DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 25, 2022 | Jun. 30, 2021 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2021 | ||
Document Fiscal Year Focus | 2021 | ||
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 | 176,993,049 | ||
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 | $ 595,104,430 | ||
DocumentsIncorporatedByReferenceTextBlock | Portions of the Registrant's of the Registrant, are incorporated by reference | ||
Auditor Name | BDO USA, LLP | ||
Auditor Firm Id | 243 | ||
Auditor Location | West Palm Beach, FL | ||
ICFR | true |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | ||
Mortgage-backed securities | $ 6,511,095 | $ 3,726,895 |
U.S. Treasury Notes | 37,175 | 0 |
Cash and cash equivalents | 385,143 | 220,143 |
Restricted cash | 65,299 | 79,363 |
Accrued interest receivable | 18,859 | 9,721 |
Derivative Assets | 50,786 | 20,999 |
Receivable for securities sold, pledged to counterparties | 0 | 414 |
Other assets | 320 | 516 |
Total Assets | 7,068,677 | 4,058,051 |
Liabilities | ||
Outstanding repurchase obligations | 6,244,106 | 3,595,586 |
Dividends Payable | 11,530 | 4,970 |
Derivitive Liabilities | 7,589 | 33,227 |
Accrued interest payable | 788 | 1,157 |
Due to affiliates | 1,062 | 632 |
Other Liabilities | 35,505 | 7,188 |
Total Liabilities | 6,300,580 | 3,642,760 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 1,770 | 761 |
Additional paid in capital | 849,081 | 432,524 |
Accumulated deficit | (82,754) | (17,994) |
Total Stockholders Equity | 768,097 | 415,291 |
Total Liabilities and Stockholders Equity | $ 7,068,677 | $ 4,058,051 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parentheticals) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
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 | 176,993,049 | 76,073,317 |
Mortgage Backed Securities | ||
Security Owned and Pledged as Collateral Fair Value | $ 6,506,372 | $ 3,719,906 |
US Treasury Notes | ||
Security Owned and Pledged as Collateral Fair Value | $ 29,740 | $ 0 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Statement [Abstract] | |||
Interest income | $ 134,700 | $ 116,045 | $ 142,324 |
Interest expense | 7,090 | 25,056 | 83,666 |
Net interest income | 127,610 | 90,989 | 58,658 |
Realized gains (losses) on mortgage-backed securities | (5,542) | (24,986) | (10,877) |
Unrealized gains (losses) on mortgage-backed securities | (198,454) | 25,761 | 38,045 |
(Losses) gains on derivative instruments | 26,877 | (79,092) | (51,176) |
Net portfolio income | (49,509) | 12,672 | 34,650 |
Management Fee Expense | 8,156 | 5,281 | 5,528 |
Allocated Overhead | 1,632 | 1,514 | 1,380 |
Compensation and related benefits | 1,132 | 38 | 115 |
Directors fees and liability insurance | 1,169 | 998 | 998 |
Audit, legal and other professional fees | 1,112 | 1,045 | 1,105 |
Direct REIT operating expenses | 1,475 | 1,057 | 997 |
Other administrative | 575 | 611 | 262 |
Total expenses | 15,251 | 10,544 | 10,385 |
Net income (loss) | $ (64,760) | $ 2,128 | $ 24,265 |
Basic and diluted net income (loss) per share | |||
Basic and Diluted | $ (0.54) | $ 0.03 | $ 0.43 |
Weighted Average Shares Outstanding | |||
Weighted Average Shares - Basic and Diluted | 121,144,326 | 67,210,815 | 56,328,027 |
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, 2018 | $ 336,079 | $ 491 | $ 379,975 | $ (44,387) |
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) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2018 | 49,132,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 14,377,000 | |||
Stock Issued During Period Shares Share Based Compensation | 23,000 | |||
Stock Repurchased and Retired During Period, Shares | 470,000 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2019 | 63,062,000 | |||
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 | 20,000 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2020 | 76,073,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ (64,760) | 0 | 0 | (64,760) |
Cash dividend declared | 97,601 | 0 | 97,601 | 0 |
Issuance of common stock pursuant to public offerings, net | 514,059 | 1,008 | 513,051 | 0 |
Amortization of stock based compensation | 1,108 | 1 | 1,107 | 0 |
Balances at Dec. 31, 2021 | $ 768,097 | $ 1,770 | $ 849,081 | $ (82,754) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 100,828,173 | |||
Stock Issued During Period Shares Share Based Compensation | 92,000 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2021 | 176,993,000 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
CASH FLOWS FROM OPERATING ACTIVITIES | |||
Net income (loss) | $ (64,760) | $ 2,128 | $ 24,265 |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Stock based compensation and equity plan amortization | 772 | 244 | 294 |
Realized and unrealized (gains) losses on mortgage-backed securities | 203,731 | (775) | (27,168) |
Fair Value Adjustments On U.S. Treasury Notes | (265) | 0 | 0 |
Derivative, Gain (Loss) on Derivative, Net | (35,350) | 58,891 | 45,207 |
Changes in operating assets and liabilities | |||
Accrued interest receivable | (9,138) | 2,683 | 837 |
Other assets | 196 | (446) | 80 |
Accrued interest payable | (369) | (9,944) | 4,656 |
Other liabilities | 663 | 2,583 | 22 |
Due to affiliates | 430 | 10 | (32) |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 96,440 | 55,374 | 48,161 |
From mortgage-backed securities investments | |||
Purchases | (6,430,725) | (4,859,434) | (4,241,822) |
Sales | 2,851,708 | 4,200,536 | 3,321,206 |
Principal repayments | 591,086 | 523,699 | 594,833 |
Purchases of U.S. Treasury Securities | 37,440 | 0 | 0 |
Net payments on reverse repurchase agreements | 0 | 30 | 0 |
Note proceeds from (payments on) derivative instruments | (8,571) | 64,171 | 29,023 |
NET CASH USED IN INVESTING ACTIVITIES | (3,016,800) | (199,340) | (354,806) |
CASH FLOWS FROM FINANCING ACTIVITIES | |||
Proceeds from repurchase agreements | 35,950,241 | 33,140,625 | 45,595,010 |
Principal payments on repurchase agreements | (33,301,721) | (32,993,145) | (45,171,956) |
Cash dividends | (90,984) | (53,645) | (53,307) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 514,059 | 71,050 | 92,314 |
Payments For Repurchase Of Common Stock | 299 | 68 | 3,024 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | 3,071,296 | 164,817 | 459,037 |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 150,936 | 20,851 | 152,392 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 299,506 | 278,655 | 126,263 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 450,442 | 299,506 | 278,655 |
Cash paid during the period for: | |||
Interest Paid | $ 7,458 | $ 35,000 | $ 79,010 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | NOTE 1. Organization Orchid Island and managing February November was the issuance On August 2, 2017, Orchid entered into an equity distribution agreement (the “August two sales agents pursuant to which the Company could offer and sell, from time to time, 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 shares of the Company’s common stock at a price to the public of 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, 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 August 2020. On August 4, 2020, Orchid entered into an equity distribution agreement (the “August four sales agents pursuant to which the Company could offer and sell, from time to time, up 150,000,000 shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately transactions. 