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $125,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the mark et” offerings and privately negotiated transactions. Through December 31, 2019 , the Company issued a total of 15,123,178 shares under the August 2017 Equity Distribution Agreement for aggregate gross proceeds of approximately $125.0 million, and net proceeds of approximately $123.1 million, net of commissions and fees, prior to its termination in July 2019 . On July 30, 2019, Orchid entered into an underwriting agreement (the “Underwriting Agreement”) with Morgan Stanley & Co. LLC, Citigroup Global Ma rkets Inc. and J.P. Morgan Securities LLC, as representatives of the underwriters named therein, relating to the offer and sale of 7,000,000 shares of the Company’s common stock at a price to the public of $6.55 per share. The underwriters purchased the sh ares pursuant to the Underwriting Agreement at a price of $6.3535 per share. The closing of the offering of 7,000,000 shares of common stock occurred on August 2, 2019, with net proceeds to the Company of approximately $44.2 million after deduction of unde rwriting discounts and commissions and other estimated offering expenses . On January 23, 2020, we entered into an equity distribution agreement (the “January 2020 Equity Distribution Agreement”) with three sales agents pursuant to which we may offer and s ell, from time to time, up to an aggregate amount of $200,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. Through February 20, 2020, we issued a total of 2,004,432 shares under the January 2020 Equity Distribution Agreement for aggregate gross proceeds of $12.4 million, and net proceeds of approximately $12.2 million, net of commissions and fees. Basis of Presentation and Use of Estimates The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and as sumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results c ould differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives . Variable Interest Entities (VIEs) We obtain interests in VIEs through our investments in mortgage-backed securities. Our interests in these VIEs are passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the future. As a result, we do not consolidate these VIEs and we account for ou r interest in these VIEs as mortgage-backed securities. See Note 2 for additional information regarding our investments in mortgage-backed securities. Our maximum exposure to loss for these VIEs is the carrying value of the mortgage-backed securities. C ash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase . Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. The following table provides a reconciliation of cash, cash equivalents, and restricted cash rep orted within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) December 31, 2019 December 31, 2018 Cash and cash equivalents $ 193,770 $ 108,282 Restricted cash 84,885 17,981 Total cash, cash equivalents and restricted cash $ 278,655 $ 126,263 The Company maintains cash balances at three banks and excess margin on account with two exchange clearing members . A t times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At December 31, 2019 , the C ompany’s cash deposits exceeded federally insured limits by approximately $170.6 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Com pany limits uninsured balances to only large, well-known bank s and exchange clearing members and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances. Mortgage-Backed Securities The Company invests primarily in mortgage pass-through residential mortgage backed certificates issued by Freddie Mac, Fannie Mae or Ginnie Mae (“RMBS”) , collateralized mortgage obligations (“CMOs”) , interest- only (“IO”) securities and inverse interest- only (“ IIO”) securities representing interest in or obligations backed by pools of RMBS. We refer to RMBS and CMOs as PT RMBS . We refer to IO and IIO securities as structured RMBS. T he Company has elected to account for its investment in RMBS under the fair value option. Electing the fair value option require s the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is con sistent with the underlying economics and how the portfolio is managed. The Company records RMBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the RMBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are re moved from the RMBS balance with an offsetting receivable recorded. F air value is defined as the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third party broker quotes, when available . Income on PT RMBS securities is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (lo sses) on RMBS in the statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of inv estment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively for future reporting period s based on the new estimate of prepayments and the contractual terms of the security. For IIO securiti es, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of RMBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mor tgage-backed securities in the accompanying statements of operations. Derivative Financial Instruments The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may con tinue to do so in the future. The principal instruments that the Company has used to date are Treasury Note (“T-Note”) , Fed Funds and Eurodollar futures contracts, interest rate swaps, options to enter in interest rate swaps (“interest rate swaptions”) and “to-be-announced” (“TBA”) securities transactions, but the Company may enter into other derivatives in the future. The Company accounts for TBA securities as derivative instruments . Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of operations. Derivative instruments are carried at fair value , and c hanges in fair value are recorded in earnings for each period. The Company’s derivative financial instruments are not designated as hedge accounting relationships, but rather are used as economic hedges of its portfolio assets and liabilities. Holding d erivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In addition, the Company may be required to post collateral based on any decli nes in the market value o f the d erivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement . To mitigate this risk, the Company uses only well-establis hed comme rcial banks and exchanges as counterparties. Financial Instruments T he fair value of financial instruments for which it is practicable to estimate that value is disclosed , either in the body of the financial statements or in the accompanying notes. RMBS, Eurodollar and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 12 of the financial statements. The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements , payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values as of December 31, 2019 and December 31, 2018 due to the short-term nature of these financial instruments. Repurchase A greements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Repurchase agreements are accounted for as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. Manager Compensation The Company is externally managed by Bimini Advisors, LLC ( th e “Manager” or “Bimini Advisors”) , a Maryland limited liability company and wh olly-owned subsidiary of Bimini . The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 13 for the terms of the management agreement. Earnings Per Share Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding or subscribed during the period. Diluted EPS is calculated using the treas ury stock or two-class method, as applicable, for common stock equivalents, if any. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive. Income Taxes Orchid has qualified and elected to be taxed as a REIT under the Code . REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an a nnual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumsta nces and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain t ax positions is adjusted when new information is available, or when an event occurs that requires a change. Recent Accounting Pronouncements In June 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit loss model (referred to as the current expected credit loss model). ASU 2016-13 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2019. The Company does not expect that the adoption of this ASU w ill have a significant effect on its financial statements as its financial assets are measured at fair value through earnings. |
MORTGAGE-BACKED SECURITIES
MORTGAGE-BACKED SECURITIES | 12 Months Ended |
Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2 . MORTGAGE-BACKED SECURITIES The following table presents the Company’s RMBS portfolio as of December 31, 2019 and December 31, 2018 : (in thousands) December 31, 2019 December 31, 2018 Pass-Through RMBS Certificates: Adjustable-rate Mortgages $ 1,014 $ 1,437 Fixed-rate Mortgages 3,206,013 2,130,974 Fixed-rate CMOs 299,205 741,926 Total Pass-Through Certificates 3,506,232 2,874,337 Structured RMBS Certificates: Interest-Only Securities 60,986 116,415 Inverse Interest-Only Securities 23,703 23,751 Total Structured RMBS Certificates 84,689 140,166 Total $ 3,590,921 $ 3,014,503 |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 12 Months Ended |
Dec. 31, 2019 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3 . REPURCHASE AGREEMENTS AND OTHER BORROWINGS The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings , and interest is generally paid at the termination of a borrowing . If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin ca lls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company. As of December 31, 2019 , the Company had met all margin call requirements. As of December 31, 2019 and 2018 , the Company’s repurchase agreements had remaining maturities as summarized below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL December 31, 2019 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,470,263 $ 1,005,517 $ 120,941 $ 3,596,721 Repurchase agreement liabilities associated with these securities $ - $ 2,361,378 $ 964,368 $ 122,360 $ 3,448,106 Net weighted average borrowing rate - 2.04% 1.94% 2.60% 2.03% December 31, 2018 Fair market value of securities pledged, including accrued interest receivable $ - $ 1,720,804 $ 1,493,565 $ - $ 3,214,369 Repurchase agreement liabilities associated with these securities $ - $ 1,611,185 $ 1,413,867 $ - $ 3,025,052 Net weighted average borrowing rate - 2.72% 2.57% - 2.65% In addition, cash pledged to counterparties as collateral for repurchase agreements was approximately $65.9 million and $7.0 as of December 31, 2019 and 2018 , respec tively. If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets , which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to th e counterparty and the f air value of the collateral pledged to such lender , including the accrued interest receivable and cash posted by the Company as collateral. At December 31, 2019 , the Company had an aggregate amount at risk (the difference between the amou nt loaned to the Company, including interest payable and securities posted by the counterparty (if any), and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $203.4 million . The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at December 31, 2019 and 2018 |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 12 Months Ended | |
