DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Mar. 11, 2021 | Jun. 30, 2020 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K/A | ||
Amendment Flag | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Orchid Island Capital, Inc. | ||
Entity Central Index Key | 0001518621 | ||
Entity Current Reporting Status | Yes | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Common Stock Shares Outstanding | 94,321,365 | ||
Trading Symbol | ORC | ||
Security Exchange Name | NYSE | ||
Security 12(b) Title | Common Stock, $0.01 par value | ||
Interactive Data Current | Yes | ||
Document Transition Report | false | ||
City Area Code | 772 | ||
Local Phone Number | 231-1400 | ||
Entity Address Line 1 | 3305 Flamingo Drive | ||
Entity Address City or Town | Vero Beach | ||
Entity Address State or Province | FL | ||
Entity Postal Zip Code | 32963 | ||
Entity Incorporation, State Country Name | MD | ||
Entity File Number | 001-35236 | ||
Entity Tax ID Number | 27-3269228 | ||
DocumentAnnualReport | true | ||
Entity Well Known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Public Float | $ 298,895,633 | ||
DocumentsIncorporatedByReferenceTextBlock | Portions of the Registrant's definitive of the Registrant, are incorporated by reference | ||
Amendment Description | On February 26, 2021, Orchid Island Capital, Inc. (the “Company”) filed its annual report on Form 10-K for the fiscal year ended December 31, 2020 (“2020 Form 10-K”). The Company is filing this Amendment No. 1 on Form 10-K/A (“Amendment No. 1”) solely to correct typographical errors that resulted during the creation of the EDGAR version of the 2020 Form 10-K. These typographical errors are limited to correcting the numbering of the notes to the financial statements included in Item 8. Except as described above, no changes have been made to the 2020 Form 10-K, and this Amendment No. 1 does not modify, amend or update in any way any of the financial or other information contained in the 2020 Form 10-K. This Amendment No. 1 does not reflect events that may have occurred subsequent to February 26, 2021. Accordingly, this Amendment No. 1 should be read in conjunction with the 2020 Form 10-K. Pursuant to Rule 12b-15 under the Securities Exchange Act of 1934, as amended, this Amendment No. 1 also contains new certifications of the Company’s Chief Executive Officer and Chief Financial Officer, which are filed as exhibits hereto. |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Mortgage-backed securities, at fair value | ||
Pledged to counterparties | $ 3,719,906 | $ 3,584,354 |
Unpledged | 6,989 | 6,567 |
Total mortgage-backed securities | 3,726,895 | 3,590,921 |
Cash and cash equivalents | 220,143 | 193,770 |
Restricted cash | 79,363 | 84,885 |
Accrued interest receivable | 9,721 | 12,404 |
Derivative Assets | 20,999 | 0 |
Receivable for securities sold, pledged to counterparties | 414 | 0 |
Other assets | 516 | 100 |
Total Assets | 4,058,051 | 3,882,080 |
Liabilities | ||
Outstanding repurchase obligations | 3,595,586 | 3,448,106 |
Dividends Payable | 4,970 | 5,045 |
Derivitive Liabilities | 33,227 | 20,658 |
Accrued interest payable | 1,157 | 11,101 |
Due to affiliates | 632 | 622 |
Other Liabilities | 7,188 | 1,041 |
Total Liabilities | 3,642,760 | 3,486,573 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 761 | 631 |
Additional paid in capital | 432,524 | 414,998 |
Accumulated deficit | (17,994) | (20,122) |
Total Stockholders Equity | 415,291 | 395,507 |
Total Liabilities and Stockholders Equity | 4,058,051 | 3,882,080 |
Residential Mortgage Backed Securities [Member] | ||
Mortgage-backed securities, at fair value | ||
Accrued interest receivable | $ 9,636 | $ 12,367 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parentheticals) - $ / shares | Dec. 31, 2020 | Dec. 31, 2019 |
Statement Of Financial Position [Abstract] | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | |
Preferred Shares Authorized | 100,000,000 | |
Common Stock, par value (in dollars per share) | $ 0.01 | |
Common Stock Shares Authorized | 500,000,000 | |
Common Shares Issued | 76,073,317 | 63,061,781 |
Common Shares Outstanding | 76,073,000 | 63,062,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest income | $ 116,045 | $ 142,324 | $ 154,581 |
Interest expense | 25,056 | 83,666 | 70,360 |
Net interest income | 90,989 | 58,658 | 84,221 |
Realized gains (losses) on mortgage-backed securities | (24,986) | (10,877) | (30,289) |
Unrealized gains (losses) on mortgage-backed securities | 25,761 | 38,045 | (110,668) |
(Losses) gains on derivative instruments | (79,092) | (51,176) | 24,311 |
Net portfolio income | 12,672 | 34,650 | (32,425) |
Expenses | |||
Management Fee Expense | 5,281 | 5,528 | 6,204 |
Allocated Overhead | 1,514 | 1,380 | 1,567 |
Compensation and related benefits | 38 | 115 | 407 |
Directors fees and liability insurance | 998 | 998 | 968 |
Audit, legal and other professional fees | 1,045 | 1,105 | 851 |
Direct REIT operating expenses | 1,057 | 997 | 1,631 |
Other administrative | 611 | 262 | 334 |
Total expenses | 10,544 | 10,385 | 11,962 |
Net income (loss) | $ 2,128 | $ 24,265 | $ (44,387) |
Basic and diluted net income (loss) per share | |||
Basic and Diluted | $ 0.03 | $ 0.43 | $ (0.85) |
Weighted Average Shares Outstanding | |||
Weighted Average Shares - Basic and Diluted | 67,210,815 | 56,328,027 | 52,198,175 |
CONSOLIDATED STATEMENT OF STOCK
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY, (Unaudited) - USD ($) $ in Thousands | Total | Common Stock [Member] | Additional Paid In Capital [Member] | Retained Earnings [Member] |
Balances at Dec. 31, 2017 | $ 462,211 | $ 531 | $ 461,680 | $ 0 |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (44,387) | 0 | 0 | (44,387) |
Cash dividend declared | 55,814 | 0 | 55,814 | 0 |
Amortization of stock based compensation | 492 | 0 | 492 | 0 |
Stock Repurchased and Retired During Period, Value | (26,423) | (40) | (26,383) | 0 |
Balances at Dec. 31, 2018 | $ 336,079 | 491 | 379,975 | (44,387) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2017 | 53,062,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares Share Based Compensation | 49,000 | |||
Stock Repurchased and Retired During Period, Shares | 3,979,000 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2018 | 49,132,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ 24,265 | 0 | 0 | 24,265 |
Cash dividend declared | 54,421 | 0 | 54,421 | 0 |
Issuance of common stock pursuant to public offerings, net | 92,314 | 145 | 92,169 | 0 |
Amortization of stock based compensation | 294 | 0 | 294 | 0 |
Stock Repurchased and Retired During Period, Value | (3,024) | (5) | (3,019) | 0 |
Balances at Dec. 31, 2019 | $ 395,507 | 631 | 414,998 | (20,122) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 14,377,126 | |||
Stock Issued During Period Shares Share Based Compensation | 23,000 | |||
Stock Repurchased and Retired During Period, Shares | 470,000 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2019 | 63,062,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ 2,128 | 0 | 0 | 2,128 |
Cash dividend declared | 53,570 | 0 | 53,570 | 0 |
Issuance of common stock pursuant to public offerings, net | 71,050 | 130 | 70,920 | 0 |
Amortization of stock based compensation | 244 | 0 | 244 | 0 |
Stock Repurchased and Retired During Period, Value | (68) | 0 | (68) | 0 |
Balances at Dec. 31, 2020 | $ 415,291 | $ 761 | $ 432,524 | $ (17,994) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 13,019,240 | |||
Stock Issued During Period Shares Share Based Compensation | 12,000 | |||
Stock Repurchased and Retired During Period, Shares | 19,891 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2020 | 76,073,000 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
CASH FLOWS FROM OPERATING ACTIVITIES | |||
Net income (loss) | $ 2,128 | $ 24,265 | $ (44,387) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Stock based compensation and equity plan amortization | 244 | 294 | 492 |
Realized and unrealized (gains) losses on mortgage-backed securities | (775) | (27,168) | 140,957 |
Derivative, Gain (Loss) on Derivative, Net | 58,891 | 45,207 | (4,052) |
Changes in operating assets and liabilities | |||
Accrued interest receivable | 2,683 | 837 | 1,203 |
Other assets | (446) | 80 | (3) |
Accrued interest payable | (9,944) | 4,656 | (71) |
Other liabilities | 2,583 | 22 | 4 |
Due to affiliates | 10 | (32) | (143) |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 55,374 | 48,161 | 94,000 |
From mortgage-backed securities investments | |||
Purchases | (4,859,434) | (4,241,822) | (3,893,828) |
Sales | 4,200,536 | 3,321,206 | 3,885,817 |
Principal repayments | 523,699 | 594,833 | 373,934 |
Proceeds from U.S. Treasury Securities | 139,712 | 0 | 0 |
Payments on U.S. Treasury Securities | 139,807 | 0 | 0 |
Net payments on reverse repurchase agreements | 30 | 0 | 0 |
Payments on net settlement of to-be-announced securities | (881) | (8,423) | 7,292 |
Purchase of interest rate swaptions, net of margin cash received | 63,195 | 20,600 | (6,805) |
NET CASH USED IN INVESTING ACTIVITIES | (199,340) | (354,806) | 380,020 |
CASH FLOWS FROM FINANCING ACTIVITIES | |||
Proceeds from repurchase agreements | 33,140,625 | 45,595,010 | 52,096,292 |
Principal payments on repurchase agreements | (32,993,145) | (45,171,956) | (52,605,026) |
Cash dividends | (53,645) | (53,307) | (59,312) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 71,050 | 92,314 | 0 |
Payments For Repurchase Of Common Stock | 68 | 3,024 | 26,423 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | 164,817 | 459,037 | (594,469) |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 20,851 | 152,392 | (120,449) |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 278,655 | 126,263 | 246,712 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 299,506 | 278,655 | 126,263 |
Cash paid during the period for: | |||
Interest Paid | 35,000 | 79,010 | 70,431 |
SUPPLEMENTAL DISCLOSURES OF NONCASH FINANCING ACTIVITIES: | |||
Securities Sold Settled In Later Period | 0 | 0 | 220,655 |
Interest Rate Swaption [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | (2,972) | (1,379) | 1,502 |
Swap [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | (59,055) | (39,471) | (1,027) |