27,493,650 gross proceeds of approximately $ 150.0 147.4 its termination in June 2021. On January 20, 2021, Orchid entered into an underwriting agreement (the “January Morgan Securities LLC (“J.P. Morgan”), relating to the offer and sale of 7,600,000 Morgan purchased the shares of the Company’s common stock from the Company pursuant Agreement at $ 5.20 1,140,000 21, 2021. The closing of the offering of 8,740,000 proceeds to the Company of approximately $ 45.2 estimated offering expenses. On March 2, 2021, Orchid entered into an underwriting agreement (the “March 2021 Underwriting relating to the offer and sale of 8,000,000 Company’s common stock from the Company pursuant to the March 2021 Underwriting 5.45 Company granted J.P. Morgan a 30-day option to purchase up to an additional 1,200,000 the same terms and conditions, which J.P. Morgan exercised in full on March 3, 2021. The closing of the offering of 9,200,000 of the Company’s common stock occurred on March 5, 2021, with proceeds to the Company 50.0 deduction of underwriting discounts and commissions and other estimated offering expenses. On June 22, 2021, Orchid entered into an equity distribution agreement (the “June sales agents pursuant to which the Company could offer and sell, from time to time, up to 250,000,000 shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately transactions. The Company issued a total of 49,407,336 gross proceeds of approximately $ 250.0 246.0 prior to its termination in October 2021. On October 29, 2021, Orchid entered into an equity distribution agreement (the four sales agents pursuant to which the Company may offer and sell, from time to time, up 250,000,000 shares of the Company’s common stock in transactions that are deemed to be “at the market” transactions. 15,835,700 Distribution Agreement for aggregate gross proceeds of approximately $ 78.3 77.0 after commissions and fees. Basis of The accompanying United States The preparation assumptions financial estimates. Management available 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 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 three months borrowings, The following position that (in thousands) December 31, 2021 December 31, 2020 Cash and cash equivalents $ 385,143 $ 220,143 Restricted cash 65,299 79,363 Total cash, cash equivalents $ 450,442 $ 299,506 The Company balances may Deposit Insurance balances are Company limits any significant Mortgage-Backed The Company obligations (“IIO”) securities to IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes, primarily to requirements of derivative counterparties. The Company has elected to account under the fair value option. Electing the fair value option requires the Company operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period is consistent with the underlying economics and how the portfolio is managed. The Company are included sheet date Fair value between market transfer advantageous broker quotes, markets. Income on present at reflected carrying value a return for future effective of RMBS in the accompanying Derivative Financial Instruments The Company manage other Treasury Note options to derivative The Company are reported Derivative The Company’s hedges of included in current period Holding derivatives honor their receive payments collateral banks as counterparties, Financial The fair statements swaptions value for The estimated other assets, liabilities these financial Repurchase The Company repurchase contractual Reverse 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 Stock-Based The Company and employees common stock non-employee award’s respective forfeitures Income Taxes Orchid elected and is organized and operated so as to qualify to be taxed as a REIT subject to federal income tax on their REIT taxable income provided that they distribute income on an annual basis. deductions for dividends paid and excluding net capital gain, and meet other requirements 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, Recent Accounting 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 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 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 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, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2. The following (in thousands) December 31, 2021 December 31, 2020 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 6,298,189 $ 3,560,746 Fixed-rate CMOs - 137,453 Total Pass-Through 6,298,189 3,698,199 Structured RMBS Certificates: Interest-Only Securities 210,382 28,696 Inverse Interest-Only Securities 2,524 - Total Structured 212,906 28,696 Total $ 6,511,095 $ 3,726,895 As of December collateral 2020. The following 2021, 2020 (in thousands) 2021 2020 2019 Total Total Total Carrying value of RMBS sold $ 2,857,250 $ 4,225,522 $ 3,332,083 Proceeds from sales of RMBS 2,851,708 4,200,536 3,321,206 Net (loss) gain on sales of RMBS $ (5,542) $ (24,986) $ (10,877) Gross gain on sales of RMBS $ 7,930 $ 8,678 $ 2,177 Gross loss on sales of RMBS (13,472) (33,664) (13,054) Net gain (loss) on sales of RMBS $ (5,542) $ (24,986) $ (10,877) |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 12 Months Ended |
Dec. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3. The Company generally 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, 2021 Fair market value of securities pledged, including accrued interest receivable $ - $ 4,624,396 $ 1,848,080 $ 52,699 $ 6,525,175 Repurchase agreement liabilities associated with these securities $ - $ 4,403,182 $ 1,789,327 $ 51,597 $ 6,244,106 Net weighted average borrowing rate - 0.15% 0.13% 0.15% 0.15% 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% In addition, 57.3 58.8 as of December If, during pledged assets, plus interest and cash posted by the Company as collateral. At December between the value of securities 338.3 million. at December |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Financial Instruments [Abstract] | |
Derivative Financial Instruments | NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS The table December (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2021 December 31, 2020 Assets Interest rate swaps Derivative assets, at fair value $ 29,293 $ 7 Payer swaptions (long positions) Derivative assets, at fair value 21,493 17,433 TBA securities Derivative assets, at fair value - 3,559 Total derivative $ 50,786 $ 20,999 Liabilities Interest rate swaps Derivative liabilities, at fair value $ 2,862 $ 24,711 Payer swaptions (short positions) Derivative liabilities, at fair value 4,423 7,730 TBA securities Derivative liabilities, at fair value 304 786 Total derivative $ 7,589 $ 33,227 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 8,035 $ 489 TBA securities Restricted cash - 284 TBA securities Other liabilities (856) (2,520) Interest rate swaption contracts Other liabilities (6,350) (3,563) Interest rate swap contracts Restricted cash - 19,761 Total margin $ 829 $ 14,451 Eurodollar, Fed charged to a daily basis. 2021 and ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) U.S. Treasury Note Futures Contracts (2) March 2022 5-year T-Note futures (Mar 2022 - Mar 2027 Hedge Period) $ 369,000 1.56% 1.62% $ 1,013 March 2022 10-year Ultra futures (Mar 2022 - Mar 2032 Hedge Period) $ 220,000 1.22% 1.09% $ (3,861) ($ 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) Open equity represents the cumulative gains (losses) recorded on open (2) 5-Year T-Note 120.98 126.16 values of the short positions were $ 446.4 87.1 futures contracts were valued at price of $ 146.44 322.2 December 31, 2021. 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, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64% 0.16% $ 21,788 4.0 Expiration > 5 years $ 400,000 1.16% 0.21% $ 4,643 7.3 $ 1,355,000 0.79% 0.18% $ 26,431 5.0 December 31, 2020 Expiration > 1 to ≤ 3 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 3 to ≤ 5 years 200,000 0.67% 0.23% (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 The table ($ 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, 2021 Payer Swaptions (long positions) ≤ 1 year $ 4,000 $ 1,575 3.2 400,000 1.66% 3 Month 5.0 > 1 year ≤ 2 years 32,690 19,918 18.4 1,258,500 2.46% 3 Month 14.1 $ 36,690 $ 21,493 14.7 $ 1,658,500 2.27% 3 Month 11.9 Payer Swaptions (short positions) ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 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, 2021 30-Year TBA securities: 3.0% $ (575,000) $ (595,630) $ (595,934) $ (304) Total $ (575,000) $ (595,630) $ (595,934) $ (304) 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 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, 2021, 2020 and 2019. (in thousands) 2021 2020 2019 Eurodollar futures contracts (short positions) $ (10) $ (8,337) $ (13,860) U.S. Treasury Note futures contracts (short position) (846) (4,707) (5,175) Fed Funds futures contracts (short positions) - - 177 Interest rate swaps 23,613 (66,212) (26,582) Payer swaptions (long positions) (2,580) 98 (1,379) Payer swaptions (short positions) 9,062 (3,070) - Interest rate floors 2,765 - - TBA securities (short positions) 3,432 (6,719) (6,264) TBA securities (long positions) (8,559) 9,950 1,907 U.S. Treasury securities (short positions) - (95) - Total $ 26,877 $ (79,092) $ (51,176) Credit Risk-Related Contingent Features The recognized in the event minimize this risk institutions pledge assets as collateral term of the derivative contract. In the event of a default our derivative equivalents pledged as collateral for our derivative instruments are included in It Mercantile collateral. As clearing party are presented as if these derivatives had been settled as of the reporting |