Dec. 31, 2019 | ||
Derivative Financial Instruments [Abstract] | ||
Derivative Financial Instruments | 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 December 31, 2018 Expiration > 1 to ≤ 3 years $ 1,000,000 1.62% 2.63% $ 10,365 1.4 Expiration > 3 to ≤ 5 years 260,000 2.01% 2.68% 4,192 3.4 $ 1,260,000 1.70% 2.64% $ 14,557 1.8 The table below presents information related to the Company’s interest rate swaption positions at December 31, 2018. There were no open swaption positions at December 31, 2019 . ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) December 31, 2018 ≤ 1 year Payer Swaptions $ 7,805 $ 123 1.4 $ 700,000 3.20% 3 Month 9.0 The following table summarizes our contracts to purchase and sell TBA securities as of December 31, 2019 and 2018 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) December 31, 2018 30-Year TBA securities: 3.0% $ (250,000) $ (240,164) $ (243,906) $ (3,742) Total $ (250,000) $ (240,164) $ (243,906) $ (3,742) Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the years ended December 31, 2019 , 2018 and 2017 . (in thousands) 2019 2018 2017 Eurodollar futures contracts (short positions) $ (13,860) $ 7,170 $ 1,257 T-Note futures contracts (short position) (5,175) 5,507 (14,922) Fed Funds futures contracts (short positions) 177 - - Interest rate swaps (26,582) 8,609 3,216 Receiver swaptions - 105 - Payer swaptions (1,379) (1,607) 1,038 Net TBA securities (4,357) 4,527 (5,938) Total $ (51,176) $ 24,311 $ (15,349) Credit Risk-Related Contingent Features The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge as sets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty , we may not receive payments provided for under the t erms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our balance sheets. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, the Chicago Mercantile Exchange (“CME”) rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date." id="sjs-B4">NOTE 4 . DERIVATIVE FINANCIAL INSTRUMENTS Derivative Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2019 and 2018 . (in thousands) Derivative Instruments and Related Accounts Balance Sheet Location December 31, 2019 December 31, 2018 Assets Interest rate swaps Derivative assets, at fair value $ - $ 16,762 Payer swaptions Derivative assets, at fair value - 123 Total derivative assets, at fair value $ - $ 16,885 Liabilities Interest rate swaps Derivative liabilities, at fair value $ 20,146 $ 2,205 TBA securities Derivative liabilities, at fair value 512 3,742 Total derivative liabilities, at fair value $ 20,658 $ 5,947 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 1,338 $ 4,711 TBA securities Restricted cash 246 6,236 Interest rate swaption contracts Other liabilities - (268) Interest rate swap contracts Restricted cash 17,450 - Interest rate swap contracts Other liabilities - (14,308) Total margin balances on derivative contracts $ 19,034 $ (3,629) Eurodollar, Fed Funds and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the accoun t on a daily ba sis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at December 31, 2019 and 2018 . ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) Total / Weighted Average $ 500,000 2.97% 1.67% $ (6,505) Treasury Note Futures Contracts (Short Position) (2) March 2020 5-year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 ($ in thousands) December 31, 2018 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2019 $ 1,650,000 2.25% 2.64% $ 7,036 2020 1,800,000 2.74% 2.45% (4,503) Total / Weighted Average $ 1,725,000 2.51% 2.54% $ 2,533 Treasury Note Futures Contracts (Short Position) (2) March 2019 5 year T-Note futures (Mar 2019 - Mar 2024 Hedge Period) $ 165,000 3.22% 2.83% $ (3,185) Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on the London Interbank Off ered Rate (“ LIBOR ”) ("payer swa ps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post colla teral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at December 31, 2019 and 2018 . ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 December 31, 2018 Expiration > 1 to ≤ 3 years $ 1,000,000 1.62% 2.63% $ 10,365 1.4 Expiration > 3 to ≤ 5 years 260,000 2.01% 2.68% 4,192 3.4 $ 1,260,000 1.70% 2.64% $ 14,557 1.8 The table below presents information related to the Company’s interest rate swaption positions at December 31, 2018. There were no open swaption positions at December 31, 2019 . ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) December 31, 2018 ≤ 1 year Payer Swaptions $ 7,805 $ 123 1.4 $ 700,000 3.20% 3 Month 9.0 The following table summarizes our contracts to purchase and sell TBA securities as of December 31, 2019 and 2018 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) December 31, 2018 30-Year TBA securities: 3.0% $ (250,000) $ (240,164) $ (243,906) $ (3,742) Total $ (250,000) $ (240,164) $ (243,906) $ (3,742) Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the years ended December 31, 2019 , 2018 and 2017 . (in thousands) 2019 2018 2017 Eurodollar futures contracts (short positions) $ (13,860) $ 7,170 $ 1,257 T-Note futures contracts (short position) (5,175) 5,507 (14,922) Fed Funds futures contracts (short positions) 177 - - Interest rate swaps (26,582) 8,609 3,216 Receiver swaptions - 105 - Payer swaptions (1,379) (1,607) 1,038 Net TBA securities (4,357) 4,527 (5,938) Total $ (51,176) $ 24,311 $ (15,349) Credit Risk-Related Contingent Features The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge as sets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty , we may not receive payments provided for under the t erms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our balance sheets. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, the Chicago Mercantile Exchange (“CME”) rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date. | [1],[2],[3],[4],[5],[6] |
[1] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[2] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[3] | Net carrying value represents the diff erence between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) , at fair value in our balance sheets | |
[4] | Notional amount represents the par value (or principal balance) of the underlying Agency RMBS | |
[5] | Open equity represents the cumulative gains (losses) recorded on open futures positions from inception | |
[6] | T -Note f utures c ontracts were valued at a price of $ 118.61 at December 31, 2019 and $ 114.69 at December 31, 2018 . The contract values of the short positions were $ 81.8 million and $ 189.2 million at December 31, 2019 and December 31, 2018 , respectively |
PLEDGED ASSETS
PLEDGED ASSETS | 12 Months Ended |
Dec. 31, 2019 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5 . PLEDGED ASSETS Assets Pledged to Counterparties The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2019 and 2018 . (in thousands) December 31, 2019 December 31, 2018 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,500,394 $ - $ 3,500,394 $ 2,854,540 $ 10,776 $ 2,865,316 Structured RMBS - fair value 83,960 - 83,960 126,270 - 126,270 Accrued interest on pledged securities 12,367 - 12,367 12,905 35 12,940 Receivable for securities sold - - - 220,654 - 220,654 Restricted cash 65,851 19,034 84,885 7,034 10,947 17,981 Total $ 3,662,572 $ 19,034 $ 3,681,606 $ 3,221,403 $ 21,758 $ 3,243,161 Assets Pledged from Counterparties The table below summarizes our assets pledged to us from counterparties under our repurchase agreements and derivative agreements as of December 31, 2019 and 2018 . (in thousands) December 31, 2019 December 31, 2018 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 1,418 $ - $ 1,418 $ 3,852 $ 14,576 $ 18,428 PT RMBS - fair value - - - 1,557 - 1,557 U.S. Treasury securities - fair value - - - 180 - 180 Total $ 1,418 $ - $ 1,418 $ 5,589 $ 14,576 $ 20,165 PT RMBS and U.S. Treasury securities received as margin under our repurchase agreements are not recorded in the balance sheets because the counterparty retains ownership of the security. Cash received as margin is recognized in cash and cash e quivalents with a corresponding amount recognized as an increase in repurchase agreements or other liabilities in the balance sheets. |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 12 Months Ended |
Dec. 31, 2019 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting Assets and Liabilities [Text Block] | NOTE 6 . OFFSETTING ASSETS AND LIABILITIES The Company’s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transac tions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of December 31, 2019 and 2018 . (in thousands) Offsetting of Assets Gross Amount Not Net Amount Offset in the Balance Sheet of Assets Financial Gross Amount Gross Amount Presented Instruments Cash of Recognized Offset in the in the Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2018 Interest rate swaps $ 16,762 $ - $ 16,762 $ - $ (14,308) $ 2,454 Interest rate swaptions 123 - 123 - (123) - $ 16,885 $ - $ 16,885 $ - $ (14,431) $ 2,454 (in thousands) Offsetting of Liabilities Gross Amount Not Net Amount Offset in the Balance Sheet of Liabilities Financial Gross Amount Gross Amount Presented Instruments of Recognized Offset in the in the Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2019 Repurchase Agreements $ 3,448,106 $ - $ 3,448,106 $ (3,382,255) $ (65,851) $ - Interest rate swaps 20,146 - 20,146 - (17,450) 2,696 TBA securities 512 - 512 - (246) 266 $ 3,468,764 $ - $ 3,468,764 $ (3,382,255) $ (83,547) $ 2,962 December 31, 2018 Repurchase Agreements $ 3,025,052 $ - $ 3,025,052 $ (3,018,018) $ (7,034) $ - Interest rate swaps 2,205 - 2,205 - - 2,205 TBA securities 3,742 - 3,742 - (3,742) - $ 3,030,999 $ - $ 3,030,999 $ (3,018,018) $ (10,776) $ 2,205 The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the balance sheets. The fair value of the actual collateral received by or poste d to the same counterparty typically exceeds the amounts presented. See Note 5 for a discussion of collateral posted or received against or for repurchase obligations and derivative instruments. |
CAPITAL STOCK
CAPITAL STOCK | 12 Months Ended | |
Dec. 31, 2019 | ||
Capital Stock [Abstract] | ||
