Document And Entity Information
Document And Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Mar. 03, 2023 | Jun. 30, 2022 | |
Document Information [Line Items] | |||
Entity Central Index Key | 0001518621 | ||
Entity Registrant Name | Orchid Island Capital, Inc. | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Period Focus | FY | ||
Document Fiscal Year Focus | 2022 | ||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2022 | ||
Document Transition Report | false | ||
Entity File Number | 001-35236 | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 27-3269228 | ||
Entity Address, Address Line One | 3305 Flamingo Drive | ||
Entity Address, City or Town | Vero Beach | ||
Entity Address, State or Province | FL | ||
Entity Address, Postal Zip Code | 32963 | ||
City Area Code | 772 | ||
Local Phone Number | 231-1400 | ||
Title of 12(b) Security | Common Stock, $0.01 par value | ||
Trading Symbol | ORC | ||
Security Exchange Name | NYSE | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 493,960,589 | ||
Entity Common Stock, Shares Outstanding | 39,081,942 | ||
Auditor Firm ID | 243 | ||
Auditor Name | BDO USA, LLP | ||
Auditor Location | West Palm Beach, Florida |
Balance Sheets
Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
ASSETS: | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | $ 3,540,002 | $ 6,511,095 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | 36,382 | 37,175 |
Cash and cash equivalents | 205,651 | 385,143 |
Restricted cash | 31,568 | 65,299 |
Accrued interest receivable | 11,519 | 18,859 |
Derivative assets | 40,172 | 50,786 |
Other assets | 442 | 320 |
Total Assets | 3,865,736 | 7,068,677 |
LIABILITIES: | ||
Repurchase agreements | 3,378,445 | 6,244,106 |
Dividends payable | 5,908 | 11,530 |
Derivative liabilities | 7,161 | 7,589 |
Accrued interest payable | 9,209 | 788 |
Due to affiliates | 1,131 | 1,062 |
Other liabilities | 25,119 | 35,505 |
Total Liabilities | 3,426,973 | 6,300,580 |
COMMITMENTS AND CONTINGENCIES | ||
STOCKHOLDERS' EQUITY: | ||
Preferred stock, $0.01 par value; 20,000,000 shares authorized; no shares issued and outstanding as of December 31, 2022 and December 31, 2021 | 0 | 0 |
Common Stock, $0.01 par value; 100,000,000 shares authorized, 36,764,983 shares issued and outstanding as of December 31, 2022 and 35,398,610 shares issued and outstanding as of December 31, 2021 | 368 | 354 |
Additional paid-in capital | 779,602 | 850,497 |
Accumulated deficit | (341,207) | (82,754) |
Total Stockholders' Equity | 438,763 | 768,097 |
Total Liabilities and Stockholders' Equity | $ 3,865,736 | $ 7,068,677 |
Balance Sheets (Parentheticals)
Balance Sheets (Parentheticals) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | $ 3,540,002 | $ 6,511,095 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | $ 36,382 | $ 37,175 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, authorized (in shares) | 20,000,000 | 20,000,000 |
Preferred stock, issued (in shares) | 0 | 0 |
Preferred stock, outstanding (in shares) | 0 | 0 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, authorized (in shares) | 100,000,000 | 100,000,000 |
Common stock, issued (in shares) | 35,398,610 | |
Common stock, outstanding (in shares) | 35,398,610 | |
Asset Pledged as Collateral [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | $ 3,512,640 | $ 6,506,372 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | $ 36,382 | $ 29,740 |
Statements of Operations
Statements of Operations - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income | $ 144,633 | $ 134,700 | $ 116,045 |
Interest expense | (61,708) | (7,090) | (25,056) |
Net interest income | 82,925 | 127,610 | 90,989 |
Unrealized (losses) gains on mortgage-backed securities and U.S. Treasury Notes | (642,710) | (198,454) | 25,761 |
Gains (losses) on derivative instruments | 455,736 | 26,877 | (79,092) |
Net portfolio (loss) income | (237,744) | (49,509) | 12,672 |
Management fees | 10,447 | 8,156 | 5,281 |
Allocated overhead | 2,042 | 1,632 | 1,514 |
Incentive compensation | 957 | 1,132 | 38 |
Directors' fees and liability insurance | 1,251 | 1,169 | 998 |
Audit, legal and other professional fees | 1,143 | 1,112 | 1,045 |
Direct REIT operating expenses | 4,091 | 1,475 | 1,057 |
Other administrative | 778 | 575 | 611 |
Total expenses | 20,709 | 15,251 | 10,544 |
Net (loss) income | $ (258,453) | $ (64,760) | $ 2,128 |
Basic and diluted net (loss) income per share (in dollars per share) | $ (6.90) | $ (2.67) | $ 0.16 |
Weighted Average Shares Outstanding (in shares) | 37,464,671 | 24,228,865 | 13,442,163 |
Collateralized Mortgage-Backed Securities [Member] | |||
Realized losses on mortgage-backed securities | $ (133,695) | $ (5,542) | $ (24,986) |
Statements of Stockholders' Equ
Statements of Stockholders' Equity - USD ($) shares in Thousands, $ in Thousands | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Total |
Balances (in shares) at Dec. 31, 2019 | 12,612 | |||
Balances at Dec. 31, 2019 | $ 126 | $ 415,503 | $ (20,122) | $ 395,507 |
Net (loss) income | 0 | 0 | 2,128 | 2,128 |
Cash dividends declared | $ 0 | (53,570) | 0 | (53,570) |
Issuance of common stock pursuant to public offerings, net (in shares) | 2,605 | |||
Issuance of common stock pursuant to public offerings, net | $ 26 | 71,024 | 0 | 71,050 |
Stock based awards and amortization (in shares) | 2 | |||
Stock based awards and amortization | $ 0 | 244 | 0 | 244 |
Shares repurchased and retired (in shares) | (4) | |||
Shares repurchased and retired | $ 0 | (68) | 0 | $ (68) |
Balances (in shares) at Dec. 31, 2020 | 15,215 | 15,215 | ||
Balances at Dec. 31, 2020 | $ 152 | 433,133 | (17,994) | $ 415,291 |
Net (loss) income | 0 | 0 | (64,760) | (64,760) |
Cash dividends declared | $ 0 | (97,601) | 0 | $ (97,601) |
Issuance of common stock pursuant to public offerings, net (in shares) | 20,166 | 20,165,635 | ||
Issuance of common stock pursuant to public offerings, net | $ 202 | 513,857 | 0 | $ 514,059 |
Stock based awards and amortization (in shares) | 18 | |||
Stock based awards and amortization | $ 0 | 1,108 | 0 | $ 1,108 |
Balances (in shares) at Dec. 31, 2021 | 35,399 | 35,399 | ||
Balances at Dec. 31, 2021 | $ 354 | 850,497 | (82,754) | $ 768,097 |
Net (loss) income | 0 | 0 | (258,453) | (258,453) |
Cash dividends declared | $ 0 | (87,906) | 0 | $ (87,906) |
Issuance of common stock pursuant to public offerings, net (in shares) | 3,885 | 3,885,048 | ||
Issuance of common stock pursuant to public offerings, net | $ 38 | 40,542 | 0 | $ 40,580 |
Stock based awards and amortization (in shares) | 30 | |||
Stock based awards and amortization | $ 0 | 1,055 | 0 | 1,055 |
Shares repurchased and retired (in shares) | (2,549) | |||
Shares repurchased and retired | $ (24) | (24,586) | 0 | $ (24,610) |
Balances (in shares) at Dec. 31, 2022 | 36,765 | 36,765 | ||
Balances at Dec. 31, 2022 | $ 368 | $ 779,602 | $ (341,207) | $ 438,763 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
CASH FLOWS FROM OPERATING ACTIVITIES: | |||
Net (loss) income | $ (258,453) | $ (64,760) | $ 2,128 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | |||
Stock based compensation | 685 | 772 | 244 |
Realized losses on mortgage-backed securities | 133,695 | 5,542 | 24,986 |
Unrealized losses (gains) on mortgage-backed securities and U.S. Treasury Notes | 642,710 | 198,454 | (25,761) |
Changes in operating assets and liabilities: | |||
Accrued interest receivable | 7,340 | (9,138) | 2,683 |
Other assets | (128) | 196 | (446) |
Accrued interest payable | 8,421 | (369) | (9,944) |
Other liabilities | 454 | 663 | 2,583 |
Due to affiliates | 69 | 430 | 10 |
NET CASH PROVIDED BY OPERATING ACTIVITIES | 289,372 | 96,440 | 55,374 |
CASH FLOWS FROM INVESTING ACTIVITIES: | |||
Net proceeds from reverse repurchase agreements | 0 | 0 | 30 |
Net proceeds from (payments on) derivative instruments | 245,335 | 8,571 | (64,171) |
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES | 2,440,822 | (3,016,800) | (199,340) |
CASH FLOWS FROM FINANCING ACTIVITIES: | |||
Proceeds from repurchase agreements | 40,040,024 | 35,950,241 | 33,140,625 |
Principal payments on repurchase agreements | (42,905,685) | (33,301,721) | (32,993,145) |
Cash dividends | (93,494) | (90,984) | (53,645) |
Proceeds from issuance of common stock, net of issuance costs | 40,580 | 514,059 | 71,050 |
Common stock repurchases, including shares withheld from employee stock awards for payment of taxes | (24,842) | (299) | (68) |
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES | (2,943,417) | 3,071,296 | 164,817 |
NET (DECREASE) INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | (213,223) | 150,936 | 20,851 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 450,442 | 299,506 | 278,655 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | 237,219 | 450,442 | 299,506 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: | |||
Interest | 53,288 | 7,458 | 35,000 |
Collateralized Mortgage-Backed Securities [Member] | |||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | |||
Realized and unrealized (gains) losses on derivative instruments | (245,421) | (35,350) | 58,891 |
CASH FLOWS FROM INVESTING ACTIVITIES: | |||
Purchases | (1,004,526) | (6,430,725) | (4,859,434) |
Sales | 2,759,919 | 2,851,708 | 4,200,536 |
Principal repayments | 440,094 | 591,086 | 523,699 |
US Treasury Securities [Member] | |||
CASH FLOWS FROM INVESTING ACTIVITIES: | |||
Purchases | $ 0 | $ (37,440) | $ 0 |
Note 1 - Organization and Signi
Note 1 - Organization and Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Organization, Consolidation and Presentation of Financial Statements Disclosure and Significant Accounting Policies [Text Block] | NOTE 1. Organization and Business Description Orchid Island Capital, Inc. (“Orchid” or the “Company”), was incorporated in Maryland on August 17, 2010 February 20, 2013 November 24, 2010 ( November 24, 2010, On January 23, 2020, “January 2020 three January 2020 August 2020. On August 4, 2020, “August 2020 four August 2020 June 2021. On January 20, 2021, “January 2021 January 2021 30 January 21, 2021. January 25, 2021, On March 2, 2021, “March 2021 March 2021 30 March 3, 2021. March 5, 2021, On June 22, 2021, “June 2021 four June 2021 October 2021. On October 29, 2021, “October 2021 four may December 31, 2022 October 2021 December 31, 2022 March 3, 2023 October 2021 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 assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of December 31, 2022 Common Stock Reverse Split On August 30, 2022, 1 5 Variable Interest Entities (VIEs) The Company obtains interests in VIEs through its investments in mortgage-backed securities. The Company's interests in these VIEs are passive in nature and are not not 2 Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported 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, 2022 December 31, 2021 Cash and cash equivalents $ 205,651 $ 385,143 Restricted cash 31,568 65,299 Total cash, cash equivalents and restricted cash $ 237,219 $ 450,442 The Company maintains cash balances at three two may not $250,000 not Mortgage-Backed Securities and U.S. Treasury Notes The Company invests primarily in mortgage pass-through (“PT”) residential mortgage backed securities (“RMBS”) and collateralized mortgage obligations (“CMOs”) issued by Freddie Mac, Fannie Mae or Ginnie Mae, interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company refers to RMBS and CMOs as PT RMBS and IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes, primarily to satisfy collateral requirements of derivative counterparties. The Company has elected to account for its investment in RMBS and U.S. Treasury Notes under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of the Company's operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company records securities transactions on the trade date. Security purchases that have not not Fair 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 Income on PT RMBS and U.S. Treasury Notes is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not Derivative Financial Instruments The Company uses derivative and other hedging instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may may 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 and other hedging instruments are carried at fair value, and changes in fair value are recorded in earnings for each period. The Company’s derivative financial instruments are not Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In the event of default by a counterparty, the Company may may not Financial Instruments The 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, Fed Funds 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 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 Level 2 December 31, 2022 December 31, 2021 Repurchase Agreements 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. Reverse Repurchase Agreements and Obligations to Return Securities Borrowed under Reverse Repurchase Agreements The Company borrows securities to cover short sales of U.S. Treasury securities through reverse repo transactions under our master repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 Manager Compensation The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 13 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 during the period. Diluted EPS is calculated using the treasury stock or two not Stock-Based Compensation The Company may not Income Taxes Orchid elected and is organized and operated so as to qualify to be taxed as a REIT under the Code. REITs are generally not 90% Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no Recent Accounting Pronouncements In March 2020, 2020 04 848 2020 04 2020 04 not 2020 04 may December 31, 2022, December 2022, 2022 06 848 2020 04 December 31, 2022 December 31, 2024. not In January 2021, 2021 01 848 2021 01 848 2021 01 2021 01 December 31, 2024, not |
Note 2 - Mortgage-backed Securi
Note 2 - Mortgage-backed Securities and U.S. Treasury Notes | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | NOTE 2. The following table presents the Company’s RMBS portfolio as of December 31, 2022 December 31, 2021 (in thousands) December 31, 2022 December 31, 2021 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 3,519,906 $ 6,298,189 Total Pass-Through Certificates 3,519,906 6,298,189 Structured RMBS Certificates: Interest-Only Securities 19,669 210,382 Inverse Interest-Only Securities 427 2,524 Total Structured RMBS Certificates 20,096 212,906 Total $ 3,540,002 $ 6,511,095 As of December 31, 2022 2021 one The following table is a summary of the Company's net loss from the sale of mortgage-backed securities for the years ended December 31, 2022, 2021 2020 (in thousands) 2022 2021 2020 Proceeds from sales of RMBS $ 2,759,919 $ 2,851,708 $ 4,200,536 Carrying value of RMBS sold (2,893,614 ) (2,857,250 ) (4,225,522 ) Net loss on sales of RMBS $ (133,695 ) $ (5,542 ) $ (24,986 ) Gross gain on sales of RMBS $ 2,705 $ 7,930 $ 8,678 Gross loss on sales of RMBS (136,400 ) (13,472 ) (33,664 ) Net loss on sales of RMBS $ (133,695 ) $ (5,542 ) $ (24,986 ) |
Note 3 - Repurchase Agreements
Note 3 - Repurchase Agreements | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | NOTE 3. The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is generally paid at the termination of a borrowing. If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may December 31, 2022 As of December 31, 2022 2021 ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL December 31, 2022 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,496,769 $ 884,632 $ 142,658 $ 3,524,059 Repurchase agreement liabilities associated with these securities $ - $ 2,404,329 $ 837,299 $ 136,817 $ 3,378,445 Net weighted average borrowing rate - 4.43 % 4.51 % 4.15 % 4.44 % December 31, 2021 Fair market value of securities pledged, including accrued interest receivable $ - $ 4,624,396 $ 1,848,080 $ 52,699 $ 6,525,175 Repurchase agreement liabilities associated with these securities $ - $ 4,403,182 $ 1,789,327 $ 51,597 $ 6,244,106 Net weighted average borrowing rate - 0.15 % 0.13 % 0.15 % 0.15 % Included in the table above are repurchase agreements with outstanding principal balances of approximately $190.3 million as of December 31, 2022 In addition, cash pledged to counterparties as collateral for repurchase agreements was approximately $13.3 million and $57.3 million as of December 31, 2022 2021 If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable and cash posted by the Company as collateral. At December 31, 2022 not 10% December 31, 2022 2021 |
Note 4 - Derivative and Other H
Note 4 - Derivative and Other Hedging Instruments | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 3 to ≤ 5 years $ 500,000 0.84 % 4.75 % 3.7 Expiration > 5 years $ 900,000 1.70 % 4.23 % 6.6 $ 1,400,000 1.39 % 4.41 % 5.6 December 31, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64 % 0.16 % 4.0 Expiration > 5 years $ 400,000 1.16 % 0.21 % 7.3 $ 1,355,000 0.79 % 0.18 % 5.0 Our interest rate swaps are centrally cleared through a two The table below presents information related to the Company's interest rate cap positions at December 31, 2022 no December 31, 2021. ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 1,119 The table below presents information related to the Company’s interest rate swaption positions at December 31, 2022 2021 ($ 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, 2022 Payer Swaptions (long positions) ≤ 1 year $ 36,685 $ 21,253 9.6 1,250,000 4.09 % 3 Month 10.0 > 10 years $ 11,021 $ 12,145 239.5 120,000 2.05 % 3 Month 10.0 $ 47,706 $ 33,398 29.8 $ 1,370,000 3.91 % 3 Month 10.0 Payer Swaptions (short positions) ≤ 1 year $ (17,800 ) $ (5,982 ) 3.6 $ (917,000 ) 4.09 % 3 Month 10.0 December 31, 2021 Payer Swaptions (long positions) ≤ 1 year $ 4,000 $ 1,575 3.2 400,000 1.66 % 3 Month 5.0 > 1 year ≤ 2 years 32,690 19,918 18.4 1,258,500 2.46 % 3 Month 14.1 $ 36,690 $ 21,493 14.7 $ 1,658,500 2.27 % 3 Month 11.9 Payer Swaptions (short positions) ≤ 1 year $ (16,185 ) $ (4,423 ) 5.3 $ (1,331,500 ) 2.29 % 3 Month 11.4 The following table summarizes the Company's contracts to purchase and sell TBA securities as of December 31, 2022 2021 ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2022 30-Year TBA securities: 2.0% $ (175,000 ) $ (142,268 ) $ (143,145 ) $ (877 ) 3.0% (500,000 ) (440,644 ) (440,274 ) 370 Total $ (675,000 ) $ (582,912 ) $ (583,419 ) $ (507 ) December 31, 2021 30-Year TBA securities: 3.0% $ (575,000 ) $ (595,630 ) $ (595,934 ) $ (304 ) Total $ (575,000 ) $ (595,630 ) $ (595,934 ) $ (304 ) ( 1 Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. ( 2 Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. ( 3 Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. ( 4 Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in the balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of operations for the years ended December 31, 2022, 2021 2020 (in thousands) 2022 2021 2020 U.S. Treasury Note futures contracts (short position) $ 207,511 $ (846 ) $ (4,707 ) Eurodollar futures contracts (short positions) - (10 ) (8,337 ) Interest rate swaps 170,297 23,613 (66,212 ) Payer swaptions (long positions) 152,365 (2,580 ) 98 Payer swaptions (short positions) (81,050 ) 9,062 (3,070 ) Interest rate caps 919 - - Interest rate floors - 2,765 - TBA securities (short positions) 4,494 3,432 (6,719 ) TBA securities (long positions) 1,200 (8,559 ) 9,950 U.S. Treasury securities (short positions) - - (95 ) Total $ 455,736 $ 26,877 $ (79,092 ) Credit Risk-Related Contingent Features The use of derivatives and other hedging instruments 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. The Company attempts to minimize this risk by limiting its counterparties for instruments which are not may may not may It is the Company's policy not" id="sjs-B4">NOTE 4. The table below summarizes fair value information about the Company's derivative and other hedging instruments assets and liabilities as of December 31, 2022 2021 (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2022 December 31, 2021 Assets Interest rate swaps Derivative assets, at fair value $ 4,983 $ 29,293 Payer swaptions (long positions) Derivative assets, at fair value 33,398 21,493 Interest rate caps Derivative assets, at fair value 1,119 - TBA securities Derivative assets, at fair value 672 - Total derivative assets, at fair value $ 40,172 $ 50,786 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 2,862 Payer swaptions (short positions) Derivative liabilities, at fair value 5,982 4,423 TBA securities Derivative liabilities, at fair value 1,179 304 Total derivative liabilities, at fair value $ 7,161 $ 7,589 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 16,493 $ 8,035 TBA securities Restricted cash 1,734 - TBA securities Other liabilities (532 ) (856 ) Interest rate swaption contracts Other liabilities (12,489 ) (6,350 ) Interest rate swap contracts Other liabilities - - Total margin balances on derivative contracts $ 5,206 $ 829 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 account on a daily basis. The tables below present information related to the Company’s T-Note futures positions at December 31, 2022 2021 ($ in thousands) December 31, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity(1) U.S. Treasury Note Futures Contracts (Short Positions) (2) March 2023 5-year T-Note futures (Mar 2023 - Mar 2028 Hedge Period) $ 750,500 4.20 % 4.22 % $ (100 ) March 2023 10-year Ultra futures (Mar 2023 - Mar 2033 Hedge Period) $ 174,500 3.66 % 3.79 % $ 965 ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity(1) U.S. Treasury Note Futures Contracts (Short Position) (2) March 2022 5-year T-Note futures (Mar 2022 - Mar 2027 Hedge Period) $ 369,000 1.56 % 1.62 % $ 1,013 March 2022 10-year Ultra futures (Mar 2022 - Mar 2032 Hedge Period) $ 220,000 1.22 % 1.09 % $ (3,861 ) ( 1 Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. ( 2 5 December 31, 2022 December 31, 2021 December 31, 2022 2021 10 December 31, 2022 December 31, 2021 December 31, 2022 2021 Under its interest rate swap agreements, the Company typically pays a fixed rate and receives a floating rate ("payer swaps") based on an index, such as the London Interbank Offered Rate ("LIBOR") and the Secured Overnight Financing Rate ("SOFR). The floating rate the Company receives under its swap agreements has the effect of offsetting the repricing characteristics of its repurchase agreements and cash flows on such liabilities. The Company is typically required to post collateral on its interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at December 31, 2022 2021 ($ in thousands) Average Fixed Average Average Notional Pay Receive Maturity Amount Rate Rate (Years) December 31, 2022 Expiration > 3 to ≤ 5 years $ 500,000 0.84 % 4.75 % 3.7 Expiration > 5 years $ 900,000 1.70 % 4.23 % 6.6 $ 1,400,000 1.39 % 4.41 % 5.6 December 31, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64 % 0.16 % 4.0 Expiration > 5 years $ 400,000 1.16 % 0.21 % 7.3 $ 1,355,000 0.79 % 0.18 % 5.0 Our interest rate swaps are centrally cleared through a two The table below presents information related to the Company's interest rate cap positions at December 31, 2022 no December 31, 2021. ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 1,119 The table below presents information related to the Company’s interest rate swaption positions at December 31, 2022 2021 ($ 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, 2022 Payer Swaptions (long positions) ≤ 1 year $ 36,685 $ 21,253 9.6 1,250,000 4.09 % 3 Month 10.0 > 10 years $ 11,021 $ 12,145 239.5 120,000 2.05 % 3 Month 10.0 $ 47,706 $ 33,398 29.8 $ 1,370,000 3.91 % 3 Month 10.0 Payer Swaptions (short positions) ≤ 1 year $ (17,800 ) $ (5,982 ) 3.6 $ (917,000 ) 4.09 % 3 Month 10.0 December 31, 2021 Payer Swaptions (long positions) ≤ 1 year $ 4,000 $ 1,575 3.2 400,000 1.66 % 3 Month 5.0 > 1 year ≤ 2 years 32,690 19,918 18.4 1,258,500 2.46 % 3 Month 14.1 $ 36,690 $ 21,493 14.7 $ 1,658,500 2.27 % 3 Month 11.9 Payer Swaptions (short positions) ≤ 1 year $ (16,185 ) $ (4,423 ) 5.3 $ (1,331,500 ) 2.29 % 3 Month 11.4 The following table summarizes the Company's contracts to purchase and sell TBA securities as of December 31, 2022 2021 ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2022 30-Year TBA securities: 2.0% $ (175,000 ) $ (142,268 ) $ (143,145 ) $ (877 ) 3.0% (500,000 ) (440,644 ) (440,274 ) 370 Total $ (675,000 ) $ (582,912 ) $ (583,419 ) $ (507 ) December 31, 2021 30-Year TBA securities: 3.0% $ (575,000 ) $ (595,630 ) $ (595,934 ) $ (304 ) Total $ (575,000 ) $ (595,630 ) $ (595,934 ) $ (304 ) ( 1 Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. ( 2 Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. ( 3 Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. ( 4 Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in the balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of operations for the years ended December 31, 2022, 2021 2020 (in thousands) 2022 2021 2020 U.S. Treasury Note futures contracts (short position) $ 207,511 $ (846 ) $ (4,707 ) Eurodollar futures contracts (short positions) - (10 ) (8,337 ) Interest rate swaps 170,297 23,613 (66,212 ) Payer swaptions (long positions) 152,365 (2,580 ) 98 Payer swaptions (short positions) (81,050 ) 9,062 (3,070 ) Interest rate caps 919 - - Interest rate floors - 2,765 - TBA securities (short positions) 4,494 3,432 (6,719 ) TBA securities (long positions) 1,200 (8,559 ) 9,950 U.S. Treasury securities (short positions) - - (95 ) Total $ 455,736 $ 26,877 $ (79,092 ) Credit Risk-Related Contingent Features The use of derivatives and other hedging instruments 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. The Company attempts to minimize this risk by limiting its counterparties for instruments which are not may may not may It is the Company's policy not |
Note 5 - Pledged Assets
Note 5 - Pledged Assets | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Pledged Assets [Text Block] | NOTE 5. Assets Pledged to Counterparties The table below summarizes the Company's assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not December 31, 2022 2021 (in thousands) December 31, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,492,544 $ - $ 3,492,544 $ 6,294,102 $ - $ 6,294,102 Structured RMBS - fair value 20,096 - 20,096 212,270 - 212,270 U.S. Treasury Notes - 36,382 36,382 - 29,740 29,740 Accrued interest on pledged securities 11,419 16 11,435 18,804 13 18,817 Restricted cash 13,341 18,227 31,568 57,264 8,035 65,299 Total $ 3,537,400 $ 54,625 $ 3,592,025 $ 6,582,440 $ 37,788 $ 6,620,228 Assets Pledged from Counterparties The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of December 31, 2022 2021 (in thousands) December 31, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 3,075 $ 13,021 $ 16,096 $ 4,339 $ 7,206 $ 11,545 U.S. Treasury securities - fair value 197 - 197 - - - Total $ 3,272 $ 13,021 $ 16,293 $ 4,339 $ 7,206 $ 11,545 U.S. Treasury securities received as margin under the Company's repurchase agreements are not |
Note 6 - Offsetting Assets and
Note 6 - Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Offsetting Assets and Liabilities [Text Block] | NOTE 6. The Company’s derivative agreements and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis in the case of repurchase agreements and for certain derivative agreements. For derivative assets and liabilities associated with centrally cleared derivatives for which LCH serves as the central clearing party variation margin transfer amounts are considered adjustments to collateral. In such cases the market exposure is not 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, 2022 2021 (in thousands) Offsetting of Assets Net Amount Gross Amount Not Gross Gross of Assets Offset in the Balance Sheet Amount Amount Presented Financial of Offset in the in the Instruments Cash Recognized Balance Balance Received as Received as Net Assets Sheet Sheet Collateral Collateral Amount December 31, 2022 Interest rate swaps $ 4,983 $ - $ 4,983 $ - $ - $ 4,983 Interest rate swaptions 33,398 - 33,398 - (12,489 ) 20,909 Interest rate caps 1,119 - 1,119 - - 1,119 TBA securities 672 - 672 - (532 ) 140 $ 40,172 $ - $ 40,172 $ - $ (13,021 ) $ 27,151 December 31, 2021 Interest rate swaps $ 29,293 $ - $ 29,293 $ - $ - $ 29,293 Interest rate swaptions 21,493 - 21,493 - (6,350 ) 15,143 TBA securities - - - - - - $ 50,786 $ - $ 50,786 $ - $ (6,350 ) $ 44,436 (in thousands) Offsetting of Liabilities Net Amount Gross Amount Not Gross Gross of Liabilities Offset in the Balance Sheet Amount Amount Presented Financial of Offset in the in the Instruments Recognized Balance Balance Posted as Cash Posted Net Liabilities Sheet Sheet Collateral Collateral Amount December 31, 2022 Repurchase Agreements $ 3,378,445 $ - $ 3,378,445 $ (3,365,104 ) $ (13,341 ) $ - Interest rate swaps - - - - - - Interest rate swaptions 5,982 - 5,982 - - 5,982 TBA securities 1,179 - 1,179 - (1,179 ) - $ 3,385,606 $ - $ 3,385,606 $ (3,365,104 ) $ (14,520 ) $ 5,982 December 31, 2021 Repurchase Agreements $ 6,244,106 $ - $ 6,244,106 $ (6,186,842 ) $ (57,264 ) $ - Interest rate swaps 2,862 - 2,862 (2,862 ) - - Interest rate swaptions 4,423 - 4,423 - - 4,423 TBA securities 304 - 304 - - 304 $ 6,251,695 $ - $ 6,251,695 $ (6,189,704 ) $ (57,264 ) $ 4,727 The amounts disclosed for collateral received by or posted to the same counterparty up to and not 5 |
Note 7 - Capital Stock
Note 7 - Capital Stock | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Stockholders' Equity Note Disclosure [Text Block] | NOTE 7. Reverse Stock Split On August 30, 2022, 1 5 Common Stock Issuances During 2022 2021 ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share(1) Shares Proceeds(2) 2022 At the Market Offering Program (3) First Quarter $ - - $ - At the Market Offering Program (3) Second Quarter - - - At the Market Offering Program (3) Third Quarter - - - At the Market Offering Program (3) Fourth Quarter 10.45 3,885,048 40,580 3,885,048 $ 40,580 2021 At the Market Offering Program (3) First Quarter $ 25.50 61,610 $ 1,572 Follow-on Offerings First Quarter 26.55 3,588,000 95,336 At the Market Offering Program (3) Second Quarter 27.00 4,617,418 124,746 At the Market Offering Program (3) Third Quarter 24.70 7,163,668 177,007 At the Market Offering Program (3) Fourth Quarter 24.34 4,734,940 115,398 20,165,635 $ 514,059 ( 1 Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs. ( 2 Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. ( 3 As of December 31, 2022 ten nine Stock Repurchase Program On July 29, 2015, February 8, 2018, 10% On December 9, 2021, 10% On October 12, 2022, 18% As part of the stock repurchase program, shares may may 10b5 1 1934, 10b 18, not may no From the inception of the stock repurchase program through December 31, 2022 December 31, 2022 December 31, 2021 December 31, 2022 March 3, 2023 March 3, 2023 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 $ 6.975 $ 4,662 2014 10.800 22,643 2015 9.600 38,748 2016 8.400 41,388 2017 8.400 70,717 2018 5.350 55,814 2019 4.800 54,421 2020 3.950 53,570 2021 3.900 97,601 2022 2.475 87,906 2023 YTD (1) 0.320 12,540 Totals $ 64.970 $ 540,010 ( 1 On January 11, 2023 February 24, 2023 February 15, 2023 March 29, 2023 not December 31, 2022 |
Note 8 - Stock Incentive Plan
Note 8 - Stock Incentive Plan | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Compensation and Employee Benefit Plans [Text Block] | NOTE 8. In 2021, 2021 “2021 2012 “2012 2021 2021 2021 not 2021 may 2021 2021 2012 no 2012 2012 2012 Performance Units The Company has issued, and may one not no The following table presents information related to Performance Units outstanding during the years ended December 31, 2022 2021 ($ in thousands, except per share data) 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 26,645 $ 29.40 911 $ 37.25 Granted 35,114 16.55 27,579 29.40 Forfeited (14,980 ) 21.04 (934 ) 29.40 Vested and issued (9,859 ) 29.40 (911 ) 37.25 Unvested, end of period 36,920 $ 20.57 26,645 $ 29.40 Compensation expense during period $ 376 $ 321 Unrecognized compensation expense, end of period $ 357 $ 467 Intrinsic value, end of period $ 388 $ 599 Weighted-average remaining vesting term (in years) 1.2 1.4 The number of shares of common stock issuable upon the vesting of the remaining outstanding Performance Units was reduced as a result of two 2012 2021 first March 31, 2022 January 1, 2022 June 30, 2022 second September 30, 2022 July 1, 2022 December 31, 2022 two 15%. Stock Awards The Company has issued, and may December 31, 2022 2021 December 31, 2022 2021 ($ in thousands, except per share data) 2022 2021 Fully vested shares granted 35,114 27,579 Weighted average grant date price per share $ 16.55 $ 29.40 Compensation expense related to fully vested shares of common stock awards (1) $ 581 $ 811 ( 1 The awards issued during the year ended December 31, 2022 2021 2022 2021 Deferred Stock Units Non-employee directors receive a portion of their compensation in the form of DSU awards pursuant to the Incentive Plans. Each DSU represents a right to receive one 2022, not The following table presents information related to the DSUs outstanding during the years ended December 31, 2022 2021 ($ in thousands, except per share data) 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 28,595 $ 26.92 18,189 $ 27.20 Granted and vested 25,602 12.89 10,406 26.43 Outstanding, end of period 54,197 $ 20.29 28,595 $ 26.92 Compensation expense during period $ 328 $ 240 Intrinsic value, end of period $ 569 $ 643 |