PLEDGED ASSETS
PLEDGED ASSETS | 12 Months Ended |
Dec. 31, 2021 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5. PLEDGED ASSETS Assets Pledged The table including (in thousands) December 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 6,294,102 $ - $ 6,294,102 $ 3,692,811 $ - $ 3,692,811 Structured RMBS - fair value 212,270 - 212,270 27,095 - 27,095 U.S. Treasury Notes - 29,740 29,740 - - - Accrued interest on pledged securities 18,804 13 18,817 9,636 - 9,636 Restricted cash 57,264 8,035 65,299 58,829 20,534 79,363 Total $ 6,582,440 $ 37,788 $ 6,620,228 $ 3,788,371 $ 20,534 $ 3,808,905 Assets Pledged The table as of December (in thousands) December 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 4,339 $ 7,206 $ 11,545 $ 120 $ 6,083 $ 6,203 U.S. Treasury securities - fair value - - - 253 - 253 Total $ 4,339 $ 7,206 $ 11,545 $ 373 $ 6,083 $ 6,456 PT RMBS because the corresponding |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 12 Months Ended |
Dec. 31, 2021 | |
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, 2021 Interest rate swaps $ 29,293 $ - $ 29,293 $ - $ - $ 29,293 Interest rate swaptions 21,493 - 21,493 - (6,350) 15,143 $ 50,786 $ - $ 50,786 $ - $ (6,350) $ 44,436 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, 2021 Repurchase Agreements $ 6,244,106 $ - $ 6,244,106 $ (6,186,842) $ (57,264) $ - Interest rate swaps 2,862 - 2,862 (2,862) - - Interest rate swaptions 4,423 - 4,423 - - 4,423 TBA securities 304 - 304 - - 304 $ 6,251,695 $ - $ 6,251,695 $ (6,189,704) $ (57,264) $ 4,727 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 - - 7,730 TBA securities 786 - 786 - (284) 502 $ 3,628,813 $ - $ 3,628,813 $ (3,536,757) $ (78,874) $ 13,182 The amounts asset or typically and derivative |
CAPITAL STOCK
CAPITAL STOCK | 12 Months Ended |
Dec. 31, 2021 | |
Capital Stock [Abstract] | |
Capital Stock | NOTE 7. Common Stock During 2021 ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2021 At the Market Offering Program (3) First Quarter $ 5.10 308,048 $ 1,572 Follow-on Offerings First Quarter 5.31 17,940,000 95,336 At the Market Offering Program (3) Second Quarter 5.40 23,087,089 124,746 At the Market Offering Program (3) Third Quarter 4.94 35,818,338 177,007 At the Market Offering Program (3) Fourth Quarter 4.87 23,674,698 115,398 100,828,173 $ 514,059 2020 At the Market Offering Program (3) First Quarter $ 6.23 3,170,727 $ 19,447 At the Market Offering Program (3) Second Quarter - - - 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 Weighted average price received per share is after deducting the underwriters’ (2) Net proceeds are net of the underwriters’ discount, if applicable, and other (3) As of December 31, 2021, the Company had entered into ten equity distribution agreements, 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 5,306,579 outstanding share count. On December 9, 2021, the Board of Directors approved an Company’s common stock available in the stock repurchase program for up to an additional 16,861,994 authorization under the stock repurchase program to 17,699,305 outstanding shares of common stock. As part of the stock repurchase program, block purchases, through privately negotiated transactions, or pursuant to any trading Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the accordance with Exchange Act Rule 10b-18, which sets certain restrictions stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company 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, 2021, the 5,685,511 shares at an aggregate cost of approximately $ 40.4 7.10 share. The Company did not repurchase any of its common stock during the December 31, 2020, the Company repurchased a total of 19,891 0.1 commissions and fees, for a weighted average price of $ 3.42 repurchased a total of 469,975 3.0 weighted average price of $ 6.43 is 17,699,305 Cash Dividends The table below presents the cash dividends declared on the Company’s common (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 0.780 97,601 2022 - YTD (1) 0.110 19,502 Totals $ 12.545 $ 459,066 On January 13, 2022, the Company declared a dividend of $0.055 per Company declared a dividend of $0.055 per share to be paid on March 29, 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, 2021 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Stock incentive Plan | NOTE 8. In 2021, the Company’s Board of Directors adopted, and the stockholders approved, the Incentive Plan (the “2021 Incentive Plan”) to replace the Orchid Island Capital, Plan” and together with the 2021 Incentive Plan, the “Incentive Plans”). The 2021 Incentive options, stock appreciation rights, stock award, performance units, other equity-based awards of performance units and other equity-based awards) and incentive Compensation Committee of the Company’s Board of Directors except that the Company’s full Board awards made to directors who are not employees of the Company or its affiliates. The an aggregate of 10 % of the issued and outstanding shares of our common stock (on a fully subject to a maximum aggregate 7,366,623 The 2021 Incentive Plan replaces the 2012 Incentive Plan, and no further However, any outstanding awards under the 2012 Incentive Plan will continue in accordance with the terms of the and any award agreement executed in connection with such outstanding awards. Performance Units The Company has issued, and may in the future issue additional performance units officers and employees of its Manager. of the performance conditions set forth in the performance unit agreement. 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. included in incentive compensation on the statements of operations, is recognized probable that the performance conditions will be achieved. The following table presents information related to Performance Units outstanding during 2020. ($ in thousands, except per share data) 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 4,554 $ 7.45 19,021 $ 7.78 Granted 137,897 5.88 - - Forfeited (4,674) 5.88 (1,607) 7.45 Vested and issued (4,554) 7.45 (12,860) 7.93 Unvested, end of period 133,223 $ 5.88 4,554 $ 7.45 Compensation expense during period $ 321 $ 38 Unrecognized compensation expense, end of period $ 467 $ 4 Intrinsic value, end of period $ 599 $ 24 Weighted-average remaining vesting term (in years) 1.4 0.8 The number of shares of common stock issuable upon the vesting of the remaining 2020 as a result of the book value impairment event that occurred pursuant Plans (the "Plans"). The book value impairment event occurred when the Company's during the quarter ended March 31, 2020 and the Company's book value more than 10%. The Plans provide that if such a book value impairment event Units that are outstanding as of the last day of such two-quarter period shall be reduced Stock Awards The Company has issued, and