TBA Contracts [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | 3,231 | (4,357) | (4,527) |
US Treasury Securities [Member] | |||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Derivative, Gain (Loss) on Derivative, Net | $ (95) | $ 0 | $ 0 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | NOTE 1. Organization Orchid Island and managing February 20, November 24, was the issuance On August 2, 2017, Orchid entered into an equity distribution agreement (the “August 2017 two sales agents pursuant to which the Company could offer and sell, from time to time, up 125,000,000 shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately transactions. 15,123,178 gross proceeds of approximately $ 125.0 123.1 prior to its termination in July 2019. On July 30, 2019, Orchid entered into an underwriting agreement (the “2019 Underwriting LLC, Citigroup Global Markets Inc. and J.P. Morgan Securities LLC, as representatives of the underwriters named therein, relating to the offer and sale of 7,000,000 6.55 purchased the shares pursuant to the 2019 Underwriting Agreement at a price of $ 6.3535 7,000,000 44.2 deduction of underwriting discounts and commissions and other estimated offering expenses. On January 23, 2020, Orchid entered into an equity distribution agreement (the three sales agents pursuant to which the Company could offer and sell, from time to time, up 200,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and transactions. 3,170,727 gross proceeds of $ 19.8 19.4 in August 2020. On August 4, 2020, Orchid entered into an equity distribution agreement (the “August 2020 four sales agents pursuant to which the Company may offer and sell, from time to time, up to 150,000,000 shares of the Company’s common stock in transactions that are deemed to be “at the market” transactions. 9,848,513 Agreement for aggregate gross proceeds of approximately $ 52.5 51.6 commissions and fees. Subsequent to December 31, 2020 through February 26, 2021, 308,048 under the August 2020 Equity Distribution Agreement for aggregate gross proceeds of approximately 1.6 COVID-19 Beginning conditions about by COVID-19, margin calls various hedge at levels significantly 1.1 of Agency 31.4 with an aggregate 860.0 45.0 date of the The Agency RMBS and satisfied all Although the continues, year 2021. In addition, billions of pandemic, including loan payments. signed into many of the of the CARES Company’s business, Basis of The accompanying United States The preparation assumptions financial estimates. Management available as generally, and on than they Variable Interest Entities (VIEs) We obtain interests in VIEs through our investments in mortgage-backed securities. nature and are not expected to result in us obtaining a controlling financial interest in consolidate these VIEs and we account for our interest in these VIEs as mortgage-backed information regarding our investments in mortgage-backed securities. value of the mortgage-backed securities. Cash and Cash Equivalents and Restricted Cash Cash and cash three months borrowings, The following position that (in thousands) December 31, 2020 December 31, 2019 Cash and cash equivalents $ 220,143 $ 193,770 Restricted cash 79,363 84,885 Total cash, cash equivalents $ 299,506 $ 278,655 The Company balances may Deposit Insurance balances are Company limits any significant Mortgage-Backed The Company Mae or Ginnie securities and IIO securities as structured RMBS. The Company has elected to account for option. Electing the fair value option requires the Company to record changes in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company are included date are removed Fair value between market transfer the advantageous broker quotes, Income on PT purchase are gains (losses) effective yield. and serves periods recognition reporting statements Derivative Financial Instruments The Company manage other Treasury Note options to may enter The Company are reported Derivative The Company’s hedges of Holding derivatives honor their receive payments collateral banks as counterparties, Financial The fair value statements swaptions value for The estimated other assets, liabilities these financial Repurchase The Company repurchase contractual Reverse Repurchase The Company master repurchase borrowed The securities counterparties. Manager Compensation The Company company and Manager of which they Earnings Basic earnings average number stock or two-class in computing Income Taxes Orchid has qualified and elected to be taxed as a REIT under the Code. their REIT taxable income provided that they distribute to their stockholders basis. In addition, a REIT must meet other provisions of the Code to retain its tax Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions based on the facts, circumstances and information available at the end of each period. highly certain. uncertain tax positions is adjusted when new information is available, or Recent Accounting On January 1, 2020, we adopted Accounting Standards Update (“ASU”) 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit expected credit loss model). The Company’s adoption of this ASU did not have a material effect on its financial financial assets were already measured at fair value through earnings. In March 2020, the FASB issued ASU 2020-04 “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” on debt instruments, leases, derivatives, and other contracts, related to the expected market Offered Rate (“LIBOR”), and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to remeasurement at the modification date nor a reassessment of a previous accounting optional and may be elected over time, through December 31, 2022, as reference believe the adoption of this ASU will have a material impact on its financial statements. In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848). 848 to include all affected derivatives and give market participants the ability to apply certain hedge accounting expedients to derivative contracts affected by the discounting transition. In implementation guidance to permit a company to apply certain optional expedients margining, discounting or contract price alignment of certain derivatives as a result extends optional expedients to account for a derivative contract modified as a continuation of accounting when certain critical terms of a hedging relationship change to modifications guidance in ASU 2021-01 is effective immediately and available generally through December activities occur. The Company does not believe the adoption of this ASU will have a material impact on its financial statements. |
MORTGAGE-BACKED SECURITIES
MORTGAGE-BACKED SECURITIES | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2. The following (in thousands) December 31, 2020 December 31, 2019 Pass-Through RMBS Certificates: Adjustable-rate Mortgages $ - $ 1,014 Fixed-rate Mortgages 3,560,746 3,206,013 Fixed-rate CMOs 137,453 299,205 Total Pass-Through 3,698,199 3,506,232 Structured RMBS Certificates: Interest-Only Securities 28,696 60,986 Inverse Interest-Only Securities - 23,703 Total Structured 28,696 84,689 Total $ 3,726,895 $ 3,590,921 |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3. The Company generally fixed borrowing. down borrowings securities requirements. As of December ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL December 31, 2020 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,112,969 $ 1,560,798 $ 55,776 $ 3,729,543 Repurchase agreement liabilities associated with these securities $ - $ 2,047,897 $ 1,494,500 $ 53,189 $ 3,595,586 Net weighted average borrowing rate - 0.23% 0.22% 0.30% 0.23% December 31, 2019 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,470,263 $ 1,005,517 $ 120,941 $ 3,596,721 Repurchase agreement liabilities associated with these securities $ - $ 2,361,378 $ 964,368 $ 122,360 $ 3,448,106 Net weighted average borrowing rate - 2.04% 1.94% 2.60% 2.03% In addition, 58.8 65.9 as of December If, during pledged assets, plus interest and cash posted by the Company as collateral. At December between the value of securities 176.3 million. December 31, |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Financial Instruments [Abstract] | |
Derivative Financial Instruments | NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS The table December 31, (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2020 December 31, 2019 Assets Interest rate swaps Derivative assets, at fair value $ 7 $ - Payer swaptions (long positions) Derivative assets, at fair value 17,433 - TBA securities Derivative assets, at fair value 3,559 - Total derivative $ 20,999 $ - Liabilities Interest rate swaps Derivative liabilities, at fair value $ 24,711 $ 20,146 Payer swaptions (short positions) Derivative liabilities, at fair value 7,730 - TBA securities Derivative liabilities, at fair value 786 512 Total derivative $ 33,227 $ 20,658 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 489 $ 1,338 TBA securities Restricted cash 284 246 TBA securities Other liabilities (2,520) - Interest rate swaption contracts Other liabilities (3,563) - Interest rate swap contracts Restricted cash 19,761 17,450 Total margin $ 14,451 $ 19,034 Eurodollar, Fed charged to a daily basis. 2020 and 2019. ($ in thousands) December 31, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.03% 0.18% $ (424) U.S. Treasury Note Futures Contracts (2) March 2021 5-year T-Note futures (Mar 2021 - Mar 2026 Hedge Period) $ 69,000 0.72% 0.67% $ (186) ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) U.S. Treasury Note Futures Contracts (2) March 2020 5 year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) December 31, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 5 years $ 200,000 0.67% 0.23% $ (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 The table open swaption ($ 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, 2020 Payer Swaptions (long positions) ≤ 1 year $ 3,450 $ 5 2.5 500,000 0.95% 3 Month 4.0 > 1 year ≤ 2 years 13,410 17,428 17.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 17,433 11.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions (short positions) ≤ 1 year $ (4,660) $ (7,730) 5.4 $ 507,700 1.49% 3 Month 12.8 The following table summarizes our contracts to purchase and sell TBA ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2020 30-Year TBA securities: 2.0% $ 465,000 $ 479,531 $ 483,090 $ 3,559 3.0% (328,000) (342,896) (343,682) (786) Total $ 137,000 $ 136,635 $ 139,408 $ 2,773 December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) 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, 2020, 2019 and 2018. (in thousands) 2020 2019 2018 Eurodollar futures contracts (short positions) $ (8,337) $ (13,860) $ 7,170 U.S. Treasury Note futures contracts (short position) (4,707) (5,175) 5,507 Fed Funds futures contracts (short positions) - 177 - Interest rate swaps (66,212) (26,582) 8,609 Receiver swaptions - - 105 Payer swaptions (long positions) 98 (1,379) (1,607) Payer swaptions (short positions) (3,070) - - TBA securities (short positions) (6,719) (6,264) 4,327 TBA securities (long positions) 9,950 1,907 200 U.S. Treasury securities (short positions) (95) - - Total $ (79,092) $ (51,176) $ 24,311 Credit Risk-Related Contingent Features The use recognized in the event risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring as collateral for our derivatives, whose derivative contract. In agreements, and may as collateral for our derivative instruments are included in restricted cash on our It is Mercantile Exchange collateral. As a clearing party are presented as if these derivatives had been settled as of the reporting |