Capital Stock | NOTE 7 . CAPITAL STOCK Common Stock Issuances During 2019 , the Company completed the following public offerings of shares of its common stock. There were no common stock issuances through public offerings during the year ended December 31, 2018 . ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2019 At the Market Offering Program (3) First Quarter $ 6.84 1,267,894 $ 8,503 At the Market Offering Program (3) Second Quarter 6.70 4,337,931 28,495 At the Market Offering Program (3) Third Quarter 6.37 1,771,301 11,098 Follow-on Offering (3) Third Quarter 6.35 7,000,000 44,218 14,377,126 $ 92,314 Stock Repurchase Program On July 29, 2015 , the Company’s Board of Directors authorized the repurchase of up to 2,000,000 shares of the Company’s common stock. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares o f the Company's common stock . Coupled with the 783,757 shares remaining from the original 2,0000,000 share authorization, the increased authorization brought the total authorization to 5,306,579 shares, representing 10% of the then outstanding share count. As part of the s tock repurchase program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with R ule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market st ock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authoriza tion does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company’s discretion without prior notice. From the inception of the stock repurchase program t hrough December 31, 2019 , the Company repurchased a total of 5,665,620 shares at an aggregate cost of approximately $40.3 million , including commissions and fees , for a weighted average price of $7.11 per share . During the year ended December 31, 2019 , the Company repurchased a total of 469,975 shares at an aggregate cost of approximately $3.0 million , including commissions and fees , for a weighted average price of $6.43 per share . During the year ended December 31, 2018, the Company repurchased a total of 3,979,402 shares at an aggregate cost of approximately $26.4 million, including commissions and fees, for a weighted average price of $6.64 per share. No shares were repurchased during the year ended De cember 31, 2017. The remaining authorization under the repurchase program as of December 31, 2019 is 857,202 shares. Cash Dividends The table below presents the cash dividends declared on the Company’s common stock . (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 - YTD (1) 0.160 10,307 Totals $ 11.025 $ 298,700 | [1],[2],[3] |
[1] | As of December 31, 2019 , t he Company had entered into six e quity d istribution a greements, all six of which have either been terminated because all shares were sold or were replaced with a subsequent agreement . | |
[2] | Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. | |
[3] | Weighted average p rice received per share is before deducting the underwriters’ discount, if applicable, and other offering costs. |
STOCK INCENTIVE PLAN
STOCK INCENTIVE PLAN | 12 Months Ended |
Dec. 31, 2019 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Stock incentive Plan | NOTE 8 . STOCK INCENTIVE PLAN In October 2012, the Company’s Board of Directors adopted and Bimini, then the Company’s sole stockholder, approved, the Orchid Island Capital, Inc. 2012 Equity Incentive Plan (the “Incentive Plan”) to recruit and retain employees, directors and other service providers, including emplo yees of the Manager and other affiliates. The Incentive Plan provides for the award of stock options, stock appreciation rights, stock award, performance units, other equity-based awards (and dividend equivalents with respect to awards of performance units and other equity-based awards) and incentive awards. The Incentive Plan is administered by the Compensation Committee of the Company’s Board of Directors except that the Company’s full Board of Directors will administer awards made to directors who are n ot employees of the Company or its affiliates. The Incentive Plan provides for awards of up to an aggregate of 10% of the issued and outstanding shares of our common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregat e 4,000,000 shares of the Company’s common stock that may be issued under the Incentive Plan. Stock Awards The Company has previously issued, and may in the future issue additional, immediately vested common stock under the Incentive Plan to certain executive officers and employees of its Manager. The Company’s non-employee directors received grants of immediately vested common stock for their service to the Company during the first quarter of 2018. The following table presents information related to fully vested common stock issued during the years ended December 31, 2019 and 2018 . ($ in thousands, except per share data) 2019 2018 Fully vested shares granted - 37,920 Weighted average grant date price per share $ - $ 7.62 Compensation expense related to fully vested shares of common stock awards $ - $ 289 Performance Units The Company has issued, and may in the future issue additional performance units under the Incentive Plan to certain executive officers and employees of its Manager. “Performance U nits ” vest after the end of a defined performance period, based on sati sfaction of the performance conditions set forth in the performance unit agreement. When earned, each Performance Unit will be settled by the issuance of one share of the Company’s common s tock, at which time the Performance Unit will be cancelled. The Pe rformance Units contain dividend equivalent rights , which entitle the Participants to receive distributions declared by the Company on common stock, but do not include the right to vote the shares. Performance Units are subject to forfeiture should the pa rticipant no longer serve as an executive officer or employee of the Company. Compensation expense for the Performance Units is recognized over the remaining vesting period once it becomes probable that the performance conditions will be achieved. The fo llowing table presents information related to Performance Units outstanding during the years ended December 31, 2019 and 2018 . ($ in thousands, except per share data) 2019 2018 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 43,672 $ 8.34 41,693 $ 9.95 Granted - - 27,935 7.45 Forfeited - - (2,161) 8.49 Vested and issued (24,651) 8.78 (23,795) 10.09 Unvested, end of period 19,021 $ 7.78 43,672 $ 8.34 Compensation expense during period $ 115 $ 199 Unrecognized compensation expense, end of period $ 42 $ 157 Intrinsic value, end of period $ 111 $ 279 Weighted-average remaining vesting term (in years) 0.8 1.1 Deferred Stock Units Non-employee directors began to receive a portion of their compensation in the form of deferred stock unit awards (“DSUs”) pursuant to the Incentive Plan beginning with the awards for the second quarter of 2018. Each DSU represents a right to receive one share of the Company’s common stock. The DSUs are immediately vested and are settled at a future date based on the election of the individual participant. The DSUs contain dividend equivalent rights, which entitle the participant to receive distributions declared by the Company on common stock. These distributions will be made in the form of cash or additional DSUs at the participant’s election. The DSUs do not include the right to vote the underlying shares of common stock. The following table presents information related to the DSUs outstanding during the years ended December 31, 2019 and 2018 . ($ in thousands, except per share data) Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 12,434 $ 7.37 - $ - Granted and vested 31,136 6.23 12,434 7.37 Outstanding, end of period 43,570 $ 6.56 12,434 $ 7.37 Compensation expense during period $ 180 $ 135 Intrinsic value, end of period $ 255 $ 79 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2019 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments And Contingencies | NOTE 9 . COMMITMENTS AND CONTINGENCIES From time to time, the Company m ay become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any reported or unreported contingencies at December 31, 2019 . |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10 . INCOME TAXES T he Company will generally not be subject to federal income tax on its REIT taxable income to the extent that it distributes its REIT taxable income to its s tock holders and satisfies the ongoing REIT requirements, including meeting certain asset, income and stock ownership tests. A REIT must generally distribute at least 90% of its REIT taxable income to its s tock holders, of which 85% generally must be distributed within the taxable year, in order to avoid the impo sition of an excise tax. The remaining balance may be distributed up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution and meets certain other requirements. REIT taxable income (loss) is computed in accordance with the Code, which is different than the Company’s financial statement net income (loss) computed in accordance with GAAP. Book to tax differences primarily relate to the recognition of interest income on RMBS, unrealized gains and losses on RMBS, and the amortization of losses on derivative instruments that are treated as hedges for tax purposes. Generally, the Company’s dividend distributions are characterized as ordinary income or nontaxable return of capital based on the relati ve amounts of its earnings and profits (taxable income, with certain prescribed adjustments) to total distributions applicable for a given tax year. In determining total distributions, consideration is given to the spillover distribution provisions of s ection 857(b)(9) of the Code. Under section 857(b)(9), of the Code, REIT common dividends declared in the fourth quarter of a calendar year with a record date prior to year-end and a payable date in January of the following year will be included in total distributions in the year declared only to the extent of available earnings and profits. As a result, such fourth quarter common dividends may be pro-rated between tax years or may not be taxable until the following year. In accordance with section 857(b )(9) of the Code, the Company’s December 2019 dividend of $0.08 paid in January 2020 is subject to tax in 2020 . The remaining dividend distributions declared in 2019 of $0.88 , plus the dividend declared in December 2018 and paid in January 2019 of $0.08 , are taxable in 2019 . The 2019 dividend distribution described above exceeded 2019 earnings and profits by $0.49 , representing 51 % of the total 2019 distributions of $0.96 . This nondividend distribution is characterized as return of c apital and has been allocated on a pro rata basis to each 2019 dividend distribution. Nondividend distributions characterized as return of capital reduce the tax basis of related shares and are nontaxable to the recipient unless return of capital distr ibutions in aggregate exceed tax basis, in which case the excess is reportable as capital gain. The remaining 2019 common dividend distributions have been characterized as ordinary income of $0.47 , or 49 % of the total distributions. As of December 31, 2019 , we had distributed all of our estimated REIT taxable income through fiscal year 2019 . Accordingly, no income tax provision was recorded for 2019 , 2018 and 2017 . |
EARNINGS PER SHARE
EARNINGS PER SHARE | 12 Months Ended |
Dec. 31, 2019 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11 . EARNINGS PER SHARE (EPS) The Company had dividend eligible shares of restricted common stock, Performance Units and Deferred Stock Units that were outstanding during the years ended December 31, 2019 , 2018 and 2017 . The basic and diluted per share computations include these unvested shares of restricted common stock, Performance Units and Deferred Stock Units if there is income available to common s tock, as they have dividend participation rights. The unvested shares of restricted common stock, Performance Units and Deferred Stock Units have no contractual obligation to share in losses. Because there is no such obligation, the unvested shares of restricted common stock, Performance Units and Deferred Stock Units are not included in the basic and diluted EPS computations when no income is available to common stock even though they are considered participating securities. The table below reconciles the numerator and denom inator of EPS for the years ended December 31, 2019 , 2018 and 2017 . (in thousands, except per-share information) 2019 2018 2017 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net income (loss) - Basic and diluted $ 24,265 $ (44,387) $ 2,007 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 63,062 49,132 53,062 Unvested dividend eligible share based compensation outstanding at the balance sheet date 63 - 42 Effect of weighting (6,797) 3,066 (12,042) Weighted average shares-basic and diluted 56,328 52,198 41,062 Net income (loss) per common share: Basic and diluted $ 0.43 $ (0.85) $ 0.05 Anti-dilutive incentive shares not included in calculation. - 56 - |
