DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - shares | 6 Months Ended | |
Jun. 30, 2022 | Aug. 05, 2022 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2022 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q2 | |
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 | 176,251,193 | |
Trading Symbol | ORC | |
Security Exchange Name | NYSE | |
Security 12(b) Title | Common Stock, $0.01 par value | |
Interactive Data Current | Yes | |
Document Transition Report | false | |
City Area Code | 772 | |
Local Phone Number | 231-1400 | |
Entity Address Line 1 | 3305 Flamingo Drive | |
Entity Address City or Town | Vero Beach | |
Entity Address State or Province | FL | |
Entity Postal Zip Code | 32963 | |
Entity Incorporation, State Country Name | MD | |
Entity File Number | 001-35236 | |
Entity Tax ID Number | 27-3269228 | |
Document Quarterly Report | true |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Assets | ||
Mortgage-backed securities | $ 3,940,860 | $ 6,511,095 |
U.S. Treasury Notes | 36,302 | 37,175 |
Cash and cash equivalents | 218,975 | 385,143 |
Restricted cash | 64,396 | 65,299 |
Accrued interest receivable | 13,932 | 18,859 |
Derivative Assets | 198,484 | 50,786 |
Other assets | 1,420 | 320 |
Total Assets | 4,474,369 | 7,068,677 |
Liabilities | ||
Outstanding repurchase obligations | 3,758,980 | 6,244,106 |
Dividends Payable | 7,960 | 11,530 |
Derivitive Liabilities | 43,591 | 7,589 |
Accrued interest payable | 3,940 | 788 |
Due to affiliates | 1,138 | 1,062 |
Other Liabilities | 152,398 | 35,505 |
Total Liabilities | 3,968,007 | 6,300,580 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 1,763 | 1,770 |
Additional paid in capital | 796,219 | 849,081 |
Accumulated deficit | (291,620) | (82,754) |
Total Stockholders Equity | 506,362 | 768,097 |
Total Liabilities and Stockholders Equity | $ 4,474,369 | $ 7,068,677 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parentheticals) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Statement Of Financial Position [Abstract] | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Shares Issued | 0 | 0 |
Preferred Shares Outstanding | 0 | 0 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock Shares Authorized | 500,000,000 | 500,000,000 |
Common Shares Issued | 176,251,193 | 176,993,049 |
Mortgage Backed Securities | ||
Pledged Financial Instruments Securities | $ 3,926,165,000 | $ 6,506,372,000 |
US Treasury Notes | ||
Pledged Financial Instruments Securities | $ 36,302,000 | $ 29,740,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Income Statement [Abstract] | ||||
Interest income | $ 35,268,000 | $ 29,254,000 | $ 77,125,000 | $ 56,110,000 |
Interest expense | 8,180,000 | 1,556,000 | 10,835,000 | 3,497,000 |
Net interest income | 27,088,000 | 27,698,000 | 66,290,000 | 52,613,000 |
Realized gains (losses) on mortgage-backed securities | (15,443,000) | 1,352,000 | (66,529,000) | (6,045,000) |
Unrealized gains (losses) on mortgage-backed securities | (170,598,000) | (7,281,000) | (480,560,000) | (96,147,000) |
(Losses) gains on derivative instruments | 103,758,000 | (34,915,000) | 281,574,000 | 10,557,000 |
Net portfolio income | (55,195,000) | (13,146,000) | (199,225,000) | (39,022,000) |
Management Fee Expense | 2,631,000 | 1,792,000 | 5,265,000 | 3,413,000 |
Allocated Overhead | 519,000 | 395,000 | 960,000 | 799,000 |
Compensation and related benefits | 314,000 | 261,000 | 551,000 | 625,000 |
Directors fees and liability insurance | 310,000 | 323,000 | 621,000 | 595,000 |
Audit, legal and other professional fees | 302,000 | 302,000 | 606,000 | 620,000 |
Direct REIT operating expenses | 574,000 | 294,000 | 1,217,000 | 715,000 |
Other administrative | 294,000 | 352,000 | 421,000 | 445,000 |
Total expenses | 4,944,000 | 3,719,000 | 9,641,000 | 7,212,000 |
Net income (loss) | $ (60,139,000) | $ (16,865,000) | $ (208,866,000) | $ (46,234,000) |
Basic and diluted net income (loss) per share | ||||
Basic | $ (0.34) | $ (0.17) | $ (1.18) | $ (0.50) |
Weighted Average Shares Outstanding | ||||