may in the future issue additional, immediately vested certain executive officers and employees of its Manager. Compensation expense for the stock awards is based on the fair Company’s common stock on the grant date and is included in incentive compensation table presents information related to fully vested common stock issued during fully vested shares of common stock issued during the year ended December 31, granted with respect to service performed during the previous fiscal year. The awards issued during the year ended December 31, 2021 were granted of compensation expense related to the 2021 awards was accrued and recognized Deferred Stock Units Non-employee directors receive a portion of their compensation in the Incentive Plans. vested and are settled at a future date based on the election of the individual participant. included in directors’ fees and liability insurance in the statements of operations. The DSUs entitle the participant to receive distributions declared by the Company on common of cash or additional DSUs at the participant’s election. The DSUs do not include the right stock. The following table presents information related to the DSUs outstanding during ($ in thousands, except per share data) 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 90,946 $ 5.44 43,570 $ 6.56 Granted and vested 52,030 5.29 47,376 4.41 Outstanding, end of period 142,976 $ 5.38 90,946 $ 5.44 Compensation expense during period $ 240 $ 180 Intrinsic value, end of period $ 643 $ 473 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2021 | |
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, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10. The Company REIT taxable ownership dividends its REIT distributed end of the requirements. REIT taxable income (loss) unrealized purposes. As of December income tax |
EARNINGS PER SHARE
EARNINGS PER SHARE | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11. The Company December Deferred Units and Performance common stock The table (in thousands, except per-share information) 2021 2020 2019 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (64,760) $ 2,128 $ 24,265 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 176,993 76,073 63,062 Unvested dividend eligible share based compensation outstanding at the balance sheet date - 96 63 Effect of weighting (55,849) (8,958) (6,797) Weighted average shares-basic and diluted 121,144 67,211 56,328 Net (loss) income per common share: Basic and diluted $ (0.54) $ 0.03 $ 0.43 Anti-dilutive incentive shares not included in calculation. 281 - - |
FAIR VALUE
FAIR VALUE | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value | NOTE 12. The framework asset or pricing the on the sale measured ● 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 SABR models pricing method observable between the stability guarantor were originated, if appropriate. The Company’s Level 1 assets. The Company’s readily available. valuations. and discount RMBS (based years ended most advantageous asset. When in active The following 2020. (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, 2021 Mortgage-backed securities $ - $ 6,511,095 $ - U.S. Treasury Notes 37,175 - - Interest rate swaps - 26,431 - Interest rate swaptions - 17,070 - TBA securities - (304) - December 31, 2020 Mortgage-backed securities $ - $ 3,726,895 $ - Interest rate swaps - (24,704) - Interest rate swaptions - 9,703 - TBA securities - 2,773 - During the years ended December 31, 2021 and 2020, there were no transfers of financial or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2021 | |
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, 2023 one-year thereafter and is subject to certain termination rights. administering the business activities and day-to-day operations of the 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, 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 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 9.8 6.8 and $ 6.9 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 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 1.5 %, of the Company’s common stock. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of The accompanying United States |
Use of Estimates | The preparation assumptions financial estimates. Management available |
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 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 three months borrowings, The following position that (in thousands) December 31, 2021 December 31, 2020 Cash and cash equivalents $ 385,143 $ 220,143 Restricted cash 65,299 79,363 Total cash, cash equivalents $ 450,442 $ 299,506 The Company balances may Deposit Insurance balances are Company limits any significant |
Mortgage-Backed Securities | Mortgage-Backed The Company obligations (“IIO”) securities to IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes, primarily to requirements of derivative counterparties. The Company has elected to account under the fair value option. Electing the fair value option requires the Company operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period is consistent with the underlying economics and how the portfolio is managed. The Company are included sheet date Fair value between market transfer advantageous broker quotes, markets. Income on present at reflected carrying value a return for future effective of RMBS in the accompanying |
Derivative Financial Instruments | Derivative Financial Instruments The Company manage other Treasury Note options to derivative The Company are reported Derivative The Company’s hedges of included in current period Holding derivatives honor their receive payments collateral banks as counterparties, |
Financial Instruments | Financial The fair statements swaptions value for The estimated other assets, liabilities these financial |
Repurchase Agreements | Repurchase The Company repurchase contractual |
Reverse Repurchase Agreements | Reverse The Company master repurchase borrowed The securities counterparties. |
Management Fees | Manager Compensation The Company company and Manager of which they |
Earnings Per Share | Earnings Basic earnings average number stock or two-class in computing |
Income Taxes | Income Taxes Orchid elected and is organized and operated so as to qualify to be taxed as a REIT subject to federal income tax on their REIT taxable income provided that they distribute income on an annual basis. deductions for dividends paid and excluding net capital gain, and meet other requirements 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, |
Recent Accounting Pronouncements | Recent Accounting 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 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 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 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. |
Compensation Related Costs [Policy Text Block] | Stock-Based The Company and employees common stock non-employee award’s respective forfeitures |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following position that (in thousands) December 31, 2021 December 31, 2020 Cash and cash equivalents $ 385,143 $ 220,143 Restricted cash 65,299 79,363 Total cash, cash equivalents $ 450,442 $ 299,506 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) - Residential Mortgage Backed Securities [Member] | 12 Months Ended |
Dec. 31, 2021 | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following (in thousands) December 31, 2021 December 31, 2020 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 6,298,189 $ 3,560,746 Fixed-rate CMOs - 137,453 Total Pass-Through 6,298,189 3,698,199 Structured RMBS Certificates: Interest-Only Securities 210,382 28,696 Inverse Interest-Only Securities 2,524 - Total Structured 212,906 28,696 Total $ 6,511,095 $ 3,726,895 |