FAIR VALUE
FAIR VALUE | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value | NOTE 12 . FAIR VALUE The framework for using fair value to measure assets and liabilities defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price ). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or l iability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amount s measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are: Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume), Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability. The Company's RMBS, interest rat e swaps, interest rate swaptions and TBA securities are valued using Level 2 valuations, and such valuations currently are determined by the Company based on independent pricing sources and/or third party broker quotes, when available. Because the price es timates may vary, the Company must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. The Company and the independent pricing sources use various valuation techniques to determine the price of the Compan y’s securities. These techniques include observing the most recent market for like or identical assets, spread pricing techniques (option adjusted spread, zero volatility spread, spread to the U.S. T reasury curve or spread to a benchmark such as a TBA), and mod el driven approaches (the discounted cash flow method, Black Scholes and SABR models which rely upon observable market rates such as the term structure of interest rates and volatility). The appropriate spread pricing method used is based on market con vention. The pricing source determines the spread of recently observed trade activity or observable markets for assets similar to those being priced. The spread is then adjusted based on variances in certain characteristics between the market observation a nd the asset being priced. Those characteristics include: type of asset, the expected life of the asset, the stability and predictability of the expected future cash flows of the asset, whether the coupon of the asset is fixed or adjustable, the guarantor of the security if applicable, the coupon, the maturity, the issuer, size of the underlying loans, year in which the underlying loans were originated, loan to value ratio, state in which the underlying loans reside, credit score of the underlying borrowers and other variables if appropriate. The fair value of the security is determined by using the adjusted spread. RMBS (based on the fair value option), interest rate swaps, interest rate swaptions, TBA securities and futures contracts were recorded at fa ir value on a recurring basis during the years ended December 31, 2019 , 2018 and 2017 . When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers assumptions that mark et participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets. When identical assets are not traded in active markets, the Company looks to market obse rvable data for similar assets. The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of December 31, 2019 and 2018 . Derivative contracts are reported as a net position by contract type, and not based on master netting arrangements. (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Fair Value Assets Inputs Inputs Measurements (Level 1) (Level 2) (Level 3) December 31, 2019 Mortgage-backed securities $ 3,590,921 $ - $ 3,590,921 $ - Interest rate swaps (20,146) - (20,146) - TBA securities (512) - (512) - December 31, 2018 Mortgage-backed securities $ 3,014,503 $ - $ 3,014,503 $ - Interest rate swaps 14,557 - 14,557 - Interest rate swaptions 123 - 123 - TBA securities (3,742) - (3,742) - During the years ended December 31, 2019 and 2018 , there were no transfers of financial assets or liabilities between levels 1, 2 or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2019 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 13 . RELATED PARTY TRANSACTIONS Management Agreement The Company is externally managed and advised by the “Manager” pursuant to the terms of a management agreement. The management agreement has been renewed through February 20, 2020 and provides for automatic one-year extension options thereafter and is subject to certain termination rights. Under the terms of the management agreement, the Manager is responsible for administering the business activities and day-to-d ay operations of the Company. The Manager receives a monthly management fee in the amount of: One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, as defined in the management agreement, One-twelfth of 1.25% of the Company’s m onth-end equity that is greater than $250 million and less than or equal to $500 million, and One-twelfth of 1.00% of the Company’s month-end equity that is greater than $500 million. The Company is obligated to reimburse the Manager for any direct expens es incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement. Total expenses recorded for the management fee and costs incurred were approximately $6.9 m illion, $7.8 million and $7.4 million for the years ended December 31, 2019 , 2018 and 2017 , respectively. Other Relationships with Bimini Robert Cauley, our Chief Executive Officer and Chairman of our Board of Directors, also serves a s Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Bimini. George H. Haas, our Chief Financial Officer, Chief Investment Officer, Secretary and a member of our Board of Directors, also serves as th e Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of December 31, 2019 , Bimini owned 1,520,036 shares, or 2.4% , of the Company’s common stock. |
QUARTERLY RESULTS (UNAUDITED)
QUARTERLY RESULTS (UNAUDITED) | 12 Months Ended |
Dec. 31, 2019 | |
Quarterly Financial Data [Abstract] | |
Summarized Quarterly Results [Text Block] | NOTE 14 . QUARTERLY RESULTS (UNAUDITED) The following is a presentation of the quarterly results of operations for the years ended December 31, 2019 and 2018 . (in thousands, except per share information) Quarter Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Interest income $ 32,433 $ 36,455 $ 35,907 $ 37,529 Interest expense (18,892) (22,431) (22,321) (20,022) Net interest income 13,541 14,024 13,586 17,507 Losses (gains) (748) (7,670) (19,431) 3,841 Net portfolio income (loss) 12,793 6,354 (5,845) 21,348 Expenses: Management fees and overhead expenses 1,608 1,653 1,791 1,856 Other expenses 588 1,168 841 880 Total expenses 2,196 2,821 2,632 2,736 Net income (loss) $ 10,597 $ 3,533 $ (8,477) $ 18,612 Basic and diluted net income (loss) per share $ 0.22 $ 0.07 $ (0.14) $ 0.29 Weighted Average Shares Outstanding 48,905 52,601 60,419 63,124 Dividends declared per share $ 0.24 $ 0.24 $ 0.24 $ 0.24 Quarter Ended March 31, 2018 June 30, 2018 September 30, 2018 December 31, 2018 Interest income $ 39,935 $ 38,590 $ 39,054 $ 37,002 Interest expense (15,149) (16,579) (18,893) (19,739) Net interest income 24,786 22,011 20,161 17,263 Losses (38,055) (17,734) (20,150) (40,707) Net portfolio income (loss) (13,269) 4,277 11 (23,444) Expenses: Management fees and overhead expenses 2,094 1,967 1,873 1,836 Other expenses 1,014 964 1,097 1,117 Total expenses 3,108 2,931 2,970 2,953 Net income (loss) $ (16,377) $ 1,346 $ (2,959) $ (26,397) Basic and diluted net income (loss) per share $ (0.31) $ 0.03 $ (0.06) $ (0.52) Weighted Average Shares Outstanding 53,066 52,587 52,035 51,188 Dividends declared per share $ 0.31 $ 0.27 $ 0.25 $ 0.24 Earnings per share (EPS) in each quarter is computed using the weighted-average number of shares outstanding during that quarter while EPS for the full year is computed using the weighted-average number of shares outstanding during the year. The sum of the four quarters’ EPS may not equal the full year EPS. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Use of Estimates The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”). |
Use of Estimates | The preparation of financial statements in conformity with GAAP requires management to make estimates and as sumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results c ould differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives . |
Variable Interest Entity [Policy Text Block] | Variable Interest Entities (VIEs) We obtain interests in VIEs through our investments in mortgage-backed securities. Our interests in these VIEs are passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the future. As a result, we do not consolidate these VIEs and we account for ou r interest in these VIEs as mortgage-backed securities. See Note 2 for additional information regarding our investments in mortgage-backed securities. Our maximum exposure to loss for these VIEs is the carrying value of the mortgage-backed securities. |
Cash and Cash Equivalents and Restricted Cash | C ash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase . Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. The following table provides a reconciliation of cash, cash equivalents, and restricted cash rep orted within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) December 31, 2019 December 31, 2018 Cash and cash equivalents $ 193,770 $ 108,282 Restricted cash 84,885 17,981 Total cash, cash equivalents and restricted cash $ 278,655 $ 126,263 The Company maintains cash balances at three banks and excess margin on account with two exchange clearing members . A t times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At December 31, 2019 , the C ompany’s cash deposits exceeded federally insured limits by approximately $170.6 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Com pany limits uninsured balances to only large, well-known bank s and exchange clearing members and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances. |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company invests primarily in mortgage pass-through residential mortgage backed certificates issued by Freddie Mac, Fannie Mae or Ginnie Mae (“RMBS”) , collateralized mortgage obligations (“CMOs”) , interest- only (“IO”) securities and inverse interest- only (“ IIO”) securities representing interest in or obligations backed by pools of RMBS. We refer to RMBS and CMOs as PT RMBS . We refer to IO and IIO securities as structured RMBS. T he Company has elected to account for its investment in RMBS under the fair value option. Electing the fair value option require s the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is con sistent with the underlying economics and how the portfolio is managed. The Company records RMBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the RMBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are re moved from the RMBS balance with an offsetting receivable recorded. F air value is defined as the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third party broker quotes, when available . Income on PT RMBS securities is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (lo sses) on RMBS in the statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of inv estment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively for future reporting period s based on the new estimate of prepayments and the contractual terms of the security. For IIO securiti es, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of RMBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mor tgage-backed securities in the accompanying statements of operations. |