Weighted Average Number Of Basic Shares Outstanding | 177,034,159 | 99,489,065 | 177,015,963 | 92,456,082 |
Dividends Declared Per Common Share | $ 0.135 | $ 0.195 | $ 0.290 | $ 0.390 |
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, 2020 | $ 415,291 | $ 761 | $ 432,524 | $ (17,994) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (29,369) | 0 | 0 | (29,369) |
Cash dividend declared | 17,226 | 0 | 17,226 | 0 |
Issuance of common stock pursuant to public offerings, net | 96,908 | 182 | 96,726 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 572 | 1 | 571 | 0 |
Balances at Mar. 31, 2021 | $ 466,176 | 944 | 512,595 | (47,363) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2020 | 76,073,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 18,248,000 | |||
Stock Issued During Period Shares Share Based Compensation | 90,000 | |||
Common Stock Shares Outstanding, Ending Balance at Mar. 31, 2021 | 94,411,000 | |||
Balances at Dec. 31, 2020 | $ 415,291 | 761 | 432,524 | (17,994) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (46,234) | |||
Balances at Jun. 30, 2021 | $ 553,821 | 1,175 | 616,874 | (64,228) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2020 | 76,073,000 | |||
Common Stock Shares Outstanding, Ending Balance at Jun. 30, 2021 | 117,500,000 | |||
Balances at Dec. 31, 2020 | $ 415,291 | 761 | 432,524 | (17,994) |
Increase (Decrease) in Stockholders' Equity | ||||
Issuance of common stock pursuant to public offerings, net | 514,059 | |||
Balances at Dec. 31, 2021 | $ 768,097 | 1,770 | 849,081 | (82,754) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2020 | 76,073,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 100,828,173 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2021 | 176,993,049 | |||
Balances at Mar. 31, 2021 | $ 466,176 | 944 | 512,595 | (47,363) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (16,865) | 0 | 0 | (16,865) |
Cash dividend declared | 20,416 | 0 | 20,416 | 0 |
Issuance of common stock pursuant to public offerings, net | 124,746 | 231 | 124,515 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 180 | 0 | 180 | 0 |
Balances at Jun. 30, 2021 | $ 553,821 | 1,175 | 616,874 | (64,228) |
Common Stock Shares Outstanding, Beginning Balance at Mar. 31, 2021 | 94,411,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 23,087,000 | |||
Stock Issued During Period Shares Share Based Compensation | 2,000 | |||
Common Stock Shares Outstanding, Ending Balance at Jun. 30, 2021 | 117,500,000 | |||
Balances at Dec. 31, 2021 | $ 768,097 | 1,770 | 849,081 | (82,754) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (148,727) | 0 | 0 | (148,727) |
Cash dividend declared | 27,492 | 0 | 27,492 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 540 | 1 | 539 | 0 |
Balances at Mar. 31, 2022 | $ 592,418 | 1,771 | 822,128 | (231,481) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2021 | 176,993,049 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares Share Based Compensation | 124,000 | |||
Common Stock Shares Outstanding, Ending Balance at Mar. 31, 2022 | 177,117,000 | |||
Balances at Dec. 31, 2021 | $ 768,097 | 1,770 | 849,081 | (82,754) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (208,866) | |||
Balances at Jun. 30, 2022 | $ 506,362 | 1,763 | 796,219 | (291,620) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2021 | 176,993,049 | |||
Common Stock Shares Outstanding, Ending Balance at Jun. 30, 2022 | 176,251,193 | |||
Balances at Mar. 31, 2022 | $ 592,418 | 1,771 | 822,128 | (231,481) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (60,139) | 0 | 0 | (60,139) |
Cash dividend declared | 23,936 | 0 | 23,936 | 0 |
Issuance of common stock pursuant to public offerings, net | 0 | 0 | 0 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 237 | 0 | 237 | 0 |
Stock Repurchased and Retired During Period, Value | (2,218) | (8) | (2,210) | 0 |
Balances at Jun. 30, 2022 | $ 506,362 | $ 1,763 | $ 796,219 | $ (291,620) |
Common Stock Shares Outstanding, Beginning Balance at Mar. 31, 2022 | 177,117,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares Share Based Compensation | 10,000 | |||