Gain (Loss) on Securities [Table Text Block] | The following 2021, 2020 (in thousands) 2021 2020 2019 Total Total Total Carrying value of RMBS sold $ 2,857,250 $ 4,225,522 $ 3,332,083 Proceeds from sales of RMBS 2,851,708 4,200,536 3,321,206 Net (loss) gain on sales of RMBS $ (5,542) $ (24,986) $ (10,877) Gross gain on sales of RMBS $ 7,930 $ 8,678 $ 2,177 Gross loss on sales of RMBS (13,472) (33,664) (13,054) Net gain (loss) on sales of RMBS $ (5,542) $ (24,986) $ (10,877) |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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, 2021 Fair market value of securities pledged, including accrued interest receivable $ - $ 4,624,396 $ 1,848,080 $ 52,699 $ 6,525,175 Repurchase agreement liabilities associated with these securities $ - $ 4,403,182 $ 1,789,327 $ 51,597 $ 6,244,106 Net weighted average borrowing rate - 0.15% 0.13% 0.15% 0.15% 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% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Financial Instruments [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The table December (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location December 31, 2021 December 31, 2020 Assets Interest rate swaps Derivative assets, at fair value $ 29,293 $ 7 Payer swaptions (long positions) Derivative assets, at fair value 21,493 17,433 TBA securities Derivative assets, at fair value - 3,559 Total derivative $ 50,786 $ 20,999 Liabilities Interest rate swaps Derivative liabilities, at fair value $ 2,862 $ 24,711 Payer swaptions (short positions) Derivative liabilities, at fair value 4,423 7,730 TBA securities Derivative liabilities, at fair value 304 786 Total derivative $ 7,589 $ 33,227 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 8,035 $ 489 TBA securities Restricted cash - 284 TBA securities Other liabilities (856) (2,520) Interest rate swaption contracts Other liabilities (6,350) (3,563) Interest rate swap contracts Restricted cash - 19,761 Total margin $ 829 $ 14,451 |
Schedule of Eurodollar and T-Note futures positions | Eurodollar, Fed charged to a daily basis. 2021 and ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) U.S. Treasury Note Futures Contracts (2) March 2022 5-year T-Note futures (Mar 2022 - Mar 2027 Hedge Period) $ 369,000 1.56% 1.62% $ 1,013 March 2022 10-year Ultra futures (Mar 2022 - Mar 2032 Hedge Period) $ 220,000 1.22% 1.09% $ (3,861) ($ 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) Open equity represents the cumulative gains (losses) recorded on open (2) 5-Year T-Note 120.98 126.16 values of the short positions were $ 446.4 87.1 futures contracts were valued at price of $ 146.44 322.2 December 31, 2021. |
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, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64% 0.16% $ 21,788 4.0 Expiration > 5 years $ 400,000 1.16% 0.21% $ 4,643 7.3 $ 1,355,000 0.79% 0.18% $ 26,431 5.0 December 31, 2020 Expiration > 1 to ≤ 3 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 3 to ≤ 5 years 200,000 0.67% 0.23% (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 |
Schedule Of Interest Rate Swaption Agreements [Table Text Block] | The table ($ 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, 2021 Payer Swaptions (long positions) ≤ 1 year $ 4,000 $ 1,575 3.2 400,000 1.66% 3 Month 5.0 > 1 year ≤ 2 years 32,690 19,918 18.4 1,258,500 2.46% 3 Month 14.1 $ 36,690 $ 21,493 14.7 $ 1,658,500 2.27% 3 Month 11.9 Payer Swaptions (short positions) ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 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, 2021 30-Year TBA securities: 3.0% $ (575,000) $ (595,630) $ (595,934) $ (304) Total $ (575,000) $ (595,630) $ (595,934) $ (304) 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 |
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, 2021, 2020 and 2019. (in thousands) 2021 2020 2019 Eurodollar futures contracts (short positions) $ (10) $ (8,337) $ (13,860) U.S. Treasury Note futures contracts (short position) (846) (4,707) (5,175) Fed Funds futures contracts (short positions) - - 177 Interest rate swaps 23,613 (66,212) (26,582) Payer swaptions (long positions) (2,580) 98 (1,379) Payer swaptions (short positions) 9,062 (3,070) - Interest rate floors 2,765 - - TBA securities (short positions) 3,432 (6,719) (6,264) TBA securities (long positions) (8,559) 9,950 1,907 U.S. Treasury securities (short positions) - (95) - Total $ 26,877 $ (79,092) $ (51,176) |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 (in thousands) December 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 6,294,102 $ - $ 6,294,102 $ 3,692,811 $ - $ 3,692,811 Structured RMBS - fair value 212,270 - 212,270 27,095 - 27,095 U.S. Treasury Notes - 29,740 29,740 - - - Accrued interest on pledged securities 18,804 13 18,817 9,636 - 9,636 Restricted cash 57,264 8,035 65,299 58,829 20,534 79,363 Total $ 6,582,440 $ 37,788 $ 6,620,228 $ 3,788,371 $ 20,534 $ 3,808,905 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged The table as of December (in thousands) December 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 4,339 $ 7,206 $ 11,545 $ 120 $ 6,083 $ 6,203 U.S. Treasury securities - fair value - - - 253 - 253 Total $ 4,339 $ 7,206 $ 11,545 $ 373 $ 6,083 $ 6,456 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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, 2021 Interest rate swaps $ 29,293 $ - $ 29,293 $ - $ - $ 29,293 Interest rate swaptions 21,493 - 21,493 - (6,350) 15,143 $ 50,786 $ - $ 50,786 $ - $ (6,350) $ 44,436 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, 2021 Repurchase Agreements $ 6,244,106 $ - $ 6,244,106 $ (6,186,842) $ (57,264) $ - Interest rate swaps 2,862 - 2,862 (2,862) - - Interest rate swaptions 4,423 - 4,423 - - 4,423 TBA securities 304 - 304 - - 304 $ 6,251,695 $ - $ 6,251,695 $ (6,189,704) $ (57,264) $ 4,727 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 - - 7,730 TBA securities 786 - 786 - (284) 502 $ 3,628,813 $ - $ 3,628,813 $ (3,536,757) $ (78,874) $ 13,182 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Capital Stock [Abstract] | |
Schedule of completed public offerings of shares of common stock | Common Stock During 2021 ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2021 At the Market Offering Program (3) First Quarter $ 5.10 308,048 $ 1,572 Follow-on Offerings First Quarter 5.31 17,940,000 95,336 At the Market Offering Program (3) Second Quarter 5.40 23,087,089 124,746 At the Market Offering Program (3) Third Quarter 4.94 35,818,338 177,007 At the Market Offering Program (3) Fourth Quarter 4.87 23,674,698 115,398 100,828,173 $ 514,059 2020 At the Market Offering Program (3) First Quarter $ 6.23 3,170,727 $ 19,447 At the Market Offering Program (3) Second Quarter - - - 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 Weighted average price received per share is after deducting the underwriters’ (2) Net proceeds are net of the underwriters’ discount, if applicable, and other (3) As of December 31, 2021, the Company had entered into ten equity distribution agreements, 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 (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 0.780 97,601 2022 - YTD (1) 0.110 19,502 Totals $ 12.545 $ 459,066 On January 13, 2022, the Company declared a dividend of $0.055 per Company declared a dividend of $0.055 per share to be paid on March 29, is estimated based on the number of shares outstanding at February but are not reflected in the Company’s financial statements as of December |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule of Performance Units outstanding | ($ in thousands, except per share data) 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 4,554 $ 7.45 19,021 $ 7.78 Granted 137,897 5.88 - - Forfeited (4,674) 5.88 (1,607) 7.45 Vested and issued (4,554) 7.45 (12,860) 7.93 Unvested, end of period 133,223 $ 5.88 4,554 $ 7.45 Compensation expense during period $ 321 $ 38 Unrecognized compensation expense, end of period $ 467 $ 4 Intrinsic value, end of period $ 599 $ 24 Weighted-average remaining vesting term (in years) 1.4 0.8 |