PLEDGED ASSETS
PLEDGED ASSETS | 12 Months Ended |
Dec. 31, 2020 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5. PLEDGED ASSETS Assets Pledged The table including securities (in thousands) December 31, 2020 December 31, 2019 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,692,811 $ - $ 3,692,811 $ 3,500,394 $ - $ 3,500,394 Structured RMBS - fair value 27,095 - 27,095 83,960 - 83,960 Accrued interest on pledged securities 9,636 - 9,636 12,367 - 12,367 Restricted cash 58,829 20,534 79,363 65,851 19,034 84,885 Total $ 3,788,371 $ 20,534 $ 3,808,905 $ 3,662,572 $ 19,034 $ 3,681,606 Assets Pledged The table agreements (in thousands) December 31, 2020 December 31, 2019 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 120 $ 6,083 $ 6,203 $ 1,418 $ - $ 1,418 U.S. Treasury securities - fair value 253 - 253 - - - Total $ 373 $ 6,083 $ 6,456 $ 1,418 $ - $ 1,418 PT RMBS and because the corresponding |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 12 Months Ended |
Dec. 31, 2020 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting Assets and Liabilities [Text Block] | NOTE 6. OFFSETTING ASSETS AND LIABILITIES The Company’s similar arrangements, transactions. The following presented (in thousands) Offsetting of Assets Gross Amount Not Net Amount Offset in the Balance Sheet of Assets Financial Gross Amount Gross Amount Presented Instruments Cash of Recognized Offset in the in the Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2020 Interest rate swaps $ 7 $ - $ 7 $ - $ - $ 7 Interest rate swaptions 17,433 - 17,433 - (3,563) 13,870 TBA securities 3,559 - 3,559 - (2,520) 1,039 $ 20,999 $ - $ 20,999 $ - $ (6,083) $ 14,916 (in thousands) Offsetting of Liabilities Gross Amount Not Net Amount Offset in the Balance Sheet of Liabilities Financial Gross Amount Gross Amount Presented Instruments of Recognized Offset in the in the Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2020 Repurchase Agreements $ 3,595,586 $ - $ 3,595,586 $ (3,536,757) $ (58,829) $ - Interest rate swaps 24,711 - 24,711 - (19,761) 4,950 Interest rate swaptions 7,730 - 7,730 - - - TBA securities 786 - 786 - (284) 502 $ 3,628,813 $ - $ 3,628,813 $ (3,536,757) $ (78,874) $ 5,452 December 31, 2019 Repurchase Agreements $ 3,448,106 $ - $ 3,448,106 $ (3,382,255) $ (65,851) $ - Interest rate swaps 20,146 - 20,146 - (17,450) 2,696 TBA securities 512 - 512 - (246) 266 $ 3,468,764 $ - $ 3,468,764 $ (3,382,255) $ (83,547) $ 2,962 The amounts asset or liability typically exceeds and derivative |
CAPITAL STOCK
CAPITAL STOCK | 12 Months Ended |
Dec. 31, 2020 | |
Capital Stock [Abstract] | |
Capital Stock | NOTE 7. Common Stock During 2020 ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2020 At the Market Offering Program (3) First Quarter $ 6.23 3,170,727 $ 19,447 At the Market Offering Program (3) Third Quarter 5.15 3,073,326 15,566 At the Market Offering Program (3) Fourth Quarter 5.41 6,775,187 36,037 13,019,240 $ 71,050 2019 At the Market Offering Program (3) First Quarter $ 6.84 1,267,894 $ 8,503 At the Market Offering Program (3) Second Quarter 6.70 4,337,931 28,495 At the Market Offering Program (3) Third Quarter 6.37 1,771,301 11,098 Follow-on Offering (3) Third Quarter 6.35 7,000,000 44,218 14,377,126 $ 92,314 Weighted average price received per share is before deducting (2) Net proceeds are net of the underwriters’ discount, if applicable, and (3) As of December 31, 2020, the Company had entered into eight equity distribution because all shares were sold or were replaced with a subsequent agreement. Stock Repurchase Program On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 2,000,000 common stock. On February 8, 2018, the Board of Directors approved an increase additional 4,522,822 783,757 share authorization, the increased authorization brought the total authorization to 5,306,579 outstanding share count. As part of the stock repurchase program, shares may be purchased purchases, through privately negotiated transactions, or pursuant to any trading 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange accordance with Exchange Act Rule 10b-18, which sets certain restrictions on stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in will be subject to economic and market conditions, stock price, applicable legal requirements not obligate the Company to acquire any particular amount of common stock the Company’s discretion without prior notice. From the inception of the stock repurchase program through December 31, 2020, the 5,685,511 shares at an aggregate cost of approximately $ 40.4 7.10 share. During the year ended December 31, 2020, the Company repurchased a 19,891 approximately $ 0.1 3.42 December 31, 2019, the Company repurchased a total of 469,975 3.0 commissions and fees, for a weighted average price of $ 6.43 repurchased a total of 3,979,402 26.4 weighted average price of $ 6.64 837,311 Cash Dividends The table below presents the cash dividends declared on the Company’s common stock. (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 0.790 53,570 2021 - YTD (1) 0.130 11,079 Totals $ 11.785 $ 353,042 On January 14, 2021, the Company declared a dividend of $0.065 per Company declared a dividend of $0.065 per share to be paid on March is estimated based on the number of shares outstanding at February but are not reflected in the Company’s financial statements as of December |
STOCK INCENTIVE PLAN
STOCK INCENTIVE PLAN | 12 Months Ended |
Dec. 31, 2020 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Stock incentive Plan | NOTE 8. In October 2012, the Company’s Board of Directors adopted and Bimini, then the Company’s sole stockholder, approved, the Orchid Island Capital, Inc. 2012 Equity Incentive Plan (the “Incentive Plan”) providers, including employees of the Manager and other affiliates. The Incentive Plan provides appreciation rights, stock award, performance units, other equity-based awards performance units and other equity-based awards) and incentive awards. Committee of the Company’s Board of Directors except that the Company’s full Board of Directors directors who are not employees of the Company or its affiliates. 10 % of the issued and outstanding shares of our common stock (on a fully diluted aggregate 4,000,000 Stock Awards The Company may in the future issue immediately vested common stock under employees of its Manager. Although no such awards were granted in fiscal years 2020 or 2019, such awards issued. Performance Units The Company has issued, and may in the future issue additional performance units under officers and employees of its Manager. of the performance conditions set forth in the performance unit agreement. When issuance of one share of the Company’s common stock, at which time the Performance contain dividend equivalent rights, which entitle the Participants to receive distributions but do not include the right to vote the underlying shares of common stock. participant no longer serve as an executive officer or employee of the Company. recognized over the remaining vesting period once it becomes probable that The following table presents information related to Performance Units outstanding during the 2019. ($ in thousands, except per share data) 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 19,021 $ 7.78 43,672 $ 8.34 Forfeited (1,607) 7.45 - - Vested and issued (12,860) 7.93 (24,651) 8.78 Unvested, end of period 4,554 $ 7.45 19,021 $ 7.78 Compensation expense during period $ 38 $ 115 Unrecognized compensation expense, end of period $ 4 $ 42 Intrinsic value, end of period $ 24 $ 111 Weighted-average remaining vesting term (in years) 0.4 0.8 The number of shares of common stock issuable upon the vesting of the remaining as a result of the book value impairment event that occurred pursuant to the Company's "Plans"). The book value impairment event occurred when the Company's book value quarter ended March 31, 2020 and the Company's book value per share 10%. The Plans provide that if such a book value impairment event occurs, then outstanding as of the last day of such two-quarter period shall be reduced by 15%. Deferred Stock Units Non-employee directors began to receive a portion of their compensation pursuant to the Incentive Plan beginning with the awards for the second quarter of 2018. share of the Company’s common stock. The DSUs are immediately vested and are settled at individual participant. Company on common stock. DSUs do not include the right to vote the underlying shares of common stock. The following table presents information related to the DSUs outstanding during the years ($ in thousands, except per share data) 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 43,570 $ 6.56 12,434 $ 7.37 Granted and vested 47,376 4.41 31,136 6.23 Outstanding, end of period 90,946 $ 5.44 43,570 $ 6.56 Compensation expense during period $ 180 $ 180 Intrinsic value, end of period $ 473 $ 255 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2020 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments And Contingencies | NOTE 9. From time to time, the Company may become involved in various claims and business. Management is not aware of any reported or unreported contingencies |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10. The Company taxable income ownership must be distributed to the end requirements. REIT taxable income (loss) unrealized purposes. As of December income tax |