Note 9 - Commitments and Contin
Note 9 - Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Commitments and Contingencies Disclosure [Text Block] | NOTE 9. From time to time, the Company may not December 31, 2022 |
Note 10 - Income Taxes
Note 10 - Income Taxes | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Income Tax Disclosure [Text Block] | NOTE 10. The Company will generally not 90% 85% 95% may 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. As of December 31, 2022 2022 2022 2021 2020 |
Note 11 - Earnings Per Share (E
Note 11 - Earnings Per Share (EPS) | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Earnings Per Share [Text Block] | NOTE 11. The Company had dividend eligible Performance Units and Deferred Stock Units that were outstanding during the years ended December 31, 2022, 2021 2020 no no not no The table below reconciles the numerator and denominator of EPS for the years ended December 31, 2022, 2021 2020 (in thousands, except per-share information) 2022 2021 2020 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (258,453 ) $ (64,760 ) $ 2,128 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 36,765 35,399 15,215 Unvested dividend eligible share based compensation outstanding at the balance sheet date - - 19 Effect of weighting 700 (11,170 ) (1,792 ) Weighted average shares-basic and diluted 37,465 24,229 13,442 Net (loss) income per common share: Basic and diluted $ (6.90 ) $ (2.67 ) $ 0.16 Anti-dilutive incentive shares not included in calculation. 91 55 - |
Note 12 - Fair Value
Note 12 - Fair Value | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Fair Value Disclosures [Text Block] | NOTE 12. 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 liability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are: ● Level 1 ● Level 2 not ● Level 3 not may not The Company's RMBS and TBA securities are Level 2 third may zero The Company’s U.S. Treasury Notes are based on quoted prices for identical instruments in active markets and are classified as Level 1 The Company’s futures contracts are Level 1 2 RMBS (based on the fair value option), derivatives and TBA securities were recorded at fair value on a recurring basis during the years ended December 31, 2022, 2021 2020 not The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of December 31, 2022 2021 not (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Assets Inputs Inputs (Level 1) (Level 2) (Level 3) December 31, 2022 Mortgage-backed securities $ - $ 3,540,002 $ - U.S. Treasury Notes 36,382 - - Interest rate swaps - 4,983 - Interest rate swaptions - 27,416 - Interest rate caps - 1,119 - TBA securities - (507 ) - December 31, 2021 Mortgage-backed securities $ - $ 6,511,095 $ - U.S. Treasury Notes 36,382 - - Interest rate swaps - 26,431 - Interest rate swaptions - 17,070 - TBA securities - (304 ) - During the years ended December 31, 2022 2021 no 1, 2 3. |
Note 13 - Related Party Transac
Note 13 - Related Party Transactions | 12 Months Ended |
Dec. 31, 2022 | |
Notes to Financial Statements | |
Related Party Transactions Disclosure [Text Block] | NOTE 13. 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, 2024 one ● One- twelfth 1.5% first $250 ● One- twelfth 1.25% $250 $500 ● One- twelfth 1.00% $500 On April 1, 2022, third November 16, 2021, March 31, 2022. ● A daily fee equal to the outstanding principal balance of repurchase agreement funding in place as of the end of such day multiplied by 1.5 $5 1.0 $5 ● A fee for the clearing and operational services provided by personnel of the Manager equal to $10,000 The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $13.0 million, $9.8 million and $6.8 million, for the years ended December 31, 2022 2021 2020 Other Relationships with Bimini Robert Cauley, the Company's Chief Executive Officer and Chairman of the Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Bimini. George H. Haas, the Company's Chief Financial Officer, Chief Investment Officer, Secretary and a member of the Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of December 31, 2022 |
Significant Accounting Policies
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Basis of Accounting, Policy [Policy Text Block] | 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 assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of December 31, 2022 |
Reverse Stock Split Policy [Policy Text Block] | Common Stock Reverse Split On August 30, 2022, 1 5 |
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | Variable Interest Entities (VIEs) The Company obtains interests in VIEs through its investments in mortgage-backed securities. The Company's interests in these VIEs are passive in nature and are not not 2 |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported 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, 2022 December 31, 2021 Cash and cash equivalents $ 205,651 $ 385,143 Restricted cash 31,568 65,299 Total cash, cash equivalents and restricted cash $ 237,219 $ 450,442 The Company maintains cash balances at three two may not $250,000 not |
Marketable Securities, Policy [Policy Text Block] | Mortgage-Backed Securities and U.S. Treasury Notes The Company invests primarily in mortgage pass-through (“PT”) residential mortgage backed securities (“RMBS”) and collateralized mortgage obligations (“CMOs”) issued by Freddie Mac, Fannie Mae or Ginnie Mae, interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company refers to RMBS and CMOs as PT RMBS and IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes, primarily to satisfy collateral requirements of derivative counterparties. The Company has elected to account for its investment in RMBS and U.S. Treasury Notes under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of the Company's operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company records securities transactions on the trade date. Security purchases that have not not Fair 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 Income on PT RMBS and U.S. Treasury Notes is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not |
Derivatives, Policy [Policy Text Block] | Derivative Financial Instruments The Company uses derivative and other hedging instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may may 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 and other hedging instruments are carried at fair value, and changes in fair value are recorded in earnings for each period. The Company’s derivative financial instruments are not Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In the event of default by a counterparty, the Company may may not |
Fair Value of Financial Instruments, Policy [Policy Text Block] | Financial Instruments The 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, Fed Funds 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 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 Level 2 December 31, 2022 December 31, 2021 |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements 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. |
Reverse Repurchase Agreements [Policy Text Block] | Reverse Repurchase Agreements and Obligations to Return Securities Borrowed under Reverse Repurchase Agreements The Company borrows securities to cover short sales of U.S. Treasury securities through reverse repo transactions under our master repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 |
Management Fees Policy [Policy Text Block] | Manager Compensation The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 13 |
Earnings Per Share, Policy [Policy Text Block] | 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 during the period. Diluted EPS is calculated using the treasury stock or two not |
Compensation Related Costs, Policy [Policy Text Block] | Stock-Based Compensation The Company may not |
Income Tax, Policy [Policy Text Block] | Income Taxes Orchid elected and is organized and operated so as to qualify to be taxed as a REIT under the Code. REITs are generally not 90% Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements In March 2020, 2020 04 848 2020 04 2020 04 not 2020 04 may December 31, 2022, December 2022, 2022 06 848 2020 04 December 31, 2022 December 31, 2024. not In January 2021, 2021 01 848 2021 01 848 2021 01 2021 01 December 31, 2024, not |
Note 1 - Organization and Sig_2
Note 1 - Organization and Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Cash, Cash Equivalents and Investments [Table Text Block] | (in thousands) December 31, 2022 December 31, 2021 Cash and cash equivalents $ 205,651 $ 385,143 Restricted cash 31,568 65,299 Total cash, cash equivalents and restricted cash $ 237,219 $ 450,442 |
Note 2 - Mortgage-backed Secu_2
Note 2 - Mortgage-backed Securities and U.S. Treasury Notes (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Marketable Securities [Table Text Block] | (in thousands) December 31, 2022 December 31, 2021 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 3,519,906 $ 6,298,189 Total Pass-Through Certificates 3,519,906 6,298,189 Structured RMBS Certificates: Interest-Only Securities 19,669 210,382 Inverse Interest-Only Securities 427 2,524 Total Structured RMBS Certificates 20,096 212,906 Total $ 3,540,002 $ 6,511,095 |
Gain (Loss) on Securities [Table Text Block] | (in thousands) 2022 2021 2020 Proceeds from sales of RMBS $ 2,759,919 $ 2,851,708 $ 4,200,536 Carrying value of RMBS sold (2,893,614 ) (2,857,250 ) (4,225,522 ) Net loss on sales of RMBS $ (133,695 ) $ (5,542 ) $ (24,986 ) Gross gain on sales of RMBS $ 2,705 $ 7,930 $ 8,678 Gross loss on sales of RMBS (136,400 ) (13,472 ) (33,664 ) Net loss on sales of RMBS $ (133,695 ) $ (5,542 ) $ (24,986 ) |
Note 3 - Repurchase Agreements
Note 3 - Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Repurchase Agreements [Table Text Block] | ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL December 31, 2022 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,496,769 $ 884,632 $ 142,658 $ 3,524,059 Repurchase agreement liabilities associated with these securities $ - $ 2,404,329 $ 837,299 $ 136,817 $ 3,378,445 Net weighted average borrowing rate - 4.43 % 4.51 % 4.15 % 4.44 % December 31, 2021 Fair market value of securities pledged, including accrued interest receivable $ - $ 4,624,396 $ 1,848,080 $ 52,699 $ 6,525,175 Repurchase agreement liabilities associated with these securities $ - $ 4,403,182 $ 1,789,327 $ 51,597 $ 6,244,106 Net weighted average borrowing rate - 0.15 % 0.13 % 0.15 % 0.15 % |
Note 4 - Derivative and Other_2
Note 4 - Derivative and Other Hedging Instruments (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2022 December 31, 2021 Assets Interest rate swaps Derivative assets, at fair value $ 4,983 $ 29,293 Payer swaptions (long positions) Derivative assets, at fair value 33,398 21,493 Interest rate caps Derivative assets, at fair value 1,119 - TBA securities Derivative assets, at fair value 672 - Total derivative assets, at fair value $ 40,172 $ 50,786 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 2,862 Payer swaptions (short positions) Derivative liabilities, at fair value 5,982 4,423 TBA securities Derivative liabilities, at fair value 1,179 304 Total derivative liabilities, at fair value $ 7,161 $ 7,589 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 16,493 $ 8,035 TBA securities Restricted cash 1,734 - TBA securities Other liabilities (532 ) (856 ) Interest rate swaption contracts Other liabilities (12,489 ) (6,350 ) Interest rate swap contracts Other liabilities - - Total margin balances on derivative contracts $ 5,206 $ 829 ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 1,119 |