Derivative Financial Instruments | Derivative Financial Instruments The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may con tinue to do so in the future. The principal instruments that the Company has used to date are Treasury Note (“T-Note”) , Fed Funds and Eurodollar futures contracts, interest rate swaps, options to enter in interest rate swaps (“interest rate swaptions”) and “to-be-announced” (“TBA”) securities transactions, but the Company may enter into other derivatives in the future. The Company accounts for TBA securities as derivative instruments . Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of operations. Derivative instruments are carried at fair value , and c hanges in fair value are recorded in earnings for each period. The Company’s derivative financial instruments are not designated as hedge accounting relationships, but rather are used as economic hedges of its portfolio assets and liabilities. Holding d erivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In addition, the Company may be required to post collateral based on any decli nes in the market value o f the d erivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement . To mitigate this risk, the Company uses only well-establis hed comme rcial banks and exchanges as counterparties. |
Financial Instruments | Financial Instruments T he fair value of financial instruments for which it is practicable to estimate that value is disclosed , either in the body of the financial statements or in the accompanying notes. RMBS, Eurodollar and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 12 of the financial statements. The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements , payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values as of December 31, 2019 and December 31, 2018 due to the short-term nature of these financial instruments. |
Repurchase Agreements | Repurchase A greements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Repurchase agreements are accounted for as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. |
Management Fees | Manager Compensation The Company is externally managed by Bimini Advisors, LLC ( th e “Manager” or “Bimini Advisors”) , a Maryland limited liability company and wh olly-owned subsidiary of Bimini . The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 13 for the terms of the management agreement. |
Earnings Per Share | Earnings Per Share Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding or subscribed during the period. Diluted EPS is calculated using the treas ury stock or two-class method, as applicable, for common stock equivalents, if any. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive. |
Income Taxes | Income Taxes Orchid has qualified and elected to be taxed as a REIT under the Code . REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an a nnual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumsta nces and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain t ax positions is adjusted when new information is available, or when an event occurs that requires a change. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In June 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit loss model (referred to as the current expected credit loss model). ASU 2016-13 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2019. The Company does not expect that the adoption of this ASU w ill have a significant effect on its financial statements as its financial assets are measured at fair value through earnings. |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following table provides a reconciliation of cash, cash equivalents, and restricted cash rep orted within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) December 31, 2019 December 31, 2018 Cash and cash equivalents $ 193,770 $ 108,282 Restricted cash 84,885 17,981 Total cash, cash equivalents and restricted cash $ 278,655 $ 126,263 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Residential Mortgage Backed Securities [Member] | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following table presents the Company’s RMBS portfolio as of December 31, 2019 and December 31, 2018 : (in thousands) December 31, 2019 December 31, 2018 Pass-Through RMBS Certificates: Adjustable-rate Mortgages $ 1,014 $ 1,437 Fixed-rate Mortgages 3,206,013 2,130,974 Fixed-rate CMOs 299,205 741,926 Total Pass-Through Certificates 3,506,232 2,874,337 Structured RMBS Certificates: Interest-Only Securities 60,986 116,415 Inverse Interest-Only Securities 23,703 23,751 Total Structured RMBS Certificates 84,689 140,166 Total $ 3,590,921 $ 3,014,503 |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements and remaining maturities | As of December 31, 2019 and 2018 , the Company’s repurchase agreements had remaining maturities as summarized below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL December 31, 2019 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,470,263 $ 1,005,517 $ 120,941 $ 3,596,721 Repurchase agreement liabilities associated with these securities $ - $ 2,361,378 $ 964,368 $ 122,360 $ 3,448,106 Net weighted average borrowing rate - 2.04% 1.94% 2.60% 2.03% December 31, 2018 Fair market value of securities pledged, including accrued interest receivable $ - $ 1,720,804 $ 1,493,565 $ - $ 3,214,369 Repurchase agreement liabilities associated with these securities $ - $ 1,611,185 $ 1,413,867 $ - $ 3,025,052 Net weighted average borrowing rate - 2.72% 2.57% - 2.65% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 12 Months Ended | |
Dec. 31, 2019 | ||
Derivative Financial Instruments [Abstract] | ||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Derivative Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2019 and 2018 . (in thousands) Derivative Instruments and Related Accounts Balance Sheet Location December 31, 2019 December 31, 2018 Assets Interest rate swaps Derivative assets, at fair value $ - $ 16,762 Payer swaptions Derivative assets, at fair value - 123 Total derivative assets, at fair value $ - $ 16,885 Liabilities Interest rate swaps Derivative liabilities, at fair value $ 20,146 $ 2,205 TBA securities Derivative liabilities, at fair value 512 3,742 Total derivative liabilities, at fair value $ 20,658 $ 5,947 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 1,338 $ 4,711 TBA securities Restricted cash 246 6,236 Interest rate swaption contracts Other liabilities - (268) Interest rate swap contracts Restricted cash 17,450 - Interest rate swap contracts Other liabilities - (14,308) Total margin balances on derivative contracts $ 19,034 $ (3,629) | |
Schedule of Eurodollar and T-Note futures positions | Eurodollar, Fed Funds and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the accoun t on a daily ba sis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at December 31, 2019 and 2018 . ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) Total / Weighted Average $ 500,000 2.97% 1.67% $ (6,505) Treasury Note Futures Contracts (Short Position) (2) March 2020 5-year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 ($ in thousands) December 31, 2018 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2019 $ 1,650,000 2.25% 2.64% $ 7,036 2020 1,800,000 2.74% 2.45% (4,503) Total / Weighted Average $ 1,725,000 2.51% 2.54% $ 2,533 Treasury Note Futures Contracts (Short Position) (2) March 2019 5 year T-Note futures (Mar 2019 - Mar 2024 Hedge Period) $ 165,000 3.22% 2.83% $ (3,185) | [1],[2] |
Schedule of Interest Rate Swap Agreements [Table Text Block] | 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 December 31, 2018 Expiration > 1 to ≤ 3 years $ 1,000,000 1.62% 2.63% $ 10,365 1.4 Expiration > 3 to ≤ 5 years 260,000 2.01% 2.68% 4,192 3.4 $ 1,260,000 1.70% 2.64% $ 14,557 1.8" id="sjs-B6">Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on the London Interbank Off ered Rate (“ LIBOR ”) ("payer swa ps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post colla teral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at December 31, 2019 and 2018 . ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 December 31, 2018 Expiration > 1 to ≤ 3 years $ 1,000,000 1.62% 2.63% $ 10,365 1.4 Expiration > 3 to ≤ 5 years 260,000 2.01% 2.68% 4,192 3.4 $ 1,260,000 1.70% 2.64% $ 14,557 1.8 | |
Schedule Of Interest Rate Swaption Agreements [Table Text Block] | The table below presents information related to the Company’s interest rate swaption positions at December 31, 2018. There were no open swaption positions at December 31, 2019 . ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) December 31, 2018 ≤ 1 year Payer Swaptions $ 7,805 $ 123 1.4 $ 700,000 3.20% 3 Month 9.0 | |
Schedule of To Be Announced Securities [TableTextBlock] | The following table summarizes our contracts to purchase and sell TBA securities as of December 31, 2019 and 2018 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) December 31, 2018 30-Year TBA securities: 3.0% $ (250,000) $ (240,164) $ (243,906) $ (3,742) Total $ (250,000) $ (240,164) $ (243,906) $ (3,742) | [3],[4],[5],[6] |
Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations | Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the years ended December 31, 2019 , 2018 and 2017 . (in thousands) 2019 2018 2017 Eurodollar futures contracts (short positions) $ (13,860) $ 7,170 $ 1,257 T-Note futures contracts (short position) (5,175) 5,507 (14,922) Fed Funds futures contracts (short positions) 177 - - Interest rate swaps (26,582) 8,609 3,216 Receiver swaptions - 105 - Payer swaptions (1,379) (1,607) 1,038 Net TBA securities (4,357) 4,527 (5,938) Total $ (51,176) $ 24,311 $ (15,349) | |
[1] | Open equity represents the cumulative gains (losses) recorded on open futures positions from inception | |
[2] | T -Note f utures c ontracts were valued at a price of $ 118.61 at December 31, 2019 and $ 114.69 at December 31, 2018 . The contract values of the short positions were $ 81.8 million and $ 189.2 million at December 31, 2019 and December 31, 2018 , respectively | |
[3] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[4] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[5] | Net carrying value represents the diff erence between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) , at fair value in our balance sheets | |