EARNINGS PER SHARE
EARNINGS PER SHARE | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11. The Company December 31, Deferred Units and Performance common stock The table (in thousands, except per-share information) 2020 2019 2018 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net income (loss) - Basic and diluted $ 2,128 $ 24,265 $ (44,387) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 76,073 63,062 49,132 Unvested dividend eligible share based compensation outstanding at the balance sheet date 96 63 - Effect of weighting (8,958) (6,797) 3,066 Weighted average shares-basic and diluted 67,211 56,328 52,198 Net income (loss) per common share: Basic and diluted $ 0.03 $ 0.43 $ (0.85) Anti-dilutive incentive shares not included in calculation. - - 56 |
FAIR VALUE
FAIR VALUE | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value | NOTE 12. The framework asset or paid pricing the on the sale measured at ● Level 1 valuations, (which include ● Level 2 valuations, prices for significant ● Level 3 valuations, observable Company’s own techniques use of market The Company's independent make certain independent include observing spread pricing curve or spread SABR models pricing method observable between the stability and guarantor were originated, if appropriate. The Company’s readily available. valuations. and discount RMBS (based years ended most advantageous asset. When in active markets, The following 2019. (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, 2020 Mortgage-backed securities $ - $ 3,726,895 $ - Interest rate swaps - (24,704) - Interest rate swaptions - 9,703 - TBA securities - 2,773 - December 31, 2019 Mortgage-backed securities $ - $ 3,590,921 $ - Interest rate swaps - (20,146) - TBA securities - (512) - During the years ended December 31, 2020 and 2019, there were no transfers of financial or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 13. RELATED PARTY TRANSACTIONS Management Agreement The Company is externally managed and advised by the “Manager” pursuant to management agreement has been renewed through February 20, 2022 one-year thereafter and is subject to certain termination rights. administering the business activities and day-to-day operations of the Company. the amount of: ● One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, as defined in the management agreement, ● One-twelfth of 1.25% of the Company’s month-end equity that is greater than $250 million million, and ● One-twelfth of 1.00% of the Company’s month-end equity that is greater than $500 The Company is obligated to reimburse the Manager for any direct expenses incurred Company’s pro rata portion of certain overhead costs set forth in the management agreement. management agreement without cause, it will pay the Manager a termination fee, as defined in the management agreement, before or on the last day of the term of Total 6.8 6.9 7.8 million for the years ended December 31, 2020, 2019 and 2018, respectively. Other Relationships with Bimini Robert Cauley, our Chief Executive Officer and Chairman of our Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Chief Investment Officer, Secretary and a member of our Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of December owned 2,595,357 3.4 %, of the Company’s common stock. |
QUARTERLY RESULTS
QUARTERLY RESULTS | 12 Months Ended |
Dec. 31, 2019 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summarized Quarterly Results [Text Block] | NOTE 14. The following (in thousands, except per share information) Quarter Ended March 31, 2020 June 30, 2020 September 30, 2020 December 31, 2020 Interest income $ 35,671 $ 27,258 $ 27,223 $ 25,893 Interest expense (16,523) (4,479) (2,043) (2,011) Net interest income 19,148 22,779 25,180 23,882 Losses (gains) (108,206) 28,749 5,745 (4,605) Net portfolio income (loss) (89,058) 51,528 30,925 19,277 Expenses: Management fees and overhead expenses 1,724 1,616 1,629 1,826 Other expenses 417 1,140 1,220 972 Total expenses 2,141 2,756 2,849 2,798 Net income (loss) $ (91,199) $ 48,772 $ 28,076 $ 16,479 Basic net (loss) income per share $ (1.41) $ 0.74 $ 0.42 $ 0.23 Diluted net (loss) income per share $ (1.41) $ 0.73 $ 0.42 $ 0.23 Weighted Average Shares Outstanding 64,590 66,310 67,302 70,497 Dividends declared per share $ 0.240 $ 0.165 $ 0.190 $ 0.195 Quarter Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Interest income $ 32,433 $ 36,455 $ 35,907 $ 37,529 Interest expense (18,892) (22,431) (22,321) (20,022) Net interest income 13,541 14,024 13,586 17,507 Losses (748) (7,670) (19,431) 3,841 Net portfolio income (loss) 12,793 6,354 (5,845) 21,348 Expenses: Management fees and overhead expenses 1,608 1,653 1,791 1,856 Other expenses 588 1,168 841 880 Total expenses 2,196 2,821 2,632 2,736 Net income (loss) $ 10,597 $ 3,533 $ (8,477) $ 18,612 Basic and diluted net income (loss) per share $ 0.22 $ 0.07 $ (0.14) $ 0.29 Weighted Average Shares Outstanding 48,905 52,601 60,419 63,124 Dividends declared per share $ 0.24 $ 0.24 $ 0.24 $ 0.24 Earnings per share (EPS) in each quarter is computed using the weighted-average number of shares outstanding during that quarter while EPS for the full year is computed using the weighted-average number of shares outstanding during the year. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | NOTE 15. SUBSEQUENT EVENTS January 2021 Stock Offering On January 20, 2021, Orchid entered into an underwriting agreement (the “2021 Securities LLC (the “Underwriter”), relating to the offer and sale of 7,600,000 purchased the shares of the Company’s common stock from the Company pursuant to the 2021 5.20 share. In addition, the Company granted the Underwriter a 30-day option to 1,140,000 Company’s common stock on the same terms and conditions, which the Underwriter exercised of the offering of 8,740,000 of approximately $ 45.3 COVID-19 and CARES Act Update The Federal Housing Financing Agency (the “FHFA”) has instructed the GSEs on how they will handle servicer advances loans that back Agency RMBS that enter into forbearance, which should limit prepayments have resulted otherwise. On January 29, 2021, the CDC issued guidance extending March 31, 2021. In addition, on February 9, 2021, the FHFA announced that the foreclosure moratorium begun under the for loans backed by Fannie Mae and Freddie Mac and the eviction moratorium were extended until March 31, 2021. On February 16, 2021, the U.S. Housing extension of the FHA eviction and foreclosure moratorium to June 30, 2021. The moratoriums delay potential defaults on loans that would otherwise be bought out of Agency MBS pools. foreclosure or evictions, when and if it occurs, these loans may be removed from to occur, it would have the effect of delaying a prepayment on the Company’s securities until such time. As the majority of the Company’s Agency RMBS assets were acquired at a premium to par, this will tend to increase the realized yield on the asset in question. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | COVID-19 Beginning conditions about by COVID-19, margin calls various hedge at levels significantly 1.1 of Agency 31.4 with an aggregate 860.0 45.0 date of the The Agency RMBS and satisfied all Although the continues, year 2021. In addition, billions of pandemic, including loan payments. signed into many of the of the CARES Company’s business, Basis of The accompanying United States |
Use of Estimates | The preparation assumptions financial estimates. Management available as generally, and on than they |
Variable Interest Entity [Policy Text Block] | Variable Interest Entities (VIEs) We obtain interests in VIEs through our investments in mortgage-backed securities. nature and are not expected to result in us obtaining a controlling financial interest in consolidate these VIEs and we account for our interest in these VIEs as mortgage-backed information regarding our investments in mortgage-backed securities. value of the mortgage-backed securities. |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash Cash and cash three months borrowings, The following position that (in thousands) December 31, 2020 December 31, 2019 Cash and cash equivalents $ 220,143 $ 193,770 Restricted cash 79,363 84,885 Total cash, cash equivalents $ 299,506 $ 278,655 The Company balances may Deposit Insurance balances are Company limits any significant |
Mortgage-Backed Securities | Mortgage-Backed The Company Mae or Ginnie securities and IIO securities as structured RMBS. The Company has elected to account for option. Electing the fair value option requires the Company to record changes in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company are included date are removed Fair value between market transfer the advantageous broker quotes, Income on PT purchase are gains (losses) effective yield. and serves periods recognition reporting statements |
Derivative Financial Instruments | Derivative Financial Instruments The Company manage other Treasury Note options to may enter The Company are reported Derivative The Company’s hedges of Holding derivatives honor their receive payments collateral banks as counterparties, |
Financial Instruments | Financial The fair value statements swaptions value for The estimated other assets, liabilities these financial |
Repurchase Agreements | Repurchase The Company repurchase contractual |