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | ($ in thousands) December 31, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity(1) U.S. Treasury Note Futures Contracts (Short Positions) (2) March 2023 5-year T-Note futures (Mar 2023 - Mar 2028 Hedge Period) $ 750,500 4.20 % 4.22 % $ (100 ) March 2023 10-year Ultra futures (Mar 2023 - Mar 2033 Hedge Period) $ 174,500 3.66 % 3.79 % $ 965 ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity(1) U.S. Treasury Note Futures Contracts (Short Position) (2) March 2022 5-year T-Note futures (Mar 2022 - Mar 2027 Hedge Period) $ 369,000 1.56 % 1.62 % $ 1,013 March 2022 10-year Ultra futures (Mar 2022 - Mar 2032 Hedge Period) $ 220,000 1.22 % 1.09 % $ (3,861 ) |
Schedule of Interest Rate Swaps [Table Text Block] | ($ in thousands) Average Fixed Average Average Notional Pay Receive Maturity Amount Rate Rate (Years) December 31, 2022 Expiration > 3 to ≤ 5 years $ 500,000 0.84 % 4.75 % 3.7 Expiration > 5 years $ 900,000 1.70 % 4.23 % 6.6 $ 1,400,000 1.39 % 4.41 % 5.6 December 31, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64 % 0.16 % 4.0 Expiration > 5 years $ 400,000 1.16 % 0.21 % 7.3 $ 1,355,000 0.79 % 0.18 % 5.0 |
Schedule of Interest Rate Swaption Agreements [Table Text Block] | ($ 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, 2022 Payer Swaptions (long positions) ≤ 1 year $ 36,685 $ 21,253 9.6 1,250,000 4.09 % 3 Month 10.0 > 10 years $ 11,021 $ 12,145 239.5 120,000 2.05 % 3 Month 10.0 $ 47,706 $ 33,398 29.8 $ 1,370,000 3.91 % 3 Month 10.0 Payer Swaptions (short positions) ≤ 1 year $ (17,800 ) $ (5,982 ) 3.6 $ (917,000 ) 4.09 % 3 Month 10.0 December 31, 2021 Payer Swaptions (long positions) ≤ 1 year $ 4,000 $ 1,575 3.2 400,000 1.66 % 3 Month 5.0 > 1 year ≤ 2 years 32,690 19,918 18.4 1,258,500 2.46 % 3 Month 14.1 $ 36,690 $ 21,493 14.7 $ 1,658,500 2.27 % 3 Month 11.9 Payer Swaptions (short positions) ≤ 1 year $ (16,185 ) $ (4,423 ) 5.3 $ (1,331,500 ) 2.29 % 3 Month 11.4 |
Schedule of To Be Announced Securities [Table Text Block] | ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2022 30-Year TBA securities: 2.0% $ (175,000 ) $ (142,268 ) $ (143,145 ) $ (877 ) 3.0% (500,000 ) (440,644 ) (440,274 ) 370 Total $ (675,000 ) $ (582,912 ) $ (583,419 ) $ (507 ) December 31, 2021 30-Year TBA securities: 3.0% $ (575,000 ) $ (595,630 ) $ (595,934 ) $ (304 ) Total $ (575,000 ) $ (595,630 ) $ (595,934 ) $ (304 ) |
Derivative Instruments, Gain (Loss) [Table Text Block] | (in thousands) 2022 2021 2020 U.S. Treasury Note futures contracts (short position) $ 207,511 $ (846 ) $ (4,707 ) Eurodollar futures contracts (short positions) - (10 ) (8,337 ) Interest rate swaps 170,297 23,613 (66,212 ) Payer swaptions (long positions) 152,365 (2,580 ) 98 Payer swaptions (short positions) (81,050 ) 9,062 (3,070 ) Interest rate caps 919 - - Interest rate floors - 2,765 - TBA securities (short positions) 4,494 3,432 (6,719 ) TBA securities (long positions) 1,200 (8,559 ) 9,950 U.S. Treasury securities (short positions) - - (95 ) Total $ 455,736 $ 26,877 $ (79,092 ) |
Note 5 - Pledged Assets (Tables
Note 5 - Pledged Assets (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Financial Instruments Owned and Pledged as Collateral [Table Text Block] | (in thousands) December 31, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,492,544 $ - $ 3,492,544 $ 6,294,102 $ - $ 6,294,102 Structured RMBS - fair value 20,096 - 20,096 212,270 - 212,270 U.S. Treasury Notes - 36,382 36,382 - 29,740 29,740 Accrued interest on pledged securities 11,419 16 11,435 18,804 13 18,817 Restricted cash 13,341 18,227 31,568 57,264 8,035 65,299 Total $ 3,537,400 $ 54,625 $ 3,592,025 $ 6,582,440 $ 37,788 $ 6,620,228 |
Schedule of Financial Instruments Pledged as Collateral From Counterparties [Table Text Block] | (in thousands) December 31, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 3,075 $ 13,021 $ 16,096 $ 4,339 $ 7,206 $ 11,545 U.S. Treasury securities - fair value 197 - 197 - - - Total $ 3,272 $ 13,021 $ 16,293 $ 4,339 $ 7,206 $ 11,545 |
Note 6 - Offsetting Assets an_2
Note 6 - Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Offsetting Assets [Table Text Block] | (in thousands) Offsetting of Assets Net Amount Gross Amount Not Gross Gross of Assets Offset in the Balance Sheet Amount Amount Presented Financial of Offset in the in the Instruments Cash Recognized Balance Balance Received as Received as Net Assets Sheet Sheet Collateral Collateral Amount December 31, 2022 Interest rate swaps $ 4,983 $ - $ 4,983 $ - $ - $ 4,983 Interest rate swaptions 33,398 - 33,398 - (12,489 ) 20,909 Interest rate caps 1,119 - 1,119 - - 1,119 TBA securities 672 - 672 - (532 ) 140 $ 40,172 $ - $ 40,172 $ - $ (13,021 ) $ 27,151 December 31, 2021 Interest rate swaps $ 29,293 $ - $ 29,293 $ - $ - $ 29,293 Interest rate swaptions 21,493 - 21,493 - (6,350 ) 15,143 TBA securities - - - - - - $ 50,786 $ - $ 50,786 $ - $ (6,350 ) $ 44,436 |
Offsetting Liabilities [Table Text Block] | (in thousands) Offsetting of Liabilities Net Amount Gross Amount Not Gross Gross of Liabilities Offset in the Balance Sheet Amount Amount Presented Financial of Offset in the in the Instruments Recognized Balance Balance Posted as Cash Posted Net Liabilities Sheet Sheet Collateral Collateral Amount December 31, 2022 Repurchase Agreements $ 3,378,445 $ - $ 3,378,445 $ (3,365,104 ) $ (13,341 ) $ - Interest rate swaps - - - - - - Interest rate swaptions 5,982 - 5,982 - - 5,982 TBA securities 1,179 - 1,179 - (1,179 ) - $ 3,385,606 $ - $ 3,385,606 $ (3,365,104 ) $ (14,520 ) $ 5,982 December 31, 2021 Repurchase Agreements $ 6,244,106 $ - $ 6,244,106 $ (6,186,842 ) $ (57,264 ) $ - Interest rate swaps 2,862 - 2,862 (2,862 ) - - Interest rate swaptions 4,423 - 4,423 - - 4,423 TBA securities 304 - 304 - - 304 $ 6,251,695 $ - $ 6,251,695 $ (6,189,704 ) $ (57,264 ) $ 4,727 |
Note 7 - Capital Stock (Tables)
Note 7 - Capital Stock (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Common Stock Outstanding Roll Forward [Table Text Block] | ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share(1) Shares Proceeds(2) 2022 At the Market Offering Program (3) First Quarter $ - - $ - At the Market Offering Program (3) Second Quarter - - - At the Market Offering Program (3) Third Quarter - - - At the Market Offering Program (3) Fourth Quarter 10.45 3,885,048 40,580 3,885,048 $ 40,580 2021 At the Market Offering Program (3) First Quarter $ 25.50 61,610 $ 1,572 Follow-on Offerings First Quarter 26.55 3,588,000 95,336 At the Market Offering Program (3) Second Quarter 27.00 4,617,418 124,746 At the Market Offering Program (3) Third Quarter 24.70 7,163,668 177,007 At the Market Offering Program (3) Fourth Quarter 24.34 4,734,940 115,398 20,165,635 $ 514,059 |
Dividends Declared [Table Text Block] | (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 6.975 $ 4,662 2014 10.800 22,643 2015 9.600 38,748 2016 8.400 41,388 2017 8.400 70,717 2018 5.350 55,814 2019 4.800 54,421 2020 3.950 53,570 2021 3.900 97,601 2022 2.475 87,906 2023 YTD (1) 0.320 12,540 Totals $ 64.970 $ 540,010 |
Note 8 - Stock Incentive Plan (
Note 8 - Stock Incentive Plan (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Nonvested Performance-Based Units Activity [Table Text Block] | ($ in thousands, except per share data) 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 26,645 $ 29.40 911 $ 37.25 Granted 35,114 16.55 27,579 29.40 Forfeited (14,980 ) 21.04 (934 ) 29.40 Vested and issued (9,859 ) 29.40 (911 ) 37.25 Unvested, end of period 36,920 $ 20.57 26,645 $ 29.40 Compensation expense during period $ 376 $ 321 Unrecognized compensation expense, end of period $ 357 $ 467 Intrinsic value, end of period $ 388 $ 599 Weighted-average remaining vesting term (in years) 1.2 1.4 |
Share-Based Payment Arrangement, Outstanding Award, Activity, Excluding Option [Table Text Block] | ($ in thousands, except per share data) 2022 2021 Fully vested shares granted 35,114 27,579 Weighted average grant date price per share $ 16.55 $ 29.40 Compensation expense related to fully vested shares of common stock awards (1) $ 581 $ 811 |
Disclosure of Share-Based Compensation Arrangements by Share-Based Payment Award [Table Text Block] | ($ in thousands, except per share data) 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 28,595 $ 26.92 18,189 $ 27.20 Granted and vested 25,602 12.89 10,406 26.43 Outstanding, end of period 54,197 $ 20.29 28,595 $ 26.92 Compensation expense during period $ 328 $ 240 Intrinsic value, end of period $ 569 $ 643 |
Note 11 - Earnings Per Share _2
Note 11 - Earnings Per Share (EPS) (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | (in thousands, except per-share information) 2022 2021 2020 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (258,453 ) $ (64,760 ) $ 2,128 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 36,765 35,399 15,215 Unvested dividend eligible share based compensation outstanding at the balance sheet date - - 19 Effect of weighting 700 (11,170 ) (1,792 ) Weighted average shares-basic and diluted 37,465 24,229 13,442 Net (loss) income per common share: Basic and diluted $ (6.90 ) $ (2.67 ) $ 0.16 Anti-dilutive incentive shares not included in calculation. 91 55 - |
Note 12 - Fair Value (Tables)
Note 12 - Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Tables | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Assets Inputs Inputs (Level 1) (Level 2) (Level 3) December 31, 2022 Mortgage-backed securities $ - $ 3,540,002 $ - U.S. Treasury Notes 36,382 - - Interest rate swaps - 4,983 - Interest rate swaptions - 27,416 - Interest rate caps - 1,119 - TBA securities - (507 ) - December 31, 2021 Mortgage-backed securities $ - $ 6,511,095 $ - U.S. Treasury Notes 36,382 - - Interest rate swaps - 26,431 - Interest rate swaptions - 17,070 - TBA securities - (304 ) - |
Note 1 - Organization and Sig_3
Note 1 - Organization and Significant Accounting Policies (Details Textual) - USD ($) $ / shares in Units, $ in Thousands | 2 Months Ended | 4 Months Ended | 6 Months Ended | 10 Months Ended | 12 Months Ended | 14 Months Ended | |||||||||
Mar. 05, 2021 | Mar. 03, 2021 | Mar. 02, 2021 | Jan. 25, 2021 | Jan. 21, 2021 | Jan. 20, 2021 | Feb. 24, 2023 | Oct. 28, 2021 | Aug. 01, 2020 | Jun. 01, 2021 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2022 | Aug. 30, 2022 | |
Stock Issued During Period, Shares, New Issues (in shares) | 3,885,048,000 | 20,165,635,000 | |||||||||||||
Stock Issued During Period, Value, New Issues | $ 40,580 | $ 514,059 | $ 71,050 | ||||||||||||
Proceeds from Issuance of Common Stock | $ 40,580 | $ 514,059 | $ 71,050 | ||||||||||||
Common Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||
January 2020 Equity Distribution Agreement [Member] | |||||||||||||||