Schedule of Fully Vested Deferred Stock Units | ($ in thousands, except per share data) 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 90,946 $ 5.44 43,570 $ 6.56 Granted and vested 52,030 5.29 47,376 4.41 Outstanding, end of period 142,976 $ 5.38 90,946 $ 5.44 Compensation expense during period $ 240 $ 180 Intrinsic value, end of period $ 643 $ 473 |
Schedule of Stock Awards | ($ in thousands, except per share data) 2021 2020 Fully vested shares granted 137,897 - Weighted average grant date price per share $ 5.88 $ - Compensation expense related to fully vested shares of common stock awards (1) $ 811 $ - |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table (in thousands, except per-share information) 2021 2020 2019 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (64,760) $ 2,128 $ 24,265 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 176,993 76,073 63,062 Unvested dividend eligible share based compensation outstanding at the balance sheet date - 96 63 Effect of weighting (55,849) (8,958) (6,797) Weighted average shares-basic and diluted 121,144 67,211 56,328 Net (loss) income per common share: Basic and diluted $ (0.54) $ 0.03 $ 0.43 Anti-dilutive incentive shares not included in calculation. 281 - - |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following 2020. (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, 2021 Mortgage-backed securities $ - $ 6,511,095 $ - U.S. Treasury Notes 37,175 - - Interest rate swaps - 26,431 - Interest rate swaptions - 17,070 - TBA securities - (304) - December 31, 2020 Mortgage-backed securities $ - $ 3,726,895 $ - Interest rate swaps - (24,704) - Interest rate swaptions - 9,703 - TBA securities - 2,773 - |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | Mar. 05, 2021 | Jan. 25, 2021 | Aug. 02, 2019 | Dec. 31, 2021 | Oct. 28, 2021 | Aug. 03, 2020 | Jun. 21, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Aug. 11, 2019 |
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 514,059,000 | $ 71,050,000 | $ 92,314,000 | ||||||||
Stock Issued During Period, Value, New Issues | $ 514,059,000 | $ 71,050,000 | $ 92,314,000 | ||||||||
Total shares issued under distribution agreement | 100,828,173 | 13,019,240 | 14,377,000 | ||||||||
At the Market Offering Program [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 77,000,000 | $ 246,000,000 | $ 19,400,000 | $ 147,400,000 | $ 123,100,000 | ||||||
Stock Issued During Period, Value, New Issues | $ 78,300,000 | $ 250,000,000 | $ 19,800,000 | $ 150,000,000 | $ 125,000,000 | ||||||
Total shares issued under distribution agreement | 15,835,700 | 49,407,336 | 3,170,727 | 27,493,650 | 15,123,178 | ||||||
At the Market Offering Program [Member] | Maximum [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Stock Issued During Period, Value, New Issues | $ 250,000,000 | $ 250,000,000 | $ 200,000,000 | $ 150,000,000 | $ 125,000,000 | ||||||
Follow-on Offering [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 50,000,000 | $ 45,200,000 | $ 44,200,000 | ||||||||
Total shares issued under distribution agreement | 9,200,000 | 8,740,000,000 | 7,000,000 | ||||||||
Share Price | $ 5.45 | $ 5.20 | $ 6.3535 | ||||||||
Follow-on Offering [Member] | Maximum [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Share Price | $ 6.55 | ||||||||||
Firm Offering [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Total shares issued under distribution agreement | 8,000,000 | 7,600,000 | |||||||||
Over-Allotment Option [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Total shares issued under distribution agreement | 1,200,000 | 1,140,000,000 |
ORGANIZATION AND SIGINIFICANT A
ORGANIZATION AND SIGINIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 385,143 | $ 220,143 | ||
Restricted cash | 65,299 | 79,363 | ||
Total cash, cash equivalents and restricted cash | $ 450,442 | $ 299,506 | $ 278,655 | $ 126,263 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | $ 6,511,095 | $ 3,726,895 |
U.S. Treasury Notes | 37,175 | 0 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 6,298,189 | 3,698,199 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 212,906 | 28,696 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 6,298,189 | 3,560,746 |
Collateralized Mortgage Obligations [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 0 | 137,453 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 210,382 | 28,696 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | $ 2,524 | $ 0 |
MORTGAGE-BACKED SECURITIES - Sa
MORTGAGE-BACKED SECURITIES - Sales (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Marketable Securities, Gain (Loss) | |||
Investment Sales, Carrying Value | $ 2,857,250,000 | $ 4,225,522,000 | $ 3,332,083,000 |
Proceeds From Sale Of Mortgage Backed Securities MBS Categorized As Trading | 2,851,708,000 | 4,200,536,000 | 3,321,206,000 |
Marketable Securities, Realized Gain (Loss) | (5,542,000) | (24,986,000) | (10,877,000) |
Available For Sale Securities Gross Realized Gains | 7,930,000 | 8,678,000 | 2,177,000 |
Available For Sale Securities Gross Realized Losses | $ 13,472,000 | $ 33,664,000 | $ 13,054,000 |
REPURCHASE AGREEMENTS AND REVER
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS (Narrative) (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | $ 65,299 | $ 79,363 |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Aggregate amount at risk with all counterparties | 338,300 | |
Restricted Cash And Cash Equivalents At Carrying Value | $ 57,264 | $ 58,829 |
REPURCHASE AGREEMENTS AND REV_2
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS - Remaining Maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 6,525,175 | $ 3,729,543 |
Repurchase agreement liabilities associated with these liabilities | $ 6,244,106 | $ 3,595,586 |
Net weighted average borrowing rate | 0.15% | 0.23% |
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 | $ 4,624,396 | $ 2,112,969 |
Repurchase agreement liabilities associated with these liabilities | $ 4,403,182 | $ 2,047,897 |
Net weighted average borrowing rate | 0.15% | 0.23% |
Between 31 and 90 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,848,080 | $ 1,560,798 |
Repurchase agreement liabilities associated with these liabilities | $ 1,789,327 | $ 1,494,500 |
Net weighted average borrowing rate | 0.13% | 0.22% |
Greater Than 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 52,699 | $ 55,776 |
Repurchase agreement liabilities associated with these liabilities | $ 51,597 | $ 53,189 |
Net weighted average borrowing rate | 0.15% | 0.30% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 50,786 | $ 20,999 |
Liabilities, at Fair Value | 7,589 | 33,227 |
Restricted cash | 65,299 | 79,363 |
Other Liabilities | 35,505 | 7,188 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 50,786 | 20,999 |
Liabilities, at Fair Value | 7,589 | 33,227 |
Restricted cash | 829 | 14,451 |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 29,293 | 7 |
Liabilities, at Fair Value | 2,862 | 24,711 |
Restricted cash | 0 | 19,761 |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 0 | 3,559 |
Liabilities, at Fair Value | 304 | 786 |
Restricted cash | 0 | 284 |
Other Liabilities | 856 | 2,520 |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 8,035 | 489 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Other Liabilities | 6,350 | 3,563 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 4,423 | 7,730 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | $ 21,493 | $ 17,433 |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - Short [Member] - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 |
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] | 5-Year 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 | |
Year 2022 Expiration [Member] | 5-Year Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 369,000,000 | |
Derivative Entry Rate | 1.56% | |
Locked-In LIBOR Rate | 1.62% | |
Open Equity | $ 1,013,000 | |
Dollar Price | 120.98 | |
Contract Value | $ 446,400,000 | |
Year 2022 Expiration [Member] | Ten Year Ultra Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 220,000,000 | |