Management Fees | Manager Compensation The Company company and Manager of which they Earnings Basic earnings average number stock or two-class in computing Income Taxes Orchid has qualified and elected to be taxed as a REIT under the Code. their REIT taxable income provided that they distribute to their stockholders basis. In addition, a REIT must meet other provisions of the Code to retain its tax Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions based on the facts, circumstances and information available at the end of each period. highly certain. uncertain tax positions is adjusted when new information is available, or Recent Accounting On January 1, 2020, we adopted Accounting Standards Update (“ASU”) 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit expected credit loss model). The Company’s adoption of this ASU did not have a material effect on its financial financial assets were already measured at fair value through earnings. |
Earnings Per Share | Earnings Basic earnings average number stock or two-class in computing |
Income Taxes | Income Taxes Orchid has qualified and elected to be taxed as a REIT under the Code. their REIT taxable income provided that they distribute to their stockholders basis. In addition, a REIT must meet other provisions of the Code to retain its tax Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions based on the facts, circumstances and information available at the end of each period. highly certain. uncertain tax positions is adjusted when new information is available, or |
Recent Accounting Pronouncements | Recent Accounting On January 1, 2020, we adopted Accounting Standards Update (“ASU”) 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit expected credit loss model). The Company’s adoption of this ASU did not have a material effect on its financial financial assets were already measured at fair value through earnings. In March 2020, the FASB issued ASU 2020-04 “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” on debt instruments, leases, derivatives, and other contracts, related to the expected market Offered Rate (“LIBOR”), and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to remeasurement at the modification date nor a reassessment of a previous accounting optional and may be elected over time, through December 31, 2022, as reference believe the adoption of this ASU will have a material impact on its financial statements. In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848). 848 to include all affected derivatives and give market participants the ability to apply certain hedge accounting expedients to derivative contracts affected by the discounting transition. In implementation guidance to permit a company to apply certain optional expedients margining, discounting or contract price alignment of certain derivatives as a result extends optional expedients to account for a derivative contract modified as a continuation of accounting when certain critical terms of a hedging relationship change to modifications guidance in ASU 2021-01 is effective immediately and available generally through December activities occur. The Company does not believe the adoption of this ASU will have a material impact on its financial statements. |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following position that (in thousands) December 31, 2020 December 31, 2019 Cash and cash equivalents $ 220,143 $ 193,770 Restricted cash 79,363 84,885 Total cash, cash equivalents $ 299,506 $ 278,655 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Residential Mortgage Backed Securities [Member] | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following (in thousands) December 31, 2020 December 31, 2019 Pass-Through RMBS Certificates: Adjustable-rate Mortgages $ - $ 1,014 Fixed-rate Mortgages 3,560,746 3,206,013 Fixed-rate CMOs 137,453 299,205 Total Pass-Through 3,698,199 3,506,232 Structured RMBS Certificates: Interest-Only Securities 28,696 60,986 Inverse Interest-Only Securities - 23,703 Total Structured 28,696 84,689 Total $ 3,726,895 $ 3,590,921 |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements and remaining maturities | As of December ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL December 31, 2020 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,112,969 $ 1,560,798 $ 55,776 $ 3,729,543 Repurchase agreement liabilities associated with these securities $ - $ 2,047,897 $ 1,494,500 $ 53,189 $ 3,595,586 Net weighted average borrowing rate - 0.23% 0.22% 0.30% 0.23% December 31, 2019 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,470,263 $ 1,005,517 $ 120,941 $ 3,596,721 Repurchase agreement liabilities associated with these securities $ - $ 2,361,378 $ 964,368 $ 122,360 $ 3,448,106 Net weighted average borrowing rate - 2.04% 1.94% 2.60% 2.03% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Financial Instruments [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The table December 31, (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2020 December 31, 2019 Assets Interest rate swaps Derivative assets, at fair value $ 7 $ - Payer swaptions (long positions) Derivative assets, at fair value 17,433 - TBA securities Derivative assets, at fair value 3,559 - Total derivative $ 20,999 $ - Liabilities Interest rate swaps Derivative liabilities, at fair value $ 24,711 $ 20,146 Payer swaptions (short positions) Derivative liabilities, at fair value 7,730 - TBA securities Derivative liabilities, at fair value 786 512 Total derivative $ 33,227 $ 20,658 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 489 $ 1,338 TBA securities Restricted cash 284 246 TBA securities Other liabilities (2,520) - Interest rate swaption contracts Other liabilities (3,563) - Interest rate swap contracts Restricted cash 19,761 17,450 Total margin $ 14,451 $ 19,034 |
Schedule of Eurodollar and T-Note futures positions | Eurodollar, Fed charged to a daily basis. 2020 and 2019. ($ in thousands) December 31, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.03% 0.18% $ (424) U.S. Treasury Note Futures Contracts (2) March 2021 5-year T-Note futures (Mar 2021 - Mar 2026 Hedge Period) $ 69,000 0.72% 0.67% $ (186) ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) U.S. Treasury Note Futures Contracts (2) March 2020 5 year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 Open equity represents the cumulative gains (losses) recorded on open (2) T-Note futures contracts were valued 126.16 118.61 the short positions were $ 87.1 81.8 |
Schedule of Interest Rate Swap Agreements [Table Text Block] | Under our The floating agreements below presents ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) December 31, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 5 years $ 200,000 0.67% 0.23% $ (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 |
Schedule Of Interest Rate Swaption Agreements [Table Text Block] | The table open swaption ($ 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, 2020 Payer Swaptions (long positions) ≤ 1 year $ 3,450 $ 5 2.5 500,000 0.95% 3 Month 4.0 > 1 year ≤ 2 years 13,410 17,428 17.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 17,433 11.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions (short positions) ≤ 1 year $ (4,660) $ (7,730) 5.4 $ 507,700 1.49% 3 Month 12.8 |
Schedule of To Be Announced Securities [TableTextBlock] | The following table summarizes our contracts to purchase and sell TBA ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) December 31, 2020 30-Year TBA securities: 2.0% $ 465,000 $ 479,531 $ 483,090 $ 3,559 3.0% (328,000) (342,896) (343,682) (786) Total $ 137,000 $ 136,635 $ 139,408 $ 2,773 December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) |
Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations | 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, 2020, 2019 and 2018. (in thousands) 2020 2019 2018 Eurodollar futures contracts (short positions) $ (8,337) $ (13,860) $ 7,170 U.S. Treasury Note futures contracts (short position) (4,707) (5,175) 5,507 Fed Funds futures contracts (short positions) - 177 - Interest rate swaps (66,212) (26,582) 8,609 Receiver swaptions - - 105 Payer swaptions (long positions) 98 (1,379) (1,607) Payer swaptions (short positions) (3,070) - - TBA securities (short positions) (6,719) (6,264) 4,327 TBA securities (long positions) 9,950 1,907 200 U.S. Treasury securities (short positions) (95) - - Total $ (79,092) $ (51,176) $ 24,311 |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Schedule of assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled | Assets Pledged The table including securities (in thousands) December 31, 2020 December 31, 2019 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,692,811 $ - $ 3,692,811 $ 3,500,394 $ - $ 3,500,394 Structured RMBS - fair value 27,095 - 27,095 83,960 - 83,960 Accrued interest on pledged securities 9,636 - 9,636 12,367 - 12,367 Restricted cash 58,829 20,534 79,363 65,851 19,034 84,885 Total $ 3,788,371 $ 20,534 $ 3,808,905 $ 3,662,572 $ 19,034 $ 3,681,606 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged The table agreements (in thousands) December 31, 2020 December 31, 2019 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 120 $ 6,083 $ 6,203 $ 1,418 $ - $ 1,418 U.S. Treasury securities - fair value 253 - 253 - - - Total $ 373 $ 6,083 $ 6,456 $ 1,418 $ - $ 1,418 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting of Assets [Table Text Block] | The following presented (in thousands) Offsetting of Assets Gross Amount Not Net Amount Offset in the Balance Sheet of Assets Financial Gross Amount Gross Amount Presented Instruments Cash of Recognized Offset in the in the Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2020 Interest rate swaps $ 7 $ - $ 7 $ - $ - $ 7 Interest rate swaptions 17,433 - 17,433 - (3,563) 13,870 TBA securities 3,559 - 3,559 - (2,520) 1,039 $ 20,999 $ - $ 20,999 $ - $ (6,083) $ 14,916 |
Offsetting of Liabilties [Table Text Block] | (in thousands) Offsetting of Liabilities Gross Amount Not Net Amount Offset in the Balance Sheet of Liabilities Financial Gross Amount Gross Amount Presented Instruments of Recognized Offset in the in the Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral Collateral Amount December 31, 2020 Repurchase Agreements $ 3,595,586 $ - $ 3,595,586 $ (3,536,757) $ (58,829) $ - Interest rate swaps 24,711 - 24,711 - (19,761) 4,950 Interest rate swaptions 7,730 - 7,730 - - - TBA securities 786 - 786 - (284) 502 $ 3,628,813 $ - $ 3,628,813 $ (3,536,757) $ (78,874) $ 5,452 December 31, 2019 Repurchase Agreements $ 3,448,106 $ - $ 3,448,106 $ (3,382,255) $ (65,851) $ - Interest rate swaps 20,146 - 20,146 - (17,450) 2,696 TBA securities 512 - 512 - (246) 266 $ 3,468,764 $ - $ 3,468,764 $ (3,382,255) $ (83,547) $ 2,962 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Capital Stock [Abstract] | |