Stock Repurchased and Retired During Period, Shares | 876,000 | |||
Common Stock Shares Outstanding, Ending Balance at Jun. 30, 2022 | 176,251,193 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) - USD ($) | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
CASH FLOWS FROM OPERATING ACTIVITIES | ||
Net income (loss) | $ (208,866,000) | $ (46,234,000) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Stock based compensation and equity plan amortization | 404,000 | 429,000 |
Realized and unrealized (gains) losses on mortgage-backed securities | 66,529,000 | 6,045,000 |
Marketable Securities, Unrealized Gain (Loss) | (480,560,000) | (96,147,000) |
Derivative, Gain (Loss) on Derivative, Net | (161,731,000) | (13,483,000) |
Changes in operating assets and liabilities | ||
Accrued interest receivable | 4,927,000 | (2,826,000) |
Other assets | (583,000) | (172,000) |
Accrued interest payable | 3,152,000 | (115,000) |
Other liabilities | 198,000 | (1,305,000) |
Due to affiliates | 76,000 | 162,000 |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 184,666,000 | 38,648,000 |
From mortgage-backed securities investments | ||
Purchases | (190,638,000) | (2,986,864,000) |
Sales | 1,934,606,000 | 1,680,903,000 |
Principal repayments | 279,534,000 | 259,425,000 |
Note proceeds from (payments on) derivative instruments | (167,307,000) | 17,446,000 |
NET CASH USED IN INVESTING ACTIVITIES | 2,190,809,000 | (1,063,982,000) |
CASH FLOWS FROM FINANCING ACTIVITIES | ||
Proceeds from repurchase agreements | 22,121,707,000 | 13,582,422,000 |
Principal payments on repurchase agreements | (24,606,833,000) | (12,663,304,000) |
Cash dividends | (54,979,000) | (34,927,000) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 0 | 221,654,000 |
Payments For Repurchase Of Common Stock | 2,218,000 | 0 |
Shares withheld from employee stock awards for payment of taxes | 223,000 | 299,000 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | (2,542,546,000) | 1,105,546,000 |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | (167,071,000) | 80,212,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 450,442,000 | 299,506,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 283,371,000 | 379,718,000 |
Cash paid during the period for: | ||
Interest Paid | 7,683,000 | 3,611,000 |
Other Noncash Investing And Financing Items Abstract | ||
Securities Sold Settled In Later Period | $ 0 | $ 154,977,000 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2022 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | Organization Orchid Island and managing February November was the issuance 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, 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 On March 2, 2021, Orchid entered into an underwriting agreement (the “March 2021 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 offering expenses. On June 22, 2021, Orchid entered into an equity distribution agreement 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 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, 250,000,000 shares of the Company’s common stock in transactions that are deemed to be “at the market” transactions. 15,835,700 Agreement for aggregate gross proceeds of approximately $ 78.3 77.0 commissions and fees. No shares were issued under the October 2021 Equity June 30, 2022. Basis of The accompanying in the United Accordingly, they management, Operating expected for The balance of the information statements The preparation the reported the reported significant the estimates Variable Interest Entities (“VIEs”) The Company obtains interests in VIEs through its investments in mortgage-backed VIEs are passive in nature and are not expected to result in the Company obtaining a future. securities. exposure to loss for these VIEs is the carrying value of the mortgage-backed securities. Cash and Cash Equivalents and Restricted Cash Cash and three months borrowings, The following position that (in thousands) June 30, 2022 December 31, 2021 Cash and cash equivalents $ 218,975 $ 385,143 Restricted cash 64,396 65,299 Total cash, cash equivalents $ 283,371 $ 450,442 The Company balances may Deposit Insurance balances are Company limits any significant Mortgage-Backed The Company mortgage (“IIO”) securities RMBS. The Company refers to IO and IIO securities as structured RMBS. The Company to satisfy collateral requirements of derivative counterparties. The Company has elected U.S. Treasury Notes under the fair value option. Electing the fair value option requires the Company to record the statement of operations, which, in management’s view, more appropriately reflects the results of the Company’s operations for a particular reporting period and is consistent with the underlying economics and The Company are included sheet date Fair value between market transfer advantageous broker quotes, markets. Income on the date unrealized and the effective investment reporting and income each reporting accompanying Derivative and Other Hedging Instruments The Company manage other Treasury Note rate swaps, Company may 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 financial Repurchase The Company repurchase contractual Manager Compensation The Company company and Manager of which they Earnings Basic earnings average number method, as diluted EPS Stock-Based The Company and employees common stock non-employee recognized forfeiture Income Taxes Orchid has elected and is organized and operated so as to qualify to be taxed as a Internal Revenue Code of 1986, as amended (the “Code”). income provided that they distribute to their stockholders all of their REIT taxable income least 90% of its REIT taxable income, determined without regard to the and meet other requirements of the Code to retain its tax status. Orchid assesses the likelihood, based on their technical merit, that uncertain tax 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 ).” ASU 2021-01 expands the scope of ASC 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 addition, implementation guidance to permit a company to apply certain optional expedients margining, discounting or contract price alignment of certain derivatives as a result optional expedients to account for a derivative contract modified as a continuation accounting when certain critical terms of a hedging relationship change to 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 | 6 Months Ended |
Jun. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2. The following (in thousands) June 30, 2022 December 31, 2021 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 3,766,151 $ 6,298,189 Total Pass-Through 3,766,151 6,298,189 Structured RMBS Certificates: Interest-Only Securities 173,754 210,382 Inverse Interest-Only Securities 955 2,524 Total Structured 174,709 212,906 Total $ 3,940,860 $ 6,511,095 As of June 36.3 and $ 37.2 The following and 2021. Six Months Ended June 30, 2022 2021 Proceeds from sales of RMBS $ 1,934,606 $ 1,680,903 Carrying value of RMBS sold (2,001,135) (1,686,948) Net (loss) gain on sales of RMBS $ (66,529) $ (6,045) Gross gain on sales of RMBS $ 2,705 $ 4,890 Gross loss on sales of RMBS (69,234) (10,935) Net (loss) gain on sales of RMBS $ (66,529) $ (6,045) |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 6 Months Ended |
Jun. 30, 2022 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3. The Company generally borrowing. down borrowings securities requirements. As of June below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS (1) TOTAL June 30, 2022 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,990,637 $ 887,951 $ 60,809 $ 3,939,397 Repurchase agreement liabilities associated with these securities $ - $ 2,866,787 $ 843,343 $ 48,850 $ 3,758,980 Net weighted average borrowing rate - 1.33% 1.48% 0.79% 1.36% 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% Includes a repurchase agreement with an outstanding principal balance of indexed to Secured Overnight Financing Rate (“SOFR”) that reprices daily. In addition, cash pledged to counterparties for repurchase agreements was approximately 51.1 57.3 June 30, 2022 and December 31, 2021, respectively. If, during pledged assets, plus interest and cash posted by the Company as collateral. At June the amount securities 227.6 The Company 30, 2022 |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Financial Instruments [Abstract] | |