Equity Agreement, Maximum Number of Shares Issuable (in shares) | 200,000,000 | ||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 634,145 | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 19,800 | ||||||||||||||
Proceeds from Issuance of Common Stock | $ 19,400 | ||||||||||||||
August 2020 Equity Distribution Agreement [Member] | |||||||||||||||
Equity Agreement, Maximum Number of Shares Issuable (in shares) | 150,000,000 | ||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 5,498,730 | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 150,000 | ||||||||||||||
Proceeds from Issuance of Common Stock | $ 147,400 | ||||||||||||||
January 2021 Underwriting Agreement [Member] | |||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 1,748,000 | 228,000 | 1,520,000 | ||||||||||||
Proceeds from Issuance of Common Stock | $ 45,200 | ||||||||||||||
Shares Issued, Price Per Share (in dollars per share) | $ 26 | ||||||||||||||
March 2021 Underwriting Agreement [Member] | |||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 1,840,000 | 240,000 | 1,600,000 | ||||||||||||
Proceeds from Issuance of Common Stock | $ 50,000 | ||||||||||||||
Shares Issued, Price Per Share (in dollars per share) | $ 27.25 | ||||||||||||||
June 2021 Equity Distribution Agreement [Member] | |||||||||||||||
Equity Agreement, Maximum Number of Shares Issuable (in shares) | 250,000,000 | ||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 9,881,467 | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 250,000 | ||||||||||||||
Proceeds from Issuance of Common Stock | $ 246,000 | ||||||||||||||
October 2021 Equity Distribution Agreement [Member] | |||||||||||||||
Equity Agreement, Maximum Number of Shares Issuable (in shares) | 250,000,000 | ||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 7,052,188 | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 119,600 | ||||||||||||||
Proceeds from Issuance of Common Stock | $ 117,600 | ||||||||||||||
October 2021 Equity Distribution Agreement [Member] | Subsequent Event [Member] | |||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 2,690,000 | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 32,200 | ||||||||||||||
Proceeds from Issuance of Common Stock | $ 31,700 |
Note 1 - Organization and Sig_4
Note 1 - Organization and Significant Accounting Policies - Schedule of Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Cash and cash equivalents | $ 205,651 | $ 385,143 |
Restricted cash | 31,568 | 65,299 |
Total cash, cash equivalents and restricted cash | $ 237,219 | $ 450,442 |
Note 2 - Mortgage-backed Secu_3
Note 2 - Mortgage-backed Securities and U.S. Treasury Notes (Details Textual) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 36,382 | $ 37,175 |
Note 2 - Mortgage-backed Secu_4
Note 2 - Mortgage-backed Securities and U.S. Treasury Notes - Schedule of RMBS Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | $ 3,540,002 | $ 6,511,095 |
Pass Through Certificate [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 3,519,906 | 6,298,189 |
Pass Through Certificate [Member] | Fixed Rate Mortgages [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 3,519,906 | 6,298,189 |
Structured Finance [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 20,096 | 212,906 |
Structured Finance [Member] | Interest Only Securities [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 19,669 | 210,382 |
Structured Finance [Member] | Inverse Interest Only Securities [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | $ 427 | $ 2,524 |
Note 2 - Mortgage-backed Secu_5
Note 2 - Mortgage-backed Securities and U.S. Treasury Notes - Gain (Loss) on Investments (Details) - Collateralized Mortgage-Backed Securities [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Proceeds from sales of RMBS | $ 2,759,919 | $ 2,851,708 | $ 4,200,536 |
Carrying value of RMBS sold | (2,893,614) | (2,857,250) | (4,225,522) |
Realized losses on mortgage-backed securities | (133,695) | (5,542) | (24,986) |
Gross gain on sales of RMBS | 2,705 | 7,930 | 8,678 |
Gross loss on sales of RMBS | $ (136,400) | $ (13,472) | $ (33,664) |
Note 3 - Repurchase Agreement_2
Note 3 - Repurchase Agreements (Details Textual) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Securities Sold under Agreements to Repurchase, Total | $ 3,378,445 | $ 6,244,106 |
Restricted Cash and Cash Equivalents, Current, Total | 31,568 | 65,299 |
Repurchase Agreement Counterparty, Amount at Risk | 149,800 | |
Asset Pledged as Collateral [Member] | ||
Restricted Cash and Cash Equivalents, Current, Total | 31,568 | 65,299 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | ||
Restricted Cash and Cash Equivalents, Current, Total | 13,341 | $ 57,264 |
Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate [Member] | ||
Securities Sold under Agreements to Repurchase, Total | $ 190,300 |
Note 3 - Repurchase Agreement_3
Note 3 - Repurchase Agreements - Schedule of Repurchase Agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair market value of securities pledged, including accrued interest receivable | $ 3,524,059 | $ 6,525,175 |
Repurchase agreement liabilities associated with these securities | $ 3,378,445 | $ 6,244,106 |
Net weighted average borrowing rate | 4.44% | 0.15% |
Maturity Overnight [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 0 | $ 0 |
Repurchase agreement liabilities associated with these securities | $ 0 | $ 0 |
Net weighted average borrowing rate | 0% | 0% |
Maturity 2 to 30 Days [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 2,496,769 | $ 4,624,396 |
Repurchase agreement liabilities associated with these securities | $ 2,404,329 | $ 4,403,182 |
Net weighted average borrowing rate | 4.43% | 0.15% |
Maturity 30 to 90 Days [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 884,632 | $ 1,848,080 |
Repurchase agreement liabilities associated with these securities | $ 837,299 | $ 1,789,327 |
Net weighted average borrowing rate | 4.51% | 0.13% |
Maturity Greater than 90 Days [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 142,658 | $ 52,699 |
Repurchase agreement liabilities associated with these securities | $ 136,817 | $ 51,597 |
Net weighted average borrowing rate | 4.15% | 0.15% |
Note 4 - Derivative and Other_3
Note 4 - Derivative and Other Hedging Instruments (Details Textual) - Short [Member] $ in Millions | Dec. 31, 2022 USD ($) $ / item | Dec. 31, 2021 USD ($) $ / item |
Five Year Treasury Note Futures [Member] | ||
Derivative, Forward Price (in USD per Per Share) | $ / item | 107.93 | 120.98 |
Derivative, Fair Value, Net, Total | $ | $ 810 | $ 446.4 |
Ten Year Ultra Future [Member] | ||
Derivative, Forward Price (in USD per Per Share) | $ / item | 118.28 | 146.44 |
Derivative, Fair Value, Net, Total | $ | $ 206.4 | $ 322.2 |
Note 4 - Derivative and Other_4
Note 4 - Derivative and Other Hedging Instruments - Schedule of Derivative Instruments in Balance Sheet (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Restricted Cash and Cash Equivalents, Current, Total | $ 31,568 | $ 65,299 |
Other liabilities | (25,119) | (35,505) |
Interest Rate Swap [Member] | ||
Notional Amount | 1,400,000 | 1,355,000 |
Payer Swaptions [Member] | Long [Member] | ||
Notional Amount | 1,370,000 | 1,658,500 |
Net Estimated Fair Value | 33,398 | 21,493 |
Interest Rate Cap [Member] | ||
Notional Amount | 200,000 | |
Cost | $ 1,450 | |
Strike Swap Rate | 0.09% | |
Curve Spread (Year) | 2 years 9 months 29 days | |
Net Estimated Fair Value | $ 1,119 | |
TBA Contracts [Member] | Short [Member] | ||
Notional Amount | 675,000 | 575,000 |
Cost | (582,912) | (595,630) |
Net Estimated Fair Value | 507 | 304 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative assets, at fair value | 40,172 | 50,786 |
Derivative liabilities, at fair value | 7,161 | 7,589 |
Restricted Cash and Cash Equivalents, Current, Total | 5,206 | 829 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 4,983 | 29,293 |
Derivative liabilities, at fair value | 0 | 2,862 |
Other liabilities | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Payer Swaptions [Member] | Long [Member] | ||
Derivative assets, at fair value | 33,398 | 21,493 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Payer Swaptions [Member] | Short [Member] | ||
Derivative liabilities, at fair value | 5,982 | 4,423 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 1,119 | 0 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | 672 | 0 |
Derivative liabilities, at fair value | 1,179 | 304 |
Restricted Cash and Cash Equivalents, Current, Total | 1,734 | 0 |
Other liabilities | (532) | (856) |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar Future Margin [Member] | ||
Restricted Cash and Cash Equivalents, Current, Total | 16,493 | 8,035 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | ||
Other liabilities | $ (12,489) | $ (6,350) |
Note 4 - Derivative and Other_5
Note 4 - Derivative and Other Hedging Instruments - Schedule of Derivative Positions (Details) - Short [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Five Year Treasury Note Futures [Member] | |||
Average contract notional amount | $ 750,500 | $ 369,000 | |
Weighted average entry rate | 4.20% | 1.56% | |
Average receive rate | 4.22% | 1.62% | |
Open Equity | $ (100) | $ 1,013 | |
Ten Year Ultra Future [Member] | |||
Average contract notional amount | $ 174,500 | $ 220,000 | |
Weighted average entry rate | [1] | 3.66% | 1.22% |
Average receive rate | 3.79% | 1.09% | |
Open Equity | [2] | $ 965 | $ (3,861) |
[1]5-Year T-Note futures contracts were valued at a price of $120.98 at December 31, 2022 and $126.16 at December 31, 2021. The contract values of the short positions were $446.4 million and $87.1 million at December 31, 2022 and December 31, 2021, respectively. 10-Year Ultra futures contracts were valued at price of $146.44 at December 31, 2022. The contract value of the short position was $322.2 million at December 31, 2022.[2]Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. |
Note 4 - Derivatives and Other
Note 4 - Derivatives and Other Hedging Instruments - Schedule of Interest Rate Swaps (Details) - Interest Rate Swap [Member] - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Notional Amount | $ 1,400 | $ 1,355 |
Average fixed pay rate | 1.39% | 0.79% |
Average receive rate | 4.41% | 0.18% |
Average maturity (Year) | 5 years 7 months 6 days | 5 years |
Three to Five Years [Member] | ||
Notional Amount | $ 500 | $ 400 |
Average fixed pay rate | 0.84% | 1.16% |
Average receive rate | 4.75% | 0.21% |
Average maturity (Year) | 3 years 8 months 12 days | 7 years 3 months 18 days |
More Than Five Years [Member] | ||
Notional Amount | $ 900 | |
Average fixed pay rate | 1.70% | |
Average receive rate | 4.23% | |
Average maturity (Year) | 6 years 7 months 6 days | |
One To Three Years [Member] | ||
Notional Amount | $ 955 | |
Average fixed pay rate | 0.64% | |
Average receive rate | 0.16% | |
Average maturity (Year) | 4 years |
Note 4 - Derivative and Other_6
Note 4 - Derivative and Other Hedging Instruments - Schedule of Fair Value of Derivative Instruments (Details) - Payer Swaptions [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Long [Member] | ||
Cost | $ 47,706 | $ 36,690 |
Net Estimated Fair Value | $ 33,398 | $ 21,493 |