[6] | Notional amount represents the par value (or principal balance) of the underlying Agency RMBS |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Schedule of assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled | Assets Pledged to Counterparties The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2019 and 2018 . (in thousands) December 31, 2019 December 31, 2018 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,500,394 $ - $ 3,500,394 $ 2,854,540 $ 10,776 $ 2,865,316 Structured RMBS - fair value 83,960 - 83,960 126,270 - 126,270 Accrued interest on pledged securities 12,367 - 12,367 12,905 35 12,940 Receivable for securities sold - - - 220,654 - 220,654 Restricted cash 65,851 19,034 84,885 7,034 10,947 17,981 Total $ 3,662,572 $ 19,034 $ 3,681,606 $ 3,221,403 $ 21,758 $ 3,243,161 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged from Counterparties The table below summarizes our assets pledged to us from counterparties under our repurchase agreements and derivative agreements as of December 31, 2019 and 2018 . (in thousands) December 31, 2019 December 31, 2018 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 1,418 $ - $ 1,418 $ 3,852 $ 14,576 $ 18,428 PT RMBS - fair value - - - 1,557 - 1,557 U.S. Treasury securities - fair value - - - 180 - 180 Total $ 1,418 $ - $ 1,418 $ 5,589 $ 14,576 $ 20,165 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting of Assets [Table Text Block] | The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of December 31, 2019 and 2018 . (in thousands) Offsetting of Assets Gross Amount Not Net Amount Offset in the Balance Sheet of Assets Financial Gross Amount Gross Amount Presented Instruments Cash of Recognized Offset in the in the Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2018 Interest rate swaps $ 16,762 $ - $ 16,762 $ - $ (14,308) $ 2,454 Interest rate swaptions 123 - 123 - (123) - $ 16,885 $ - $ 16,885 $ - $ (14,431) $ 2,454 |
Offsetting of Liabilties [Table Text Block] | (in thousands) Offsetting of Liabilities Gross Amount Not Net Amount Offset in the Balance Sheet of Liabilities Financial Gross Amount Gross Amount Presented Instruments of Recognized Offset in the in the Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2019 Repurchase Agreements $ 3,448,106 $ - $ 3,448,106 $ (3,382,255) $ (65,851) $ - Interest rate swaps 20,146 - 20,146 - (17,450) 2,696 TBA securities 512 - 512 - (246) 266 $ 3,468,764 $ - $ 3,468,764 $ (3,382,255) $ (83,547) $ 2,962 December 31, 2018 Repurchase Agreements $ 3,025,052 $ - $ 3,025,052 $ (3,018,018) $ (7,034) $ - Interest rate swaps 2,205 - 2,205 - - 2,205 TBA securities 3,742 - 3,742 - (3,742) - $ 3,030,999 $ - $ 3,030,999 $ (3,018,018) $ (10,776) $ 2,205 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 12 Months Ended | |
Dec. 31, 2019 | ||
Capital Stock [Abstract] | ||
Schedule of completed public offerings of shares of common stock | Common Stock Issuances During 2019 , the Company completed the following public offerings of shares of its common stock. There were no common stock issuances through public offerings during the year ended December 31, 2018 . ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2019 At the Market Offering Program (3) First Quarter $ 6.84 1,267,894 $ 8,503 At the Market Offering Program (3) Second Quarter 6.70 4,337,931 28,495 At the Market Offering Program (3) Third Quarter 6.37 1,771,301 11,098 Follow-on Offering (3) Third Quarter 6.35 7,000,000 44,218 14,377,126 $ 92,314 | [1],[2],[3] |
Schedul of cash dividends declared on the Company's common stock | Cash Dividends The table below presents the cash dividends declared on the Company’s common stock . (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 - YTD (1) 0.160 10,307 Totals $ 11.025 $ 298,700 | |
[1] | As of December 31, 2019 , t he Company had entered into six e quity d istribution a greements, all six of which have either been terminated because all shares were sold or were replaced with a subsequent agreement . | |
[2] | Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. | |
[3] | Weighted average p rice received per share is before deducting the underwriters’ discount, if applicable, and other offering costs. |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule of fully vested common stock issued | Stock Awards The Company has previously issued, and may in the future issue additional, immediately vested common stock under the Incentive Plan to certain executive officers and employees of its Manager. The Company’s non-employee directors received grants of immediately vested common stock for their service to the Company during the first quarter of 2018. The following table presents information related to fully vested common stock issued during the years ended December 31, 2019 and 2018 . ($ in thousands, except per share data) 2019 2018 Fully vested shares granted - 37,920 Weighted average grant date price per share $ - $ 7.62 Compensation expense related to fully vested shares of common stock awards $ - $ 289 |
Schedule of Performance Units outstanding | The fo llowing table presents information related to Performance Units outstanding during the years ended December 31, 2019 and 2018 . ($ in thousands, except per share data) 2019 2018 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 43,672 $ 8.34 41,693 $ 9.95 Granted - - 27,935 7.45 Forfeited - - (2,161) 8.49 Vested and issued (24,651) 8.78 (23,795) 10.09 Unvested, end of period 19,021 $ 7.78 43,672 $ 8.34 Compensation expense during period $ 115 $ 199 Unrecognized compensation expense, end of period $ 42 $ 157 Intrinsic value, end of period $ 111 $ 279 Weighted-average remaining vesting term (in years) 0.8 1.1 |
Schedule of Fully Vested Deferred Stock Units | The following table presents information related to the DSUs outstanding during the years ended December 31, 2019 and 2018 . ($ in thousands, except per share data) Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 12,434 $ 7.37 - $ - Granted and vested 31,136 6.23 12,434 7.37 Outstanding, end of period 43,570 $ 6.56 12,434 $ 7.37 Compensation expense during period $ 180 $ 135 Intrinsic value, end of period $ 255 $ 79 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table below reconciles the numerator and denom inator of EPS for the years ended December 31, 2019 , 2018 and 2017 . (in thousands, except per-share information) 2019 2018 2017 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net income (loss) - Basic and diluted $ 24,265 $ (44,387) $ 2,007 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 63,062 49,132 53,062 Unvested dividend eligible share based compensation outstanding at the balance sheet date 63 - 42 Effect of weighting (6,797) 3,066 (12,042) Weighted average shares-basic and diluted 56,328 52,198 41,062 Net income (loss) per common share: Basic and diluted $ 0.43 $ (0.85) $ 0.05 Anti-dilutive incentive shares not included in calculation. - 56 - |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of December 31, 2019 and 2018 . Derivative contracts are reported as a net position by contract type, and not based on master netting arrangements. (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Fair Value Assets Inputs Inputs Measurements (Level 1) (Level 2) (Level 3) December 31, 2019 Mortgage-backed securities $ 3,590,921 $ - $ 3,590,921 $ - Interest rate swaps (20,146) - (20,146) - TBA securities (512) - (512) - December 31, 2018 Mortgage-backed securities $ 3,014,503 $ - $ 3,014,503 $ - Interest rate swaps 14,557 - 14,557 - Interest rate swaptions 123 - 123 - TBA securities (3,742) - (3,742) - |
QUARTERLY RESULTS (UNAUDITED) (
QUARTERLY RESULTS (UNAUDITED) (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Quarterly Financial Data [Abstract] | |
Schedule of Quarterly Financia lInformation [TableTextBlock] | NOTE 14 . QUARTERLY RESULTS (UNAUDITED) The following is a presentation of the quarterly results of operations for the years ended December 31, 2019 and 2018 . (in thousands, except per share information) Quarter Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Interest income $ 32,433 $ 36,455 $ 35,907 $ 37,529 Interest expense (18,892) (22,431) (22,321) (20,022) Net interest income 13,541 14,024 13,586 17,507 Losses (gains) (748) (7,670) (19,431) 3,841 Net portfolio income (loss) 12,793 6,354 (5,845) 21,348 Expenses: Management fees and overhead expenses 1,608 1,653 1,791 1,856 Other expenses 588 1,168 841 880 Total expenses 2,196 2,821 2,632 2,736 Net income (loss) $ 10,597 $ 3,533 $ (8,477) $ 18,612 Basic and diluted net income (loss) per share $ 0.22 $ 0.07 $ (0.14) $ 0.29 Weighted Average Shares Outstanding 48,905 52,601 60,419 63,124 Dividends declared per share $ 0.24 $ 0.24 $ 0.24 $ 0.24 Quarter Ended March 31, 2018 June 30, 2018 September 30, 2018 December 31, 2018 Interest income $ 39,935 $ 38,590 $ 39,054 $ 37,002 Interest expense (15,149) (16,579) (18,893) (19,739) Net interest income 24,786 22,011 20,161 17,263 Losses (38,055) (17,734) (20,150) (40,707) Net portfolio income (loss) (13,269) 4,277 11 (23,444) Expenses: Management fees and overhead expenses 2,094 1,967 1,873 1,836 Other expenses 1,014 964 1,097 1,117 Total expenses 3,108 2,931 2,970 2,953 Net income (loss) $ (16,377) $ 1,346 $ (2,959) $ (26,397) Basic and diluted net income (loss) per share $ (0.31) $ 0.03 $ (0.06) $ (0.52) Weighted Average Shares Outstanding 53,066 52,587 52,035 51,188 Dividends declared per share $ 0.31 $ 0.27 $ 0.25 $ 0.24 |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Organization and Business Description (Narrative) (Details) | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Entity Incorporation, Date of Incorporation | Aug. 17, 2010 |
The date of commencement of operations | Nov. 24, 2010 |
ORGANIZATION AND SIGNIFICANT _3
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Narrative) (Details) | Dec. 31, 2019USD ($) |
Accounting Policies [Abstract] | |
Uninsured Cash Balances | $ 170,600,000 |
ORGANIZATION AND SIGNIFICANT _4
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 5 Months Ended | 7 Months Ended | 12 Months Ended | 24 Months Ended | ||
Feb. 21, 2020 | Sep. 30, 2019 | Aug. 01, 2017 | Feb. 22, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Aug. 11, 2019 | |
Subsidiary, Sale of Stock [Line Items] | ||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 92,314,000 | $ 0 | $ 197,607,000 | |||||
Stock Issued During Period, Value, New Issues | $ 92,314,000 | $ 197,607,000 | ||||||
Total shares issued under distribution agreement | 14,377,000 | 20,045,000 | ||||||
At the Market Offering Program [Member] | ||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 12,200,000 | $ 122,900,000 | $ 108,200,000 | $ 123,100,000 | ||||
Stock Issued During Period, Value, New Issues | $ 12,400,000 | $ 125,000,000 | $ 110,000,000 | $ 125,000,000 | ||||
Total shares issued under distribution agreement | 2,004,432 | 12,299,032 | 10,174,992 | 15,123,178 | ||||
At the Market Offering Program [Member] | Maximum [Member] | ||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||
Stock Issued During Period, Value, New Issues | $ 200,000,000 | $ 125,000,000 | $ 125,000,000 | $ 125,000,000 | ||||
Follow-on Offering [Member] | ||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 44,200,000 | |||||||
Stock Issued During Period, Value, New Issues | $ 45,900,000 | |||||||
Total shares issued under distribution agreement | 7,000,000 |
ORGANIZATION AND SIGINIFICANT A
ORGANIZATION AND SIGINIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 193,770,000 | $ 108,282,000 | ||