Derivative Financial Instruments | 3 to ≤ 5 years $ 500,000 0.84% 1.95% $ 43,221 4.2 Expiration > 5 years 900,000 1.70% 1.32% 60,917 7.1 $ 1,400,000 1.39% 1.54% $ 104,138 6.1 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 The table ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 2,350 0.09% 10Y2Y $ 3,837 The table 2021. ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) June 30, 2022 Payer Swaptions - long ≤ 1 year $ 31,905 $ 65,684 8.3 $ 1,282,400 2.44% 3 Month 11.3 >1 year ≤ 2 years 24,050 23,168 15.8 728,400 3.00% 3 Month 10.0 $ 55,955 $ 88,852 11.0 $ 2,010,800 2.65% 3 Month 10.8 Payer Swaptions - short ≤ 1 year $ (22,250) $ (43,296) 2.8 $ (1,433,000) 2.65% 3 Month 10.8 December 31, 2021 Payer Swaptions - long ≤ 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 ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 The following table summarizes 31, 2021. ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) June 30, 2022 30-Year TBA securities: 2.0% $ (175,000) $ (153,907) $ (152,250) $ 1,657 15-Year TBA securities: 3.5% 175,000 174,434 174,139 (295) Total $ - $ 20,527 $ 21,889 $ 1,362 December 31, 2021 30-Year TBA securities: 3.0% $ (575,000) $ (595,630) $ (595,934) $ (304) Total $ (575,000) $ (595,630) $ (595,934) $ (304) Notional amount represents the par value (or principal balance) of the underlying (2) Cost basis represents the forward price to be paid (received) for the underlying (3) Market value represents the current market value of the TBA securities (4) Net carrying value represents the difference between the market in derivative assets (liabilities) at fair value in the balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of operations for the six and three months ended June 30, 2022 and 2021. (in thousands) Six Months Ended June 30, Three Months Ended June 30, 2022 2021 2022 2021 T-Note futures contracts (short position) $ 122,968 $ 285 $ 43,073 $ (2,191) Eurodollar futures contracts (short positions) - (7) - (19) Interest rate swaps 106,103 9,446 39,819 (17,677) Payer swaptions (short positions) (44,944) 1,212 (34,036) 27,379 Payer swaptions (long positions) 91,314 3,710 50,339 (36,360) Interest rate caps 1,487 - 2,483 - Interest rate floors - 1,300 - (84) TBA securities (short positions) 3,552 3,170 1,013 (5,963) TBA securities (long positions) 1,094 (8,559) 1,067 - Total $ 281,574 $ 10,557 $ 103,758 $ (34,915) Credit Risk-Related Contingent Features The recognized in the event attempts to minimize major financial institutions may be amount and remaining provided derivatives. The cash and cash equivalents pledged as collateral for the Company derivative instruments on its balance sheets. It is the Company's policy not Exchange opposed to adjustments to collateral. As the CME or ICE serves as the central clearing party are presented as if these derivatives " id="sjs-B4" xml:space="preserve">NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS The table liabilities (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location June 30, 2022 December 31, 2021 Assets Interest rate swaps Derivative assets, at fair value $ 104,138 $ 29,293 Payer swaptions (long positions) Derivative assets, at fair value 88,852 21,493 Interest rate caps Derivative assets, at fair value 3,837 - TBA securities Derivative assets, at fair value 1,657 - Total derivative $ 198,484 $ 50,786 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 2,862 Payer swaptions (short positions) Derivative liabilities, at fair value 43,296 4,423 TBA securities Derivative liabilities, at fair value 295 304 Total derivative $ 43,591 $ 7,589 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 12,795 $ 8,035 TBA securities Restricted cash 471 - TBA securities Other liabilities (1,772) (856) Interest rate swaption contracts Other liabilities (43,249) (6,350) Total margin $ (31,755) $ 829 Eurodollar, Fed charged to a daily basis. The