Weighted average months to expiration (Year) | 29 years 9 months 18 days | 14 years 8 months 12 days |
Notional amount | $ (1,370,000) | $ (1,658,500) |
Average fixed pay rate | 3.91% | 2.27% |
Average adjustable rate (Year) | 3 months | 3 months |
Weighted average term (Year) | 10 years | 11 years 10 months 24 days |
Notional Amount | $ 1,370,000 | $ 1,658,500 |
Long [Member] | Less than or Equal to One Year [Member] | ||
Cost | 36,685 | 4,000 |
Net Estimated Fair Value | $ 21,253 | $ 1,575 |
Weighted average months to expiration (Year) | 9 years 7 months 6 days | 3 years 2 months 12 days |
Notional amount | $ (1,250,000) | $ (400,000) |
Average fixed pay rate | 4.09% | 1.66% |
Average adjustable rate (Year) | 3 months | |
Weighted average term (Year) | 10 years | 5 years |
Notional Amount | $ 1,250,000 | $ 400,000 |
Long [Member] | More Than Ten Years [Member] | ||
Cost | 11,021 | |
Net Estimated Fair Value | $ 12,145 | |
Weighted average months to expiration (Year) | 239 years 6 months | |
Notional amount | $ (120,000) | |
Average fixed pay rate | 2.05% | |
Average adjustable rate (Year) | 3 months | |
Weighted average term (Year) | 10 years | |
Notional Amount | $ 120,000 | |
Long [Member] | One to Two Years [Member] | ||
Cost | 32,690 | |
Net Estimated Fair Value | $ 19,918 | |
Weighted average months to expiration (Year) | 18 years 4 months 24 days | |
Notional amount | $ (1,258,500) | |
Average fixed pay rate | 2.46% | |
Average adjustable rate (Year) | 3 months | |
Weighted average term (Year) | 14 years 1 month 6 days | |
Notional Amount | $ 1,258,500 | |
Short [Member] | Less than or Equal to One Year [Member] | ||
Cost | (17,800) | (16,185) |
Net Estimated Fair Value | $ (5,982) | $ (4,423) |
Weighted average months to expiration (Year) | 3 years 7 months 6 days | 5 years 3 months 18 days |
Notional amount | $ (917,000) | $ (1,331,500) |
Average fixed pay rate | 4.09% | 2.29% |
Average adjustable rate (Year) | 3 months | 3 months |
Weighted average term (Year) | 10 years | 11 years 4 months 24 days |
Notional Amount | $ 917,000 | $ 1,331,500 |
Note 4 - Derivative and Other_7
Note 4 - Derivative and Other Hedging Instruments - Schedule of To Be Announced Securities (Details) - Short [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | ||
Two Percent TBA Contract [Member] | ||||
Notional amount | $ (175,000) | |||
Cost basis | (142,268) | |||
Market value | (143,145) | |||
Net carrying value | [1] | (877) | ||
Cost | (142,268) | |||
Market value | (143,145) | |||
Three Percent TBA Securities [Member] | ||||
Notional amount | (500,000) | [2] | $ (575,000) | |
Cost basis | (440,644) | [3] | (595,630) | |
Market value | (440,274) | [4] | (595,934) | |
Net carrying value | 370 | (304) | ||
Cost | (440,644) | [3] | (595,630) | |
Market value | (440,274) | [4] | (595,934) | |
TBA Contracts [Member] | ||||
Notional amount | (675,000) | (575,000) | ||
Cost basis | (582,912) | (595,630) | ||
Market value | (583,419) | (595,934) | ||
Net carrying value | (507) | (304) | ||
Cost | (582,912) | (595,630) | ||
Market value | $ (583,419) | $ (595,934) | ||
[1]Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in our balance sheets[2]Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.[3]Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.[4]Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. |
Note 4 - Derivative and Other_8
Note 4 - Derivative and Other Hedging Instruments - Schedule of Derivative Instruments Gain (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Gains (losses) on derivative instruments | $ 455,736 | $ 26,877 | $ (79,092) |
Five Year Treasury Note Futures [Member] | Short [Member] | |||
Gains (losses) on derivative instruments | 207,511 | (846) | (4,707) |
Eurodollar Future Margin [Member] | Short [Member] | |||
Gains (losses) on derivative instruments | 0 | (10) | (8,337) |
Interest Rate Swap [Member] | |||
Gains (losses) on derivative instruments | 170,297 | 23,613 | (66,212) |
Payer Swaptions [Member] | Short [Member] | |||
Gains (losses) on derivative instruments | (81,050) | 9,062 | (3,070) |
Payer Swaptions [Member] | Long [Member] | |||
Gains (losses) on derivative instruments | 152,365 | (2,580) | 98 |
Interest Rate Cap [Member] | |||
Gains (losses) on derivative instruments | 919 | 0 | 0 |
Interest Rate Floor [Member] | |||
Gains (losses) on derivative instruments | 0 | 2,765 | 0 |
TBA Contracts [Member] | Short [Member] | |||
Gains (losses) on derivative instruments | 4,494 | 3,432 | (6,719) |
TBA Contracts [Member] | Long [Member] | |||
Gains (losses) on derivative instruments | 1,200 | (8,559) | 9,950 |
US Treasury Securities [Member] | Short [Member] | |||
Gains (losses) on derivative instruments | $ 0 | $ 0 | $ (95) |
Note 5 - Pledged Assets - Sched
Note 5 - Pledged Assets - Schedule of Financial Instruments Owned and Pledged as Collateral (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Accrued interest receivable | $ 11,519 | $ 18,859 |
Restricted cash | 31,568 | 65,299 |
Asset Pledged as Collateral [Member] | ||
Accrued interest receivable | 11,435 | 18,817 |
Restricted cash | 31,568 | 65,299 |
Total | 3,592,025 | 6,620,228 |
Asset Pledged as Collateral [Member] | Residential Mortgage-Backed Securities [Member] | Pass Through Certificate [Member] | ||
Investment at fair value | 3,492,544 | 6,294,102 |
Asset Pledged as Collateral [Member] | Residential Mortgage-Backed Securities [Member] | Structured Finance [Member] | ||
Investment at fair value | 20,096 | 212,270 |
Asset Pledged as Collateral [Member] | US Treasury Securities [Member] | ||
Investment at fair value | 36,382 | 29,740 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | ||
Accrued interest receivable | 11,419 | 18,804 |
Restricted cash | 13,341 | 57,264 |
Total | 3,537,400 | 6,582,440 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | Residential Mortgage-Backed Securities [Member] | Pass Through Certificate [Member] | ||
Investment at fair value | 3,492,544 | 6,294,102 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | Residential Mortgage-Backed Securities [Member] | Structured Finance [Member] | ||
Investment at fair value | 20,096 | 212,270 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Investment at fair value | 0 | 0 |
Asset Pledged as Collateral [Member] | Derivative [Member] | ||
Accrued interest receivable | 16 | 13 |
Restricted cash | 18,227 | 8,035 |
Total | 54,625 | 37,788 |
Asset Pledged as Collateral [Member] | Derivative [Member] | Residential Mortgage-Backed Securities [Member] | Pass Through Certificate [Member] | ||
Investment at fair value | 0 | 0 |
Asset Pledged as Collateral [Member] | Derivative [Member] | Residential Mortgage-Backed Securities [Member] | Structured Finance [Member] | ||
Investment at fair value | 0 | 0 |
Asset Pledged as Collateral [Member] | Derivative [Member] | US Treasury Securities [Member] | ||
Investment at fair value | $ 36,382 | $ 29,740 |
Note 5 - Pledged Assets - Sch_2
Note 5 - Pledged Assets - Schedule of Financial Instruments Pledged as Collateral From Counterparties (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Cash | $ 16,293 | $ 11,545 |
Repurchase Agreements [Member] | ||
Cash | 3,272 | 4,339 |
Derivative [Member] | ||
Cash | 13,021 | 7,206 |
Cash [Member] | ||
Cash | 16,096 | 11,545 |
Cash [Member] | Repurchase Agreements [Member] | ||
Cash | 3,075 | 4,339 |
Cash [Member] | Derivative [Member] | ||
Cash | 13,021 | 7,206 |
US Treasury Securities [Member] | ||
Cash | 197 | 0 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Cash | 197 | 0 |
US Treasury Securities [Member] | Derivative [Member] | ||
Cash | $ 0 | $ 0 |
Note 6 - Offsetting Assets an_3
Note 6 - Offsetting Assets and Liabilities - Offsetting Assets (Details) - Assets [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Gross amount recognized | $ 40,172 | $ 50,786 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 40,172 | 50,786 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | 0 |
Gross amount not offset in the balance sheet, cash posted as collateral | (13,021) | (6,350) |
Net amount | 27,151 | 44,436 |
Interest Rate Swap [Member] | ||
Gross amount recognized | 4,983 | 29,293 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 4,983 | 29,293 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | 0 |
Gross amount not offset in the balance sheet, cash posted as collateral | 0 | 0 |
Net amount | 4,983 | 29,293 |
Payer Swaptions [Member] | ||
Gross amount recognized | 33,398 | 21,493 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 33,398 | 21,493 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | 0 |
Gross amount not offset in the balance sheet, cash posted as collateral | (12,489) | (6,350) |
Net amount | 20,909 | 15,143 |
Interest Rate Cap [Member] | ||
Gross amount recognized | 1,119 | |
Gross amount offset in the balance sheet | 0 | |
Net amount presented in the balance sheet | 1,119 | |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | |
Gross amount not offset in the balance sheet, cash posted as collateral | 0 | |
Net amount | 1,119 | |
TBA Contracts [Member] | ||
Gross amount recognized | 672 | 0 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 672 | 0 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | 0 |
Gross amount not offset in the balance sheet, cash posted as collateral | (532) | 0 |
Net amount | $ 140 | $ 0 |
Note 6 - Offsetting Assets an_4
Note 6 - Offsetting Assets and Liabilities - Offsetting Liabilities (Details) - Liability [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Gross amount recognized | $ 3,385,606 | $ 6,251,695 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 3,385,606 | 6,251,695 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | (3,365,104) | (6,189,704) |
Gross amount not offset in the balance sheet, cash posted as collateral | (14,520) | (57,264) |
Net amount | 5,982 | 4,727 |
Repurchase Agreements [Member] | ||
Gross amount recognized | 3,378,445 | 6,244,106 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 3,378,445 | 6,244,106 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | (3,365,104) | (6,186,842) |
Gross amount not offset in the balance sheet, cash posted as collateral | (13,341) | (57,264) |
Net amount | 0 | 0 |
Interest Rate Swap [Member] | ||
Gross amount recognized | 0 | 2,862 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 0 | 2,862 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | (2,862) |
Gross amount not offset in the balance sheet, cash posted as collateral | 0 | 0 |
Net amount | 0 | 0 |
Payer Swaptions [Member] | ||
Gross amount recognized | 5,982 | 4,423 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 5,982 | 4,423 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | 0 |
Gross amount not offset in the balance sheet, cash posted as collateral | 0 | 0 |
Net amount | 5,982 | 4,423 |
TBA Contracts [Member] | ||
Gross amount recognized | 1,179 | 304 |
Gross amount offset in the balance sheet | 0 | 0 |
Net amount presented in the balance sheet | 1,179 | 304 |
Gross amount not offset in the balance sheet, financial instruments posted as collateral | 0 | 0 |
Gross amount not offset in the balance sheet, cash posted as collateral | (1,179) | 0 |