Schedule of completed public offerings of shares of common stock | Common Stock During 2020 ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2020 At the Market Offering Program (3) First Quarter $ 6.23 3,170,727 $ 19,447 At the Market Offering Program (3) Third Quarter 5.15 3,073,326 15,566 At the Market Offering Program (3) Fourth Quarter 5.41 6,775,187 36,037 13,019,240 $ 71,050 2019 At the Market Offering Program (3) First Quarter $ 6.84 1,267,894 $ 8,503 At the Market Offering Program (3) Second Quarter 6.70 4,337,931 28,495 At the Market Offering Program (3) Third Quarter 6.37 1,771,301 11,098 Follow-on Offering (3) Third Quarter 6.35 7,000,000 44,218 14,377,126 $ 92,314 Weighted average price received per share is before deducting (2) Net proceeds are net of the underwriters’ discount, if applicable, and (3) As of December 31, 2020, the Company had entered into eight equity distribution because all shares were sold or were replaced with a subsequent agreement. |
Schedul of cash dividends declared on the Company's common stock | Cash Dividends The table below presents the cash dividends declared on the Company’s common stock. (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 0.790 53,570 2021 - YTD (1) 0.130 11,079 Totals $ 11.785 $ 353,042 On January 14, 2021, the Company declared a dividend of $0.065 per Company declared a dividend of $0.065 per share to be paid on March is estimated based on the number of shares outstanding at February but are not reflected in the Company’s financial statements as of December |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule of Performance Units outstanding | ($ in thousands, except per share data) 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 19,021 $ 7.78 43,672 $ 8.34 Forfeited (1,607) 7.45 - - Vested and issued (12,860) 7.93 (24,651) 8.78 Unvested, end of period 4,554 $ 7.45 19,021 $ 7.78 Compensation expense during period $ 38 $ 115 Unrecognized compensation expense, end of period $ 4 $ 42 Intrinsic value, end of period $ 24 $ 111 Weighted-average remaining vesting term (in years) 0.4 0.8 |
Schedule of Fully Vested Deferred Stock Units | The following table presents information related to the DSUs outstanding during the years ($ in thousands, except per share data) 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 43,570 $ 6.56 12,434 $ 7.37 Granted and vested 47,376 4.41 31,136 6.23 Outstanding, end of period 90,946 $ 5.44 43,570 $ 6.56 Compensation expense during period $ 180 $ 180 Intrinsic value, end of period $ 473 $ 255 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table (in thousands, except per-share information) 2020 2019 2018 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net income (loss) - Basic and diluted $ 2,128 $ 24,265 $ (44,387) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 76,073 63,062 49,132 Unvested dividend eligible share based compensation outstanding at the balance sheet date 96 63 - Effect of weighting (8,958) (6,797) 3,066 Weighted average shares-basic and diluted 67,211 56,328 52,198 Net income (loss) per common share: Basic and diluted $ 0.03 $ 0.43 $ (0.85) Anti-dilutive incentive shares not included in calculation. - - 56 |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following 2019. (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, 2020 Mortgage-backed securities $ - $ 3,726,895 $ - Interest rate swaps - (24,704) - Interest rate swaptions - 9,703 - TBA securities - 2,773 - December 31, 2019 Mortgage-backed securities $ - $ 3,590,921 $ - Interest rate swaps - (20,146) - TBA securities - (512) - |
QUARTERLY RESULTS - (Tables)
QUARTERLY RESULTS - (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financia lInformation [TableTextBlock] | NOTE 14. The following (in thousands, except per share information) Quarter Ended March 31, 2020 June 30, 2020 September 30, 2020 December 31, 2020 Interest income $ 35,671 $ 27,258 $ 27,223 $ 25,893 Interest expense (16,523) (4,479) (2,043) (2,011) Net interest income 19,148 22,779 25,180 23,882 Losses (gains) (108,206) 28,749 5,745 (4,605) Net portfolio income (loss) (89,058) 51,528 30,925 19,277 Expenses: Management fees and overhead expenses 1,724 1,616 1,629 1,826 Other expenses 417 1,140 1,220 972 Total expenses 2,141 2,756 2,849 2,798 Net income (loss) $ (91,199) $ 48,772 $ 28,076 $ 16,479 Basic net (loss) income per share $ (1.41) $ 0.74 $ 0.42 $ 0.23 Diluted net (loss) income per share $ (1.41) $ 0.73 $ 0.42 $ 0.23 Weighted Average Shares Outstanding 64,590 66,310 67,302 70,497 Dividends declared per share $ 0.240 $ 0.165 $ 0.190 $ 0.195 Quarter Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Interest income $ 32,433 $ 36,455 $ 35,907 $ 37,529 Interest expense (18,892) (22,431) (22,321) (20,022) Net interest income 13,541 14,024 13,586 17,507 Losses (748) (7,670) (19,431) 3,841 Net portfolio income (loss) 12,793 6,354 (5,845) 21,348 Expenses: Management fees and overhead expenses 1,608 1,653 1,791 1,856 Other expenses 588 1,168 841 880 Total expenses 2,196 2,821 2,632 2,736 Net income (loss) $ 10,597 $ 3,533 $ (8,477) $ 18,612 Basic and diluted net income (loss) per share $ 0.22 $ 0.07 $ (0.14) $ 0.29 Weighted Average Shares Outstanding 48,905 52,601 60,419 63,124 Dividends declared per share $ 0.24 $ 0.24 $ 0.24 $ 0.24 |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | Jan. 25, 2021 | Aug. 02, 2019 | Feb. 26, 2021 | Dec. 31, 2020 | Aug. 03, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Aug. 11, 2019 |
Subsidiary, Sale of Stock [Line Items] | |||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 71,050,000 | $ 92,314,000 | $ 0 | ||||||
Stock Issued During Period, Value, New Issues | $ 71,050,000 | $ 92,314,000 | |||||||
Total shares issued under distribution agreement | 13,019,240 | 14,377,126 | |||||||
At the Market Offering Program [Member] | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 51,600,000 | $ 19,400,000 | $ 123,100,000 | ||||||
Stock Issued During Period, Value, New Issues | $ 1,600,000 | $ 52,500,000 | $ 19,800,000 | $ 125,000,000 | |||||
Total shares issued under distribution agreement | 308,048 | 9,848,513 | 3,170,727 | 15,123,178 | |||||
At the Market Offering Program [Member] | Maximum [Member] | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Stock Issued During Period, Value, New Issues | $ 150,000,000 | $ 200,000,000 | $ 125,000,000 | ||||||
Follow-on Offering [Member] | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 45,300,000 | $ 44,200,000 | |||||||
Total shares issued under distribution agreement | 8,740,000 | 7,000,000 | |||||||
Share Price | $ 5.20 | $ 6.3535 | |||||||
Follow-on Offering [Member] | Maximum [Member] | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Total shares issued under distribution agreement | 7,000,000 | ||||||||
Share Price | $ 6.55 |
ORGANIZATION AND SIGNIFICANT _3
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - COVID-19 Impact (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
COVID-19 Impact [Line Items] | |||
Proceeds From Sale Of Mortgage Backed Securities MBS Categorized As Trading | $ 4,200,536 | $ 3,321,206 | $ 3,885,817 |
Marketable Securities, Realized Gain (Loss) | (24,986) | (10,877) | (30,289) |
Gain Loss On Derivative Instruments Held For Trading Purposes Net | (79,092) | (51,176) | 24,311 |
COVID-19 [Member] | |||
COVID-19 Impact [Line Items] | |||
Proceeds From Sale Of Mortgage Backed Securities MBS Categorized As Trading | 1,100,000 | ||
Marketable Securities, Realized Gain (Loss) | (31,400) | ||
Swap [Member] | |||
COVID-19 Impact [Line Items] | |||
Gain Loss On Derivative Instruments Held For Trading Purposes Net | (66,212) | $ (26,582) | $ 8,609 |
Swap [Member] | COVID-19 [Member] | |||
COVID-19 Impact [Line Items] | |||
Terminated Swap Positions Notional | 860,000 | ||
Gain Loss On Derivative Instruments Held For Trading Purposes Net | $ (45,000) |
ORGANIZATION AND SIGINIFICANT A
ORGANIZATION AND SIGINIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 220,143 | $ 193,770 | ||
Restricted cash | 79,363 | 84,885 | ||
Total cash, cash equivalents and restricted cash | $ 299,506 | $ 278,655 | $ 126,263 | $ 246,712 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 3,726,895 | $ 3,590,921 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,698,199 | 3,506,232 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 28,696 | 84,689 |
Adjustable-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 0 | 1,014 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,560,746 | 3,206,013 |
Collateralized Mortgage Obligations [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 137,453 | 299,205 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 28,696 | 60,986 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 0 | $ 23,703 |
REPURCHASE AGREEMENTS AND REVER
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS (Narrative) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | $ 79,363 | $ 84,885 |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Aggregate amount at risk with all counterparties | 176,300 | |
Restricted Cash And Cash Equivalents At Carrying Value | $ 58,829 | $ 65,851 |
REPURCHASE AGREEMENTS AND REV_2
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS - Remaining Maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 3,729,543 | $ 3,596,721 |
Repurchase agreement liabilities associated with these liabilities | $ 3,595,586 | $ 3,448,106 |
Net weighted average borrowing rate | 0.23% | 2.03% |
Overnight (1 Day or Less) [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 0 | $ 0 |
Repurchase agreement liabilities associated with these liabilities | $ 0 | $ 0 |
Net weighted average borrowing rate | 0.00% | 0.00% |
Between 2 and 30 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 2,112,969 | $ 2,470,263 |
Repurchase agreement liabilities associated with these liabilities | $ 2,047,897 | $ 2,361,378 |