Derivative Entry Rate | 1.22% | |
Locked-In LIBOR Rate | 1.09% | |
Open Equity | $ (3,861,000) | |
Dollar Price | 146.44 | |
Contract Value | $ 322,200,000 |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - Swap [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,355,000 | $ 820,000 |
Average Fixed Pay Rate | 0.79% | 1.14% |
Average Receive Rate | 0.18% | 0.23% |
Net Estimated Fair Value | $ 26,431 | $ (24,704) |
Average Maturity | 5 years | 4 years 3 months 18 days |
1-3 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 620,000 | |
Average Fixed Pay Rate | 1.29% | |
Average Receive Rate | 0.22% | |
Net Estimated Fair Value | $ (23,760) | |
Average Maturity | 3 years 7 months 6 days | |
3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 955,000 | $ 200,000 |
Average Fixed Pay Rate | 0.64% | 0.67% |
Average Receive Rate | 0.16% | 0.23% |
Net Estimated Fair Value | $ 21,788 | $ (944) |
Average Maturity | 4 years | 6 years 4 months 24 days |
More Than Five Years [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 400,000 | |
Average Fixed Pay Rate | 1.16% | |
Average Receive Rate | 0.21% | |
Net Estimated Fair Value | $ 4,643 | |
Average Maturity | 7 years 3 months 18 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - Payer Swaption [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 36,690 | $ 16,860 |
Net Estimated Fair Value | $ 21,493 | $ 17,433 |
Derivative Instruments Average Months To Expiration | 14 months 21 days | 11 years |
Notional Amount | $ 1,658,500 | $ 1,175,000 |
Derivative Average Fixed Interest Rate | 2.27% | 1.26% |
Derivative Avergage Receive Rate | 3 Month | 3 Month |
Term (Years) | 11 years 10 months 24 days | 9 years |
Less Than Or Equal To One Year [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ (16,185) | $ (4,660) |
Net Estimated Fair Value | $ (4,423) | $ (7,730) |
Derivative Instruments Average Months To Expiration | 5 months 9 days | 5 years 4 months 24 days |
Notional Amount | $ 1,331,500 | $ 507,700 |
Derivative Average Fixed Interest Rate | 2.29% | 1.49% |
Derivative Avergage Receive Rate | 3 Month | 3 Month |
Term (Years) | 11 years 4 months 24 days | 12 years 9 months 18 days |
Less Than Or Equal To One Year [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 4,000 | $ 3,450 |
Net Estimated Fair Value | $ 1,575 | $ 5 |
Derivative Instruments Average Months To Expiration | 3 months 6 days | 2 years 6 months |
Notional Amount | $ 400,000 | $ 500,000 |
Derivative Average Fixed Interest Rate | 1.66% | 0.95% |
Derivative Avergage Receive Rate | 3 Month | 3 Month |
Term (Years) | 5 years | 4 years |
One Year To Two Years [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 32,690 | $ 13,410 |
Net Estimated Fair Value | $ 19,918 | $ 17,428 |
Derivative Instruments Average Months To Expiration | 18 months 12 days | 17 years 4 months 24 days |
Notional Amount | $ 1,258,500 | $ 675,000 |
Derivative Average Fixed Interest Rate | 2.46% | 1.49% |
Derivative Avergage Receive Rate | 3 Month | 3 Month |
Term (Years) | 14 years 1 month 6 days | 12 years 9 months 18 days |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - 30 Year [Member] - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 575,000 | |
Cost Basis | (595,630) | |
Market Value Of TBA Contract | (595,934) | |
Net Estimated Fair Value | (304) | |
Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 137,000 | |
Cost Basis | 136,635 | |
Market Value Of TBA Contract | 139,408 | |
Net Estimated Fair Value | 2,773 | |
2.0% [Member] | Long [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 | |
3.0% [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 575,000 | 328,000 |
Cost Basis | (595,630) | (342,896) |
Market Value Of TBA Contract | (595,934) | (343,682) |
Net Estimated Fair Value | $ (304) | $ (786) |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | $ 26,877 | $ (79,092) | $ (51,176) |
Eurodollar Future [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (10) | (8,337) | (13,860) |
Treasury Note Future [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (846) | (4,707) | (5,175) |
Fed Funds Future [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 0 | 0 | 177 |
Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 23,613 | (66,212) | (26,582) |
Payer Swaption [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 9,062 | (3,070) | 0 |
Payer Swaption [Member] | Long [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (2,580) | 98 | (1,379) |
Interest Rate Floor [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 2,765 | 0 | 0 |
TBA Contracts [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | 3,432 | (6,719) | (6,264) |
TBA Contracts [Member] | Long [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | (8,559) | 9,950 | 1,907 |
US Treasury Securities [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
(Losses) gains on derivative instruments | $ 0 | $ (95) | $ 0 |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 6,506,372 | $ 3,719,906 |
Accrued interest receivable | 18,859 | 9,721 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 0 | 414 |
Restricted cash | 65,299 | 79,363 |
Total Assets Pledged To Counterparties | 6,620,228 | 3,808,905 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 57,264 | 58,829 |
Total Assets Pledged To Counterparties | 6,582,440 | 3,788,371 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 8,035 | 20,534 |
Total Assets Pledged To Counterparties | 37,788 | 20,534 |
Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 18,817 | 9,636 |
Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 6,294,102 | 3,692,811 |
Residential Mortgage Backed Securities [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 212,270 | 27,095 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 18,804 | 9,636 |
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 | 6,294,102 | 3,692,811 |
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 | 212,270 | 27,095 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 13 | 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 |
US Treasury Notes | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 29,740 | |
US Treasury Notes | Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 0 | |
US Treasury Notes | Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 29,740 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 11,545 | $ 6,456 |
Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 11,545 | 6,203 |
US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 253 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 4,339 | 373 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 4,339 | 120 |
Repurchase Agreement [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 253 |
Derivative Agreements [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 7,206 | 6,083 |
Derivative Agreements [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 7,206 | 6,083 |
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) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | $ 50,786 | $ 20,999 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 50,786 | 20,999 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (6,350) | (6,083) |
Net Amount Of Assets | 44,436 | 14,916 |
Payer Swaption [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 21,493 | 17,433 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 21,493 | 17,433 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (6,350) | (3,563) |
Net Amount Of Assets | 15,143 | 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 | 29,293 | 7 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 29,293 | 7 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | 0 |
Net Amount Of Assets | $ 29,293 | $ 7 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 6,251,695 | $ 3,628,813 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 6,251,695 | 3,628,813 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (6,189,704) | (3,536,757) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (57,264) | (78,874) |