Net amount | $ 0 | $ 304 |
Note 7 - Capital Stock (Details
Note 7 - Capital Stock (Details Textual) - USD ($) $ / shares in Units, $ in Thousands | 2 Months Ended | 12 Months Ended | 89 Months Ended | 110 Months Ended | ||||||||||||||||||
Feb. 15, 2023 | Jan. 11, 2023 | Feb. 24, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2022 | Feb. 24, 2023 | Oct. 12, 2022 | Aug. 30, 2022 | Dec. 09, 2021 | Feb. 08, 2018 | Feb. 01, 2018 | Jul. 29, 2015 | ||
Common Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||||||
Stock Repurchased and Retired During Period, Value | $ 24,610 | $ 68 | ||||||||||||||||||||
Common Stock, Dividends, Per Share, Declared (in dollars per share) | $ 2.475 | $ 3.900 | $ 3.950 | $ 4.800 | $ 5.350 | $ 8.400 | $ 8.400 | $ 9.600 | $ 10.800 | $ 6.975 | $ 64.970 | |||||||||||
Subsequent Event [Member] | ||||||||||||||||||||||
Common Stock, Dividends, Per Share, Declared (in dollars per share) | $ 0.16 | $ 0.16 | $ 0.320 | [1] | ||||||||||||||||||
Share Repurchase Program [Member] | ||||||||||||||||||||||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased (in shares) | 400,000 | |||||||||||||||||||||
Stock Repurchase Program, Additional Shares Authorized (in shares) | 4,300,000 | 3,372,399 | 904,564 | |||||||||||||||||||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased (in shares) | 6,183,601 | 3,539,861 | 1,061,316 | 156,751 | ||||||||||||||||||
Stock Repurchased and Retired During Period, Shares (in shares) | 2,538,470 | 0 | 3,675,572 | |||||||||||||||||||
Stock Repurchased and Retired During Period, Value | $ 24,500 | $ 64,800 | ||||||||||||||||||||
Treasury Stock Acquired, Average Cost Per Share (in dollars per share) | $ 9.63 | $ 17.63 | ||||||||||||||||||||
Share Repurchase Program [Member] | Subsequent Event [Member] | ||||||||||||||||||||||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased (in shares) | 4,928,350 | 4,928,350 | ||||||||||||||||||||
Stock Repurchased and Retired During Period, Shares (in shares) | 373,041 | |||||||||||||||||||||
Stock Repurchased and Retired During Period, Value | $ 4,000 | |||||||||||||||||||||
Treasury Stock Acquired, Average Cost Per Share (in dollars per share) | $ 10.62 | |||||||||||||||||||||
[1]On January 11, 2023, the Company declared a dividend of $0.16 per share that was paid on February 24, 2023. On February 15, 2023, the Company declared a dividend of $0.16 per share to be paid on March 29, 2023. The effect of these dividends are included in the table above, but are not reflected in the Company’s financial statements as of December 31, 2022. |
Note 7 - Capital Stock - Issuan
Note 7 - Capital Stock - Issuance of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Issuance of common stock pursuant to public offerings, net (in shares) | 3,885,048 | 20,165,635 | |||||||||
Issuance of common stock pursuant to public offerings, net | $ 40,580 | $ 514,059 | $ 71,050 | ||||||||
At the Market Offering Program [Member] | |||||||||||
Price per share (in dollars per share) | $ 10.45 | $ 0 | $ 0 | $ 0 | $ 24.34 | $ 24.70 | $ 27 | $ 25.50 | $ 10.45 | $ 24.34 | |
Issuance of common stock pursuant to public offerings, net (in shares) | 3,885,048 | 0 | 0 | 0 | 4,734,940 | 7,163,668 | 4,617,418 | 61,610 | |||
Issuance of common stock pursuant to public offerings, net | $ 40,580 | $ 0 | $ 0 | $ 0 | $ 115,398 | $ 177,007 | $ 124,746 | $ 1,572 | |||
Follow-on Offerings [Member] | |||||||||||
Price per share (in dollars per share) | $ 26.55 | ||||||||||
Issuance of common stock pursuant to public offerings, net (in shares) | 3,588,000 | ||||||||||
Issuance of common stock pursuant to public offerings, net | $ 95,336 |
Note 7 - Capital Stock - Divide
Note 7 - Capital Stock - Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 2 Months Ended | 12 Months Ended | 110 Months Ended | |||||||||||||
Feb. 15, 2023 | Jan. 11, 2023 | Feb. 24, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Feb. 24, 2023 | |||
Per share amount (in dollars per share) | $ 2.475 | $ 3.900 | $ 3.950 | $ 4.800 | $ 5.350 | $ 8.400 | $ 8.400 | $ 9.600 | $ 10.800 | $ 6.975 | $ 64.970 | |||||
Dividends | $ 87,906 | $ 97,601 | $ 53,570 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 540,010 | |||||
Subsequent Event [Member] | ||||||||||||||||
Per share amount (in dollars per share) | $ 0.16 | $ 0.16 | $ 0.320 | [1] | ||||||||||||
Dividends | [1] | $ 12,540 | ||||||||||||||
[1]On January 11, 2023, the Company declared a dividend of $0.16 per share that was paid on February 24, 2023. On February 15, 2023, the Company declared a dividend of $0.16 per share to be paid on March 29, 2023. The effect of these dividends are included in the table above, but are not reflected in the Company’s financial statements as of December 31, 2022. |
Note 8 - Stock Incentive Plan_2
Note 8 - Stock Incentive Plan (Details Textual) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Sep. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2022 | Jun. 30, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Stock Awards [Member] | |||||||
Share-Based Payment Arrangement, Expense | [1] | $ 581,000 | $ 811,000 | ||||
Stock Awards [Member] | Awards granted in 2022 [Member] | |||||||
Share-Based Payment Arrangement, Expense | $ 600,000 | ||||||
Minimum [Member] | |||||||
Decline of Book Value Per Share | 15% | 15% | 10% | 10% | |||
The 2021 Incentive Plan [Member] | |||||||
Share-Based Compensation Arrangement by Share-Based Payment Award, Percentage of Outstanding Stock Maximum | 10% | ||||||
Share-Based Compensation Arrangement by Share-Based Payment Award, Number of Shares Authorized (in shares) | 1,473,324 | 1,473,324 | |||||
[1]The awards issued during the year ended December 31, 2022 were granted with respect to service performed in 2021. Approximately $600,000 of compensation expense related to the 2022 awards was accrued and recognized in 2021. |
Note 8 - Stock Incentive Plan -
Note 8 - Stock Incentive Plan - Schedule of Nonvested Performance Based Units Activity (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Stock based compensation | $ 685 | $ 772 | $ 244 |
Performance Shares [Member] | |||
Unvested, shares (in shares) | 26,645 | 911 | |
Unvested, grant date fair value (in dollars per share) | $ 29.40 | $ 37.25 | |
Fully vested shares granted (in shares) | 35,114 | 27,579 | |
Weighted average grant date price per share (in dollars per share) | $ 16.55 | $ 29.40 | |
Forfeited, shares (in shares) | (14,980) | (934) | |
Forfeited, grant date fair value (in dollars per share) | $ 21.04 | $ 29.40 | |
Vested and issued, shares (in shares) | (9,859) | (911) | |
Vested and issued, grant date fair value (in dollars per share) | $ 29.40 | $ 37.25 | |
Unvested, shares (in shares) | 36,920 | 26,645 | 911 |
Unvested, grant date fair value (in dollars per share) | $ 20.57 | $ 29.40 | $ 37.25 |
Stock based compensation | $ 376 | $ 321 | |
Unrecognized compensation expense, end of period | 357 | 467 | |
Intrinsic value, end of period | $ 388 | $ 599 | |
Weighted-average remaining vesting term (in years) (Year) | 1 year 2 months 12 days | 1 year 4 months 24 days |
Note 8 - Stock Incentive Plan_3
Note 8 - Stock Incentive Plan - Schedule of Stock Awards (Details) - Stock Awards [Member] - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | ||
Fully vested shares granted (in shares) | 35,114 | 27,579 | |
Weighted average grant date price per share (in dollars per share) | $ 16.55 | $ 29.40 | |
Compensation expense related to fully vested shares of common stock awards(1) | [1] | $ 581 | $ 811 |
[1]The awards issued during the year ended December 31, 2022 were granted with respect to service performed in 2021. Approximately $600,000 of compensation expense related to the 2022 awards was accrued and recognized in 2021. |
Note 8 - Stock Incentive Plan_4
Note 8 - Stock Incentive Plan - Share Based Compensation Arrangements by Share Based Payment Award (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Stock based compensation | $ 685 | $ 772 | $ 244 |
Deferred Stock Units [Member] | |||
Outstanding, shares (in shares) | 28,595 | 18,189 | |
Outstanding, grant date fair value (in dollars per share) | $ 26.92 | $ 27.20 | |
Granted and vested, shares (in shares) | 25,602 | 10,406 | |
Granted and vested, grant date fair value (in dollars per share) | $ 12.89 | $ 26.43 | |
Outstanding, shares (in shares) | 54,197 | 28,595 | 18,189 |
Outstanding, grant date fair value (in dollars per share) | $ 20.29 | $ 26.92 | $ 27.20 |
Stock based compensation | $ 328 | $ 240 | |
Intrinsic value, end of period | $ 569 | $ 643 |
Note 10 - Income Taxes (Details
Note 10 - Income Taxes (Details Textual) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Income Tax Expense (Benefit), Total | $ 0 | $ 0 | $ 0 |
Note 11 - Earnings Per Share _3
Note 11 - Earnings Per Share (EPS) - Schedule of Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net (loss) income - Basic and diluted | $ (258,453) | $ (64,760) | $ 2,128 |
Shares of common stock outstanding at the balance sheet date (in shares) | 36,765,000 | 35,399,000 | 15,215,000 |
Unvested dividend eligible share based compensation outstanding at the balance sheet date (in shares) | 0 | 0 | 19,000 |
Effect of weighting (in shares) | 700,000 | (11,170,000) | (1,792,000) |
Weighted Average Shares Outstanding (in shares) | 37,464,671 | 24,228,865 | 13,442,163 |
Basic and diluted net (loss) income per share (in dollars per share) | $ (6.90) | $ (2.67) | $ 0.16 |
Anti-dilutive incentive shares not included in calculation. (in shares) | 91,000 | 55,000 | 0 |
Note 12 - Fair Value - Schedule
Note 12 - Fair Value - Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | $ 3,540,002 | $ 6,511,095 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | 36,382 | 37,175 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 0 | 0 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | 36,382 | 36,382 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 0 | |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 3,540,002 | 6,511,095 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 4,983 | 26,431 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member] | ||
Derivative assets, at fair value | 27,416 | 17,070 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 1,119 | |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | (507) | (304) |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | ||
Mortgage-backed securities, at fair value (includes pledged assets of $6,506,372 and $3,719,906, respectively) | 0 | 0 |
U.S. Treasury Notes, at fair value (includes pledged assets of $29,740 and $0, respectively) | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 0 | |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | $ 0 | $ 0 |
Note 13 - Related Party Trans_2
Note 13 - Related Party Transactions (Details Textual) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Bimini Advisors LLC [Member] | |||
Automatic Renewal Period Of Management Agreement (Year) | 1 year | ||
Bimini Capital Management Inc [Member] | |||
Management Fee and Overhead Expense | $ 13 | $ 9.8 | $ 6.8 |
Entity Shares Owned (in shares) | 569,071 | ||
Entity Ownership Percentage | 1.50% |