Net weighted average borrowing rate | 0.23% | 2.04% |
Between 31 and 90 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,560,798 | $ 1,005,517 |
Repurchase agreement liabilities associated with these liabilities | $ 1,494,500 | $ 964,368 |
Net weighted average borrowing rate | 0.22% | 1.94% |
Greater Than 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 55,776 | $ 120,941 |
Repurchase agreement liabilities associated with these liabilities | $ 53,189 | $ 122,360 |
Net weighted average borrowing rate | 0.30% | 2.60% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 20,999 | $ 0 |
Liabilities, at Fair Value | 33,227 | 20,658 |
Restricted cash | 79,363 | 84,885 |
Other Liabilities | 7,188 | 1,041 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 20,999 | 0 |
Liabilities, at Fair Value | 33,227 | 20,658 |
Restricted cash | 14,451 | 19,034 |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 7 | 0 |
Liabilities, at Fair Value | 24,711 | 20,146 |
Restricted cash | 19,761 | 17,450 |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 3,559 | 0 |
Liabilities, at Fair Value | 786 | 512 |
Restricted cash | 284 | 246 |
Other Liabilities | 2,520 | 0 |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 489 | 1,338 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Other Liabilities | 3,563 | 0 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 7,730 | 0 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | $ 17,433 | $ 0 |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - Short [Member] - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Year 2020 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 500,000,000 | |
Derivative Entry Rate | 2.97% | |
Locked-In LIBOR Rate | 1.67% | |
Open Equity | $ (6,505,000) | |
Year 2020 Expiration [Member] | Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 69,000,000 | |
Derivative Entry Rate | 1.96% | |
Locked-In LIBOR Rate | 2.06% | |
Open Equity | $ 302,000 | |
Dollar Price | 118.61 | |
Contract Value | $ 81,800,000 | |
Year 2021 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 50,000,000 | |
Derivative Entry Rate | 1.03% | |
Locked-In LIBOR Rate | 0.18% | |
Open Equity | $ (424,000) | |
Year 2021 Expiration [Member] | Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 69,000,000 | |
Derivative Entry Rate | 0.72% | |
Locked-In LIBOR Rate | 0.67% | |
Open Equity | $ (186,000) | |
Dollar Price | 126.16 | |
Contract Value | $ 87,100,000 |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - Swap [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 820,000 | $ 1,270,000 |
Average Fixed Pay Rate | 1.14% | 2.05% |
Average Receive Rate | 0.23% | 1.90% |
Net Estimated Fair Value | $ (24,704) | $ (20,146) |
Average Maturity | 4 years 3 months 18 days | 3 years 9 months 18 days |
1-3 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 360,000 | |
Average Fixed Pay Rate | 2.03% | |
Average Receive Rate | 1.93% | |
Net Estimated Fair Value | $ (3,680) | |
Average Maturity | 2 years 3 months 18 days | |
3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 620,000 | $ 910,000 |
Average Fixed Pay Rate | 1.29% | 2.03% |
Average Receive Rate | 0.22% | 1.92% |
Net Estimated Fair Value | $ (23,760) | $ (16,466) |
Average Maturity | 3 years 7 months 6 days | 4 years 4 months 24 days |
More Than Five Years [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 200,000 | |
Average Fixed Pay Rate | 0.67% | |
Average Receive Rate | 0.23% | |
Net Estimated Fair Value | $ (944) | |
Average Maturity | 6 years 4 months 24 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - Payer Swaption [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Long [Member] | |
Derivatives, Fair Value [Line Items] | |
Swaption Cost | $ 16,860 |
Net Estimated Fair Value | $ 17,433 |
Derivative Instruments Average Months To Expiration | 11 months |
Notional Amount | $ 1,175,000 |
Derivative Average Fixed Interest Rate | 1.26% |
Derivative Avergage Receive Rate | 3 Month |
Term (Years) | 9 years |
Less Than Or Equal To One Year [Member] | Short [Member] | |
Derivatives, Fair Value [Line Items] | |
Swaption Cost | $ (4,660) |
Net Estimated Fair Value | $ (7,730) |
Derivative Instruments Average Months To Expiration | 5 months 12 days |
Notional Amount | $ 507,700 |
Derivative Average Fixed Interest Rate | 1.49% |
Derivative Avergage Receive Rate | 3 Month |
Term (Years) | 12 years 9 months 18 days |
Less Than Or Equal To One Year [Member] | Long [Member] | |
Derivatives, Fair Value [Line Items] | |
Swaption Cost | $ 3,450 |
Net Estimated Fair Value | $ 5 |
Derivative Instruments Average Months To Expiration | 2 months 15 days |
Notional Amount | $ 500,000 |
Derivative Average Fixed Interest Rate | 0.95% |
Derivative Avergage Receive Rate | 3 Month |
Term (Years) | 4 years |
One Year To Two Years [Member] | Long [Member] | |
Derivatives, Fair Value [Line Items] | |
Swaption Cost | $ 13,410 |
Net Estimated Fair Value | $ 17,428 |
Derivative Instruments Average Months To Expiration | 17 months 12 days |
Notional Amount | $ 675,000 |
Derivative Average Fixed Interest Rate | 1.49% |
Derivative Avergage Receive Rate | 3 Month |
Term (Years) | 12 years 9 months 18 days |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - 30 Year [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 137,000 | $ 300,000 |
Cost Basis | 136,635 | (315,426) |
Market Value Of TBA Contract | 139,408 | (315,938) |
Net Estimated Fair Value | 2,773 | (512) |
2.0% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 465,000 | |
Cost Basis | 479,531 | |
Market Value Of TBA Contract | 483,090 | |
Net Estimated Fair Value | 3,559 | |
4.5% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 300,000 | |
Cost Basis | (315,426) | |
Market Value Of TBA Contract | (315,938) | |
Net Estimated Fair Value | $ (512) | |
3.0% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 328,000 | |
Cost Basis | (342,896) | |
Market Value Of TBA Contract | (343,682) | |
Net Estimated Fair Value | $ (786) |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | $ (79,092) | $ (51,176) | $ 24,311 |
Eurodollar Future [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (8,337) | (13,860) | 7,170 |
Treasury Note Future [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (4,707) | (5,175) | 5,507 |
Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (66,212) | (26,582) | 8,609 |
Payer Swaption [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (3,070) | 0 | 0 |
Payer Swaption [Member] | Long [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 98 | (1,379) | (1,607) |
TBA Contracts [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (6,719) | (6,264) | 4,327 |
TBA Contracts [Member] | Long [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 9,950 | 1,907 | 200 |
US Treasury Securities [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (95) | 0 | 0 |
Fed Funds Future [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | $ 0 | $ 177 | $ 0 |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 3,719,906 | $ 3,584,354 |
Accrued interest receivable | 9,721 | 12,404 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 414 | 0 |
Restricted cash | 79,363 | 84,885 |
Total Assets Pledged To Counterparties | 3,808,905 | 3,681,606 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 58,829 | 65,851 |
Total Assets Pledged To Counterparties | 3,788,371 | 3,662,572 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 20,534 | 19,034 |
Total Assets Pledged To Counterparties | 20,534 | 19,034 |
Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 9,636 | 12,367 |
Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,692,811 | 3,500,394 |
Residential Mortgage Backed Securities [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 27,095 | 83,960 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 9,636 | 12,367 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,692,811 | 3,500,394 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 27,095 | 83,960 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 0 | $ 0 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 6,456 | $ 1,418 |
Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 6,203 | 1,418 |
US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 253 | 0 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 373 | 1,418 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 120 | 1,418 |
Repurchase Agreement [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 253 | 0 |
Derivative Agreements [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 6,083 | 0 |
Derivative Agreements [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 6,083 | 0 |
Derivative Agreements [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 0 | $ 0 |
OFFSETTING ASSETS AND LIABILI_3
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Assets (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | $ 20,999 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 20,999 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (6,083) |
Net Amount Of Assets | 14,916 |
Payer Swaption [Member] | |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | 17,433 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 17,433 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (3,563) |
Net Amount Of Assets | 13,870 |
TBA Contracts [Member] | |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | 3,559 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 3,559 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (2,520) |
Net Amount Of Assets | 1,039 |
Swap [Member] | |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | 7 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 7 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 |
Net Amount Of Assets | $ 7 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 3,628,813 | $ 3,468,764 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,628,813 | 3,468,764 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,536,757) | (3,382,255) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (78,874) | (83,547) |
Net Amount Of Liabilities | 5,452 | 2,962 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 3,595,586 | 3,448,106 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,595,586 | 3,448,106 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,536,757) | (3,382,255) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (58,829) | (65,851) |