Net Amount Of Liabilities | 4,727 | 13,182 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 6,244,106 | 3,595,586 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 6,244,106 | 3,595,586 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (6,186,842) | (3,536,757) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (57,264) | (58,829) |
Net Amount Of Liabilities | 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 2,862 | 24,711 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 2,862 | 24,711 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (2,862) | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | (19,761) |
Net Amount Of Liabilities | 0 | 4,950 |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 304 | 786 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 304 | 786 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | (284) |
Net Amount Of Liabilities | 304 | 502 |
Payer Swaption [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 4,423 | 7,730 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 4,423 | 7,730 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | 0 |
Net Amount Of Liabilities | $ 4,423 | $ 7,730 |
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, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Stock Issued During Period Shares New Issues | 100,828,173 | 13,019,240 | 14,377,000 | ||||||||
Stock Issued During Period, Value, New Issues | $ 514,059 | $ 71,050 | $ 92,314 | ||||||||
At the Market Offering Program [Member] | |||||||||||
Weighted Average Price Received Per Share | $ 4.87 | $ 4.94 | $ 5.40 | $ 5.10 | $ 5.41 | $ 5.15 | $ 0 | $ 6.23 | $ 4.87 | $ 5.41 | |
Stock Issued During Period Shares New Issues | 23,674,698 | 35,818,338 | 23,087,089 | 308,048 | 6,775,187 | 3,073,326 | 0 | 3,170,727 | |||
Stock Issued During Period, Value, New Issues | $ 115,398 | $ 177,007 | $ 124,746 | $ 1,572 | $ 36,037 | $ 15,566 | $ 0 | $ 19,447 | |||
Follow-on Offering [Member] | |||||||||||
Weighted Average Price Received Per Share | $ 5.31 | ||||||||||
Stock Issued During Period Shares New Issues | 17,940,000 | ||||||||||
Stock Issued During Period, Value, New Issues | $ 95,336 |
CAPITAL STOCK - Share Repurchas
CAPITAL STOCK - Share Repurchase Progam (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | 77 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2021 | Oct. 29, 2021 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Line Items] | ||||||
Stock Repurchased and Retired During Period, Shares | 20,000 | 470,000 | ||||
Stock Repurchased and Retired During Period, Value | $ (68) | $ (3,024) | ||||
Share Repurchase Program [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Stock Repurchased and Retired During Period, Shares | 19,891 | 469,975 | 5,685,511 | |||
Stock Repurchased and Retired During Period, Value | $ 100 | $ 3,000 | $ 40,400 | |||
Weighted Average Share Repurchase Price | $ 3.42 | $ 6.43 | $ 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 | 17,699,305 | 783,757 | ||||
2021 Program Increase [Member] | Maximum [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Share Repurchase | 16,861,994 | |||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 17,699,305 | |||||
2018 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) - Dividend Declared [Member] - USD ($) $ / shares in Units, $ in Thousands | 2 Months Ended | 12 Months Ended | 109 Months Ended | ||||||||
Feb. 25, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Feb. 25, 2022 | |
Dividends Payable [Line Items] | |||||||||||
Per Share Amount | $ 0.780 | $ 0.790 | $ 0.960 | $ 1.070 | $ 1.680 | $ 1.680 | $ 1.920 | $ 2.160 | $ 1.395 | $ 12.545 | |
Total | $ 97,601 | $ 53,570 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 459,066 | |
Subsequent Event [Member] | |||||||||||
Dividends Payable [Line Items] | |||||||||||
Per Share Amount | $ 0.110 | ||||||||||
Total | $ 19,502 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) | 12 Months Ended |
Dec. 31, 2021shares | |
Employee Benefits And Share Based Compensation [Abstract] | |
Maximum Number of Shares to Be Issued the Plan | 7,366,623 |
Percentage of Outstanding Stock Limitation | 10.00% |
STOCK INCENTIVE PLAN - Performa
STOCK INCENTIVE PLAN - Performance Units (Details) - Performance Shares [Member] - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 4,554 | 19,021 |
Granted | 137,897 | 0 |
Forfeited | 4,674 | 1,607 |
Vested | 4,554 | 12,860 |
Nonvested - Ending Balance | 133,223 | 4,554 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 7.45 | $ 7.78 |
Granted | 5.88 | 0 |
Forfeited | 5.88 | 7.45 |
Vested | 7.45 | 7.93 |
Nonvested - Ending Balance | $ 5.88 | $ 7.45 |
Intrinsic Value of Nonvested | $ 599 | $ 24 |
Weighted Average Remaining Term | 1 year 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 | $ 467 | $ 4 |
Share Based Compensation | $ 321 | $ 38 |
STOCK INCENTIVE PLAN - Share A
STOCK INCENTIVE PLAN - Share Awards (Details) - Share Awards [Member] - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 137,897 | 0 |
ShareBasedCompensationArrangementByShareBasedPaymentAwardOptionsGrantsInPeriodWeightedAverageGrantDateFairValue | $ 5.88 | $ 0 |
Share Based Compensation | $ 811 | $ 0 |
STOCK INCENTIVE PLAN - Deferred
STOCK INCENTIVE PLAN - Deferred Stock Units (Details - Deferred Stock Units [Member] - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Incentive Share Activity, Shares | |||
Outstanding, beginning of period | 90,946 | 43,570 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 52,030 | 47,376 | |
Outstanding, end of period | 142,976 | 90,946 | |
Sharebased Compensation Arrangement By Share based Payment Award Options Nonvested Weighted Average Grant Date Fair Value Abstract | |||
Outstanding Deferred Stock Units Grant Date Value | $ 5.38 | $ 5.44 | $ 6.56 |
Granted | 5.29 | 4.41 | |
Outstanding, end of period | $ 5.38 | $ 5.44 | |
Share Based Compensation | $ 240 | $ 180 | |
Intrinsic Value of Nonvested | $ 643 | $ 473 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | |||
Net Income (Loss) Available to Common Stockholders, Basic | $ (64,760) | $ 2,128 | $ 24,265 |
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | |||
Common Shares Outstanding | 176,993,000 | 76,073,000 | 63,062,000 |
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date | 0 | 96,000 | 63,000 |
Effect of Weighting | (55,849,000) | (8,958,000) | (6,797,000) |
Weighted Average Shares - Basic and Diluted | 121,144,326 | 67,210,815 | 56,328,027 |
Income (Loss) Per Share - Basic and Diluted | $ (0.54) | $ 0.03 | $ 0.43 |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 281,000 | 0 | 0 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 6,511,095 | $ 3,726,895 |
Derivative, Fair Value, Net | 50,786 | 20,999 |
U.S. Treasury Notes | 37,175 | 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 |
U.S. Treasury Notes | 37,175 | |
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 | 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 | 6,511,095 | 3,726,895 |
U.S. Treasury Notes | 0 | |
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 | 26,431 | (24,704) |
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 | 17,070 | 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 | (304) | 2,773 |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
U.S. Treasury Notes | 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 | 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, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |||
Due to affiliates | $ 1,062 | $ 632 | |
Bimini Advisors, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Termination Date | February 20, 2023 | ||
Automatic Renewal Period Of Management Agreement | 1 year | ||
Management Fees And Allocated Expenses | $ 9,800 | $ 6,800 | $ 6,900 |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) - Bimini Capital Management Inc [Member] | Dec. 31, 2021shares |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 2,595,357 |
Entity Ownership Percentage | 1.50% |