Restricted cash | 84,885,000 | 17,981,000 | ||
Total cash, cash equivalents and restricted cash | $ 278,655,000 | $ 126,263,000 | $ 246,712,000 | $ 94,425,000 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 3,590,921,000 | $ 3,014,503,000 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,506,232,000 | 2,874,337,000 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 84,689,000 | 140,166,000 |
Adjustable-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 1,014,000 | 1,437,000 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,206,013,000 | 2,130,974,000 |
Collateralized Mortgage Obligations [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 299,205,000 | 741,926,000 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 60,986,000 | 116,415,000 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 23,703,000 | $ 23,751,000 |
REPURCHASE AGREEMENTS AND OTH_3
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Narrative) (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | $ 84,885,000 | $ 17,981,000 |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Aggregate amount at risk will all counterparties | 203,400,000 | |
Restricted Cash And Cash Equivalents At Carrying Value | $ 65,851,000 | $ 7,034,000 |
REPURCHASE AGREEMENTS AND OTH_4
REPURCHASE AGREEMENTS AND OTHER BORROWINGS - Remaining Maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 3,596,721 | $ 3,214,369 |
Repurchase agreement liabilities associated with these liabilities | $ 3,448,106 | $ 3,025,052 |
Net weighted average borrowing rate | 2.03% | 2.65% |
Overnight (1 Day or Less) [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 0 | $ 0 |
Repurchase agreement liabilities associated with these liabilities | $ 0 | $ 0 |
Net weighted average borrowing rate | 0.00% | 0.00% |
Between 2 and 30 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 2,470,263 | $ 1,720,804 |
Repurchase agreement liabilities associated with these liabilities | $ 2,361,378 | $ 1,611,185 |
Net weighted average borrowing rate | 2.04% | 2.72% |
Between 31 and 90 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,005,517 | $ 1,493,565 |
Repurchase agreement liabilities associated with these liabilities | $ 964,368 | $ 1,413,867 |
Net weighted average borrowing rate | 1.94% | 2.57% |
Greater Than 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 120,941 | $ 0 |
Repurchase agreement liabilities associated with these liabilities | $ 122,360 | $ 0 |
Net weighted average borrowing rate | 2.60% | 0.00% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 0 | $ 16,885,000 |
Liabilities, at Fair Value | 20,658,000 | 5,947,000 |
Restricted cash | 84,885,000 | 17,981,000 |
Other Liabilities | 1,041,000 | 17,523,000 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 0 | 16,885,000 |
Liabilities, at Fair Value | 20,658,000 | 5,947,000 |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 0 | 16,762,000 |
Liabilities, at Fair Value | 20,146,000 | 2,205,000 |
Restricted cash | 17,450,000 | 0 |
Other Liabilities | 0 | (14,308,000) |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 512,000 | 3,742,000 |
Restricted cash | 246,000 | 6,236,000 |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 1,338,000 | 4,711,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 0 | 123,000 |
Other Liabilities | $ 0 | $ (268,000) |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 500,000,000 | $ 1,725,000,000 |
Derivative Entry Rate | 2.97% | 2.51% |
Locked-In LIBOR Rate | 1.67% | 2.54% |
Open Equity | $ (6,505,000) | $ 2,533,000 |
Year 2019 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,650,000,000 | |
Derivative Entry Rate | 2.25% | |
Locked-In LIBOR Rate | 2.64% | |
Open Equity | $ 7,036,000 | |
Year 2019 Expiration [Member] | Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 165,000,000 | |
Derivative Entry Rate | 3.22% | |
Locked-In LIBOR Rate | 2.83% | |
Open Equity | $ (3,185,000) | |
Dollar Price | 114.69 | |
Notional Value | $ 189,200,000 | |
Year 2020 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 500,000,000 | $ 1,800,000,000 |
Derivative Entry Rate | 2.97% | 2.74% |
Locked-In LIBOR Rate | 1.67% | 2.45% |
Open Equity | $ (6,505,000) | $ (4,503,000) |
Year 2020 Expiration [Member] | Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 69,000,000 | |
Derivative Entry Rate | 1.96% | |
Locked-In LIBOR Rate | 2.06% | |
Open Equity | $ 302,000 | |
Dollar Price | 118.61 | |
Notional Value | $ 81,800,000 |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | ||
Liabilities, at Fair Value | $ 20,658,000 | $ 5,947,000 |
Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,270,000,000 | $ 1,260,000,000 |
Average Fixed Pay Rate | 2030.00% | 1.62% |
Average Receive Rate | 1920.00% | 2.63% |
Net Estimated Fair Value | $ (20,146,000) | $ 14,557,000 |
Average Maturity | 3 years 9 months 16 days | 1 year 9 months 17 days |
Swap [Member] | 1-3 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 360,000,000 | $ 1,000,000,000 |
Average Fixed Pay Rate | 2.05% | 2.01% |
Average Receive Rate | 1.90% | 2.68% |
Net Estimated Fair Value | $ (3,680,000) | $ 10,365,000 |
Average Maturity | 1 year 4 months 21 days | 1 year 4 months 21 days |
Swap [Member] | 3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 910,000,000 | $ 260,000,000 |
Average Fixed Pay Rate | 2.03% | 1.70% |
Average Receive Rate | 1.93% | 2.64% |
Net Estimated Fair Value | $ (16,466,000) | $ 4,192,000 |
Average Maturity | 3 years 4 months 13 days | 3 years 4 months 13 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | $ 16,885,000 | $ 0 |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | 7,805,000 | |
Assets, at Fair Value | $ 123,000 | |
Derivative Instruments Average Months To Expiration | 1 month 14 days | |
Notional Amount | $ 700,000,000 | |
Derivative Average Fixed Interest Rate | 3.20% | |
Term (Years) | 9 years |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | $ 0 | $ 16,885,000 |
Liabilities, at Fair Value | 20,658,000 | 5,947,000 |
30 Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (300,000,000) | (250,000,000) |
Cost Basis | (315,426,000) | (240,164,000) |
Market Value Of TBA Contract | (315,938,000) | (243,906,000) |
Liabilities, at Fair Value | (512,000) | (3,742,000) |
30 Year [Member] | 3% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (250,000,000) | |
Cost Basis | (240,164,000) | |
Market Value Of TBA Contract | (243,906,000) | |
Liabilities, at Fair Value | $ (3,742,000) | |
30 Year [Member] | 4.5% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (300,000,000) | |
Cost Basis | (315,426,000) | |
Market Value Of TBA Contract | (315,938,000) | |
Liabilities, at Fair Value | $ (512,000) |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | $ (51,176,000) | $ 24,311,000 | $ (15,349,000) |
Eurodollar Future [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (13,860,000) | 7,170,000 | 1,257,000 |
Treasury Note Future [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (5,175,000) | 5,507,000 | (14,922,000) |
Fed Funds Futures [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 177,000 | 0 | 0 |
Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (26,582,000) | 8,609,000 | 3,216,000 |
Receiver Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 0 | 105,000 | 0 |
Payer Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (1,379,000) | (1,607,000) | 1,038,000 |
TBA Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | $ (4,357,000) | $ 4,527,000 | $ (5,938,000) |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 3,584,354,000 | $ 2,991,586,000 |
Accrued interest receivable | 12,404,000 | 13,241,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 0 | 221,746,000 |
Restricted cash | 84,885,000 | 17,981,000 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 12,367,000 | 12,905,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 0 | 220,654,000 |
Restricted cash | 65,851,000 | 7,034,000 |
Total Assets Pledged To Counterparties | 3,662,572,000 | 3,221,403,000 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 0 | 35,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 0 | 0 |
Restricted cash | 19,034,000 | 10,947,000 |
Total Assets Pledged To Counterparties | 19,034,000 | 21,758,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,500,394,000 | 2,854,540,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 83,960,000 | 126,270,000 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 0 | 10,776,000 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 0 | $ 0 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 1,418,000 | $ 5,589,000 |
Repurchase Agreement [Member] | Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 1,557,000 |
Repurchase Agreement [Member] | Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 1,557,000 |
Repurchase Agreement [Member] | USTreasurySecuritiesMember | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 180,000 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 1,418,000 | 3,852,000 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 14,576,000 |
Derivative [Member] | Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Derivative [Member] | Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Derivative [Member] | USTreasurySecuritiesMember | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Derivative [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 0 | $ 14,576,000 |
OFFSETTING ASSETS AND LIABILI_3
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Assets (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Offsetting Assets [Line Items] | ||
Derivative, Fair Value, Net | $ 0 | $ 16,885,000 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 16,885,000 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (14,431,000) | |
Net Amount Of Assets | 2,454,000 | |
Swap [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 16,762,000 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (14,308,000) | |
Net Amount Of Assets | 2,454,000 | |
TBA securities [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 0 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | |
Net Amount Of Assets | 0 | |
Payer Swaption [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 123,000 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (123,000) | |
Net Amount Of Assets | $ 0 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 3,468,764,000 | $ 3,030,999,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,468,764,000 | 3,030,999,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,382,255,000) | (3,018,018,000) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (83,547,000) | (10,776,000) |
Net Amount Of Liabilities | 2,962,000 | 2,205,000 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 3,448,106,000 | 3,025,052,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,448,106,000 | 3,025,052,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,382,255,000) | (3,018,018,000) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (65,851,000) | (7,034,000) |
Net Amount Of Liabilities | 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 20,146,000 | 2,205,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 20,146,000 | 2,205,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (17,450,000) | 0 |