Net Amount Of Liabilities | 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 24,711 | 20,146 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 24,711 | 20,146 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (19,761) | (17,450) |
Net Amount Of Liabilities | 4,950 | 2,696 |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 786 | 512 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 786 | 512 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (284) | (246) |
Net Amount Of Liabilities | 502 | $ 266 |
Payer Swaption [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 7,730 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 7,730 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | |
Net Amount Of Liabilities | $ 0 |
CAPITAL STOCK - Completed publi
CAPITAL STOCK - Completed public offerings ofcommon stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||
Dec. 31, 2020 | Sep. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Stock Issued During Period Shares New Issues | 13,019,240 | 14,377,126 | ||||||
Stock Issued During Period, Value, New Issues | $ 71,050 | $ 92,314 | ||||||
At the Market Offering Program [Member] | ||||||||
Weighted Average Price Received Per Share | $ 5.41 | $ 5.15 | $ 6.23 | $ 6.37 | $ 6.70 | $ 6.84 | $ 5.41 | |
Stock Issued During Period Shares New Issues | 6,775,187 | 3,073,326 | 3,170,727 | 1,771,301 | 4,337,931 | 1,267,894 | ||
Stock Issued During Period, Value, New Issues | $ 36,037 | $ 15,566 | $ 19,447 | $ 11,098 | $ 28,495 | $ 8,503 | ||
Follow-on Offering [Member] | ||||||||
Weighted Average Price Received Per Share | $ 6.35 | |||||||
Stock Issued During Period Shares New Issues | 7,000,000 | |||||||
Stock Issued During Period, Value, New Issues | $ 44,218 |
CAPITAL STOCK - Share Repurchas
CAPITAL STOCK - Share Repurchase Progam (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | 65 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2020 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Line Items] | ||||||
Stock Repurchased and Retired During Period, Shares | 19,891 | 470,000 | 3,979,000 | |||
Stock Repurchased and Retired During Period, Value | $ (68) | $ (3,024) | $ (26,423) | |||
Share Repurchase Program [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Stock Repurchased and Retired During Period, Shares | 19,891 | 469,975 | 3,979,402 | 5,685,511 | ||
Stock Repurchased and Retired During Period, Value | $ 100 | $ 3,000 | $ 26,400 | $ 40,400 | ||
Weighted Average Share Repurchase Price | $ 3.42 | $ 6.43 | $ 6.64 | $ 7.10 | ||
Share Repurchase Program [Member] | Maximum [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Share Repurchase | 2,000,000 | |||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 837,311 | 837,311 | 783,757 | |||
Program Increase [Member] | Maximum [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Share Repurchase | 4,522,822 | |||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 5,306,579 |
CAPITAL STOCK - Cash dividends
CAPITAL STOCK - Cash dividends declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 2 Months Ended | 3 Months Ended | 12 Months Ended | 95 Months Ended | ||||||||||||||
Feb. 26, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | 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, 2020 | |
Dividends Payable [Line Items] | ||||||||||||||||||
Per Share Amount | $ 0.195 | $ 0.190 | $ 0.165 | $ 0.240 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.79 | $ 0.96 | $ 1.07 | |||||||
Dividend Declared [Member] | ||||||||||||||||||
Dividends Payable [Line Items] | ||||||||||||||||||
Per Share Amount | $ 0.790 | $ 0.960 | $ 1.070 | $ 1.680 | $ 1.680 | $ 1.920 | $ 2.160 | $ 1.395 | $ 11.785 | |||||||||
Total | $ 53,570 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 353,042 | |||||||||
Dividend Declared [Member] | Subsequent Event [Member] | ||||||||||||||||||
Dividends Payable [Line Items] | ||||||||||||||||||
Per Share Amount | $ 0.130 | |||||||||||||||||
Total | $ 11,079 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) | 12 Months Ended |
Dec. 31, 2020shares | |
Employee Benefits And Share Based Compensation [Abstract] | |
Maximum Number of Shares to Be Issued the Plan | 4,000,000 |
Percentage of Outstanding Stock Limitation | 10.00% |
STOCK INCENTIVE PLAN - (Narrati
STOCK INCENTIVE PLAN - (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Performance Shares [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 19,021 | 43,672 |
Forfeited | 1,607 | 0 |
Vested | 12,860 | 24,651 |
Nonvested - Ending Balance | 4,554 | 19,021 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 7.78 | $ 8.34 |
Forfeited | 7.45 | 0 |
Vested | 7.93 | 8.78 |
Nonvested - Ending Balance | $ 7.45 | $ 7.78 |
Intrinsic Value of Nonvested | $ 24 | $ 111 |
Weighted Average Remaining Term | 4 months 24 days | 9 months 18 days |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 4 | $ 42 |
Share Based Compensation | $ 38 | $ 115 |
Deferred Stock Units [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 43,570 | 12,434 |
Granted | 47,376 | 31,136 |
Nonvested - Ending Balance | 90,946 | 43,570 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 6.56 | $ 7.37 |
Granted | 4.41 | 6.23 |
Nonvested - Ending Balance | $ 5.44 | $ 6.56 |
Intrinsic Value of Nonvested | $ 473 | $ 255 |
Share Based Compensation | $ 180 | $ 180 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | |||||||||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 2,128 | $ 24,265 | $ (44,387) | ||||||||
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | |||||||||||
Common Shares Outstanding | 76,073,000 | 63,062,000 | 49,132,000 | ||||||||
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date | 96,000 | 63,000 | 0 | ||||||||
Effect of Weighting | (8,958,000) | (6,797,000) | 3,066,000 | ||||||||
Weighted Average Shares - Basic and Diluted | 70,497,000 | 67,302,000 | 66,310,000 | 64,590,000 | 63,124,000 | 60,419,000 | 52,601,000 | 48,905,000 | 67,210,815 | 56,328,027 | 52,198,175 |
Income (Loss) Per Share - Basic and Diluted | $ 0.23 | $ 0.42 | $ 0.74 | $ (1.41) | $ 0.29 | $ (0.14) | $ 0.07 | $ 0.22 | $ 0.03 | $ 0.43 | $ (0.85) |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 0 | 0 | 56,000 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,726,895 | $ 3,590,921 |
Derivative, Fair Value, Net | 20,999 | 0 |
Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | |
Fair Value, Inputs, Level 1 [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,726,895 | 3,590,921 |
Fair Value, Inputs, Level 2 [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (24,704) | (20,146) |
Fair Value, Inputs, Level 2 [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 9,703 | |
Fair Value, Inputs, Level 2 [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 2,773 | (512) |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | |
Fair Value, Inputs, Level 3 [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | $ 0 | $ 0 |
RELATED PARTY TRANSACTIONS - Ma
RELATED PARTY TRANSACTIONS - Management Agreement (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Due to affiliates | $ 632 | $ 622 | |
Bimini Advisors, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Termination Date | February 20, 2022 | ||
Automatic Renewal Period Of Management Agreement | 1 year | ||
Management Fees And Allocated Expenses | $ 6,800 | $ 6,900 | $ 7,800 |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) - Bimini Capital Management Inc [Member] | Dec. 31, 2020shares |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 2,595,357 |
Entity Ownership Percentage | 3.40% |
QUARTERLY RESULTS - (Details)
QUARTERLY RESULTS - (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest Income | $ 25,893 | $ 27,223 | $ 27,258 | $ 35,671 | $ 37,529 | $ 35,907 | $ 36,455 | $ 32,433 | |||
Repurchase Agreements Interest Expense Amount | 2,011 | 2,043 | 4,479 | 16,523 | 20,022 | 22,321 | 22,431 | 18,892 | $ 25,056 | $ 83,666 | $ 70,360 |
Net Interest Income | 23,882 | 25,180 | 22,779 | 19,148 | 17,507 | 13,586 | 14,024 | 13,541 | |||
Realized And Unrealized Gains | (4,605) | 5,745 | 28,749 | (108,206) | 3,841 | (19,431) | (7,670) | (748) | |||
Portfolio Income | 19,277 | 30,925 | 51,528 | (89,058) | 21,348 | (5,845) | 6,354 | 12,793 | |||
Management Fees | 1,826 | 1,629 | 1,616 | 1,724 | 1,856 | 1,791 | 1,653 | 1,608 | |||
Other Expenses | 972 | 1,220 | 1,140 | 417 | 880 | 841 | 1,168 | 588 | |||
CostsAndExpenses | 2,798 | 2,849 | 2,756 | 2,141 | 2,736 | 2,632 | 2,821 | 2,196 | |||
Net Income Loss | $ 16,479 | $ 28,076 | $ 48,772 | $ (91,199) | $ 18,612 | $ (8,477) | $ 3,533 | $ 10,597 | |||
Earnings Per Share Diluted | $ 0.23 | $ 0.42 | $ 0.73 | $ (1.41) | $ 0.29 | $ (0.14) | $ 0.07 | $ 0.22 | |||
Weighted Average Number Of Basic Shares Outstanding | 70,497,000 | 67,302,000 | 66,310,000 | 64,590,000 | 63,124,000 | 60,419,000 | 52,601,000 | 48,905,000 | 67,210,815 | 56,328,027 | 52,198,175 |
Dividends Declared Per Common Share | $ 0.195 | $ 0.190 | $ 0.165 | $ 0.240 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.79 | $ 0.96 | $ 1.07 |
SUBSEQUENT EVENTS - (Details)
SUBSEQUENT EVENTS - (Details) - USD ($) $ / shares in Units, $ in Thousands | Jan. 25, 2021 | Aug. 02, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Subsidiary, Sale of Stock [Line Items] | |||||
Proceeds From Issuance Of Common Stock | $ 71,050 | $ 92,314 | $ 0 | ||
Stock Issued During Period, Value, New Issues | $ 71,050 | $ 92,314 | |||
Stock Issued During Period Shares New Issues | 13,019,240 | 14,377,126 | |||
Follow-on Offering [Member] | |||||
Subsidiary, Sale of Stock [Line Items] | |||||
Proceeds From Issuance Of Common Stock | $ 45,300 | $ 44,200 | |||
Stock Issued During Period Shares New Issues | 8,740,000 | 7,000,000 | |||
Share Price | $ 5.20 | $ 6.3535 | |||
Follow-on Offering [Member] | Original Offering Terms [Member] | |||||
Subsidiary, Sale of Stock [Line Items] | |||||
Stock Issued During Period Shares New Issues | 7,600,000 | ||||
Follow-on Offering [Member] | Offering Option Terms [Member] | |||||
Subsidiary, Sale of Stock [Line Items] | |||||
Stock Issued During Period Shares New Issues | 1,140,000 |