Net Amount Of Liabilities | 2,696,000 | 2,205,000 |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 512,000 | 3,742,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 512,000 | 3,742,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (246,000) | (3,742,000) |
Net Amount Of Liabilities | $ 266,000 | $ 0 |
CAPITAL STOCK - Completed publi
CAPITAL STOCK - Completed public offerings ofcommon stock (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Stock Issued During Period Shares New Issues | 14,377,000 | 20,045,000 | ||||
Stock Issued During Period, Value, New Issues | $ 92,314,000 | $ 197,607,000 | ||||
At the Market Offering Program [Member] | ||||||
Weighted Average Price Received Per Share | $ 6.37 | $ 6.7 | $ 6.84 | |||
Stock Issued During Period Shares New Issues | 1,771,301 | 4,337,931 | 1,267,894 | 14,377,126 | ||
Stock Issued During Period, Value, New Issues | $ 11,098,000 | $ 28,495,000 | $ 8,503,000 | $ 92,314,000 | ||
Follow-on Offering [Member] | ||||||
Weighted Average Price Received Per Share | $ 6.35 | |||||
Stock Issued During Period Shares New Issues | 7,000,000 | |||||
Stock Issued During Period, Value, New Issues | $ 44,218,000 |
CAPITAL STOCK - Share Repurchas
CAPITAL STOCK - Share Repurchase Progam (Narrative) (Details) - USD ($) | 12 Months Ended | 53 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2019 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Line Items] | |||||
Stock Repurchased and Retired During Period, Shares | (470,000) | (3,979,000) | |||
Stock Repurchased and Retired During Period, Value | $ (3,024,000) | ||||
Share Repurchase Program [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Stock Repurchase Program Authorization Date | Jul. 29, 2015 | ||||
Stock Repurchased and Retired During Period, Shares | 469,975 | 3,979,402 | 5,665,620 | ||
Stock Repurchased and Retired During Period, Value | $ 3,000,000 | $ 26,400,000 | $ 40,300,000 | ||
Weighted Average Share Repurchase Price | $ 6.43 | $ 6.64 | $ 7.11 | ||
Share Repurchase Program [Member] | Maximum [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Share Repurchase | 2,000,000 | ||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 857,202 | 857,202 | |||
Program Increase [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Stock Repurchase Program Authorization Date | Feb. 8, 2018 | ||||
Program Increase [Member] | Maximum [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Share Repurchase | 4,522,822 |
CAPITAL STOCK - Cash dividends
CAPITAL STOCK - Cash dividends declared (Details) - USD ($) | 2 Months Ended | 3 Months Ended | 12 Months Ended | 83 Months Ended | |||||||||||||
Feb. 21, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2019 | |
Dividends Payable [Line Items] | |||||||||||||||||
Per Share Amount | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.25 | $ 0.27 | $ 0.31 | $ 0.96 | $ 1.07 | $ 1.68 | ||||||
Dividend Declared [Member] | |||||||||||||||||
Dividends Payable [Line Items] | |||||||||||||||||
Per Share Amount | $ 0.16 | $ 0.96 | $ 1.07 | $ 1.68 | $ 1.68 | $ 1.92 | $ 2.16 | $ 1.395 | $ 11.025 | ||||||||
Total | $ 10,307,000 | $ 54,421,000 | $ 55,814,000 | $ 70,717,000 | $ 41,388,000 | $ 38,748,000 | $ 22,643,000 | $ 4,662,000 | $ 298,700,000 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) | 12 Months Ended |
Dec. 31, 2019shares | |
Employee Benefits And Share Based Compensation [Abstract] | |
Maximum Number of Shares to Be Issued the Plan | 4,000,000 |
Percentage of Outstanding Stock Limitation | 10.00% |
STOCK INCENTIVE PLAN - (Narrati
STOCK INCENTIVE PLAN - (Narrative) (Details) - $ / shares | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Stock Awards [Member] | ||
Incentive Share Activity, Shares | ||
Granted | 0 | 37,920 |
Incentive Share Activity, Grant Date Fair Value | ||
Granted | $ 0 | $ 7.62 |
Performance Shares [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 43,672 | 41,693 |
Granted | 0 | 27,935 |
Forfeited | 0 | (2,161) |
Vested | (24,651) | (23,795) |
Nonvested - Ending Balance | 19,021 | 43,672 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 8.34 | $ 9.95 |
Granted | 0 | 7.45 |
Forfeited | 0 | 8.49 |
Vested | 8.78 | 10.09 |
Nonvested - Ending Balance | $ 7.78 | $ 8.34 |
Deferred Stock Units [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 12,434 | 0 |
Granted | 31,136 | 12,434 |
Nonvested - Ending Balance | 43,570 | 12,434 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 7.37 | $ 0 |
Granted | 6.23 | 7.37 |
Nonvested - Ending Balance | $ 6.56 | $ 7.37 |
STOCK INCENTIVE PLAN - (Narra_2
STOCK INCENTIVE PLAN - (Narrative, continued) (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Stock Awards [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share Based Compensation | $ 0 | $ 289,000 |
Granted | 0 | 37,920 |
Performance Shares [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Intrinsic Value of Nonvested | $ 111,000 | $ 279,000 |
Weighted Average Remaining Term | 9 months 17 days | 1 year 1 month 1 day |
Unrecognized Compensation Cost | $ 42,000 | $ 157,000 |
Share Based Compensation | $ 115,000 | $ 199,000 |
Granted | 0 | 27,935 |
Deferred Stock Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Intrinsic Value of Nonvested | $ 255,000 | $ 79,000 |
Share Based Compensation | $ 180,000 | $ 135,000 |
Granted | 31,136 | 12,434 |
INCOME TAXES - REIT ACTIVITIES
INCOME TAXES - REIT ACTIVITIES (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |||
Real Estate Investment Trust Distribution Requirement | 90.00% | ||
Real Estate Investment Trust Distibution Requirment Within Tax Year | 85.00% | ||
Distribution Taxed In Subsequent Year | $ 0.08 | $ 0.08 | |
Distribution Taxed in Current Year | 0.88 | ||
Distribution Exceeding Earnings Amount | $ 0.49 | ||
Distribution Exceeding Earnings Percent | 51.00% | ||
Ordinary Income Distributions Amount | $ 0.47 | ||
Ordinary Income Distributions Percent | 49.00% | ||
IncomeTaxExpenseBenefit | $ 0 | $ 0 | $ 0 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | |||||||||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 24,265,000 | $ (44,387,000) | $ 2,007,000 | ||||||||
Net Income (Loss) Available to Common Stockholders, Diluted | $ 2,007,000 | $ 24,265,000 | $ (44,387,000) | $ 2,007,000 | |||||||
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | |||||||||||
Common Shares Outstanding | 63,062,000 | 49,132,000 | 53,062,000 | ||||||||
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date | 63,000 | 0 | 42,000 | ||||||||
Effect of Weighting | (6,797,000) | 3,066,000 | (12,042,000) | ||||||||
Weighted Average Shares - Basic and Diluted | 63,124,000 | 60,419,000 | 52,601,000 | 48,905,000 | 51,188,000 | 52,035,000 | 52,587,000 | 53,066,000 | 56,328,027 | 52,198,175 | 41,062,039 |
Income (Loss) Per Share - Basic | $ 0.29 | $ (0.14) | $ 0.07 | $ 0.22 | $ (0.52) | $ (0.06) | $ 0.03 | $ (0.31) | $ 0.43 | $ (0.85) | $ 0.05 |
Income (Loss) Pe Share - Diluted | $ 0.29 | $ (0.14) | $ 0.07 | $ 0.22 | $ (0.52) | $ (0.06) | $ 0.03 | $ (0.31) | $ 0.43 | $ (0.85) | $ 0.05 |
EARNINGS PER SHARE - (Narrative
EARNINGS PER SHARE - (Narrative) (Details) - shares | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Earnings Per Share [Abstract] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 0 | 56,000 | 0 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,590,921,000 | $ 3,014,503,000 |
Derivative, Fair Value, Net | 0 | 16,885,000 |
Fair Value Assets Transfers Amount | 0 | 0 |
Estimate of Fair Value, Fair Value Disclosure [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,590,921,000 | 3,014,503,000 |
Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (20,146,000) | 14,557,000 |
Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 123,000 |
Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (512,000) | (3,742,000) |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,590,921,000 | 3,014,503,000 |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (20,146,000) | 14,557,000 |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 123,000 |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (512,000) | (3,742,000) |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | $ 0 | $ 0 |
RELATED PARTY TRANSACTIONS - Ma
RELATED PARTY TRANSACTIONS - Management Agreement (Narrative) (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||
Due to affiliates | $ 622,000 | $ 654,000 | |
Bimini Advisors, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Termination Date | 2/20/2021 | ||
Automatic Renewal Period Of Management Agreement | 1 year | ||
Management Fees And Allocated Expenses | $ 6,900,000 | $ 7,800,000 | $ 7,400,000 |
Bimini Advisors, LLC [Member] | First $250 million of Equity [Member] | |||
Related Party Transaction [Line Items] | |||
Annual management fee as a percent of equity | 1.50% | ||
Bimini Advisors, LLC [Member] | Greater than $250 million but less than or equal to $500 million Equity [Member] | |||
Related Party Transaction [Line Items] | |||
Annual management fee as a percent of equity | 1.25% | ||
Bimini Advisors, LLC [Member] | Greater than $500 million of Equity [Member] | |||
Related Party Transaction [Line Items] | |||
Annual management fee as a percent of equity | 1.00% |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) - Bimini Capital Management Inc [Member] | Dec. 31, 2019shares |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 1,520,036 |
Entity Ownership Percentage | 2.40% |
QUARTERLY RESULTS - (Details)
QUARTERLY RESULTS - (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest Income | $ 37,529,000 | $ 35,907,000 | $ 36,455,000 | $ 32,433,000 | $ 37,002,000 | $ 39,054,000 | $ 38,590,000 | $ 39,935,000 | |||
Interest expense | 20,022,000 | 22,321,000 | 22,431,000 | 18,892,000 | 19,739,000 | 18,893,000 | 16,579,000 | 15,149,000 | $ 83,666,000 | $ 70,360,000 | $ 41,671,000 |
Net interest income | 17,507,000 | 13,586,000 | 14,024,000 | 13,541,000 | 17,263,000 | 20,161,000 | 22,011,000 | 24,786,000 | |||
Realized And Unrealized Gains | 3,841,000 | (19,431,000) | (7,670,000) | (748,000) | (40,707,000) | (20,150,000) | (17,734,000) | (38,055,000) | |||
Net portfolio income | 21,348,000 | (5,845,000) | 6,354,000 | 12,793,000 | (23,444,000) | 11,000 | 4,277,000 | (13,269,000) | |||
Management Fees | 1,856,000 | 1,791,000 | 1,653,000 | 1,608,000 | 1,836,000 | 1,873,000 | 1,967,000 | 2,094,000 | |||
Other Expenses | 880,000 | 841,000 | 1,168,000 | 588,000 | 1,117,000 | 1,097,000 | 964,000 | 1,014,000 | |||
Total expenses | 2,736,000 | 2,632,000 | 2,821,000 | 2,196,000 | 2,953,000 | 2,970,000 | 2,931,000 | 3,108,000 | |||
Net income (loss) | $ 18,612,000 | $ (8,477,000) | $ 3,533,000 | $ 10,597,000 | $ (26,397,000) | $ (2,959,000) | $ 1,346,000 | $ (16,377,000) | |||
Earnings Per Share, Basic | $ 0.29 | $ (0.14) | $ 0.07 | $ 0.22 | $ (0.52) | $ (0.06) | $ 0.03 | $ (0.31) | $ 0.43 | $ (0.85) | $ 0.05 |
Earnings Per Share Diluted | $ 0.29 | $ (0.14) | $ 0.07 | $ 0.22 | $ (0.52) | $ (0.06) | $ 0.03 | $ (0.31) | $ 0.43 | $ (0.85) | $ 0.05 |
Weighted Average Number Of Basic Shares Outstanding | 63,124,000 | 60,419,000 | 52,601,000 | 48,905,000 | 51,188,000 | 52,035,000 | 52,587,000 | 53,066,000 | 56,328,027 | 52,198,175 | 41,062,039 |
Dividends Declared Per Common Share | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.25 | $ 0.27 | $ 0.31 | $ 0.96 | $ 1.07 | $ 1.68 |