tables 2021. ($ in thousands) June 30, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short (2) September 2022 5-year T-Note futures (Sep 2022 - Sep 2027 Hedge Period) $ 1,200,500 3.13% 3.32% $ 4,138 September 2022 10-year Ultra futures (Sep 2022 - Sep 2032 Hedge Period) $ 274,500 2.64% 2.84% $ 2,442 ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short (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) Open equity represents the cumulative gains (losses) recorded on open (2) 5-Year T-Note 112.25 120.98 the short positions were $ 1,347.6 446.4 contracts were valued at a price of $ 127.38 146.44 $ 349.6 322.2 Under its ("payer swaps"). characteristics interest 2022 and ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) June 30, 2022 Expiration > 3 to ≤ 5 years $ 500,000 0.84% 1.95% $ 43,221 4.2 Expiration > 5 years 900,000 1.70% 1.32% 60,917 7.1 $ 1,400,000 1.39% 1.54% $ 104,138 6.1 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 The table ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 2,350 0.09% 10Y2Y $ 3,837 The table 2021. ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) June 30, 2022 Payer Swaptions - long ≤ 1 year $ 31,905 $ 65,684 8.3 $ 1,282,400 2.44% 3 Month 11.3 >1 year ≤ 2 years 24,050 23,168 15.8 728,400 3.00% 3 Month 10.0 $ 55,955 $ 88,852 11.0 $ 2,010,800 2.65% 3 Month 10.8 Payer Swaptions - short ≤ 1 year $ (22,250) $ (43,296) 2.8 $ (1,433,000) 2.65% 3 Month 10.8 December 31, 2021 Payer Swaptions - long ≤ 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 ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 The following table summarizes 31, 2021. ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) June 30, 2022 30-Year TBA securities: 2.0% $ (175,000) $ (153,907) $ (152,250) $ 1,657 15-Year TBA securities: 3.5% 175,000 174,434 174,139 (295) Total $ - $ 20,527 $ 21,889 $ 1,362 December 31, 2021 30-Year TBA securities: 3.0% $ (575,000) $ (595,630) $ (595,934) $ (304) Total $ (575,000) $ (595,630) $ (595,934) $ (304) Notional amount represents the par value (or principal balance) of the underlying (2) Cost basis represents the forward price to be paid (received) for the underlying (3) Market value represents the current market value of the TBA securities (4) Net carrying value represents the difference between the market in derivative assets (liabilities) at fair value in the balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of operations for the six and three months ended June 30, 2022 and 2021. (in thousands) Six Months Ended June 30, Three Months Ended June 30, 2022 2021 2022 2021 T-Note futures contracts (short position) $ 122,968 $ 285 $ 43,073 $ (2,191) Eurodollar futures contracts (short positions) - (7) - (19) Interest rate swaps 106,103 9,446 39,819 (17,677) Payer swaptions (short positions) (44,944) 1,212 (34,036) 27,379 Payer swaptions (long positions) 91,314 3,710 50,339 (36,360) Interest rate caps 1,487 - 2,483 - Interest rate floors - 1,300 - (84) TBA securities (short positions) 3,552 3,170 1,013 (5,963) TBA securities (long positions) 1,094 (8,559) 1,067 - Total $ 281,574 $ 10,557 $ 103,758 $ (34,915) Credit Risk-Related Contingent Features The recognized in the event attempts to minimize major financial institutions may be amount and remaining provided derivatives. The cash and cash equivalents pledged as collateral for the Company derivative instruments on its balance sheets. It is the Company's policy not Exchange opposed to adjustments to collateral. As the CME or ICE serves as the central clearing party are presented as if these derivatives |
PLEDGED ASSETS
PLEDGED ASSETS | 6 Months Ended |
Jun. 30, 2022 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5. PLEDGED ASSETS Assets Pledged The table by type, including (in thousands) June 30, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,752,295 $ - $ 3,752,295 $ 6,294,102 $ - $ 6,294,102 Structured RMBS - fair value 173,870 - 173,870 212,270 - 212,270 U.S. Treasury Notes - 36,302 36,302 - 29,740 29,740 Accrued interest on pledged securities 13,232 15 13,247 18,804 13 18,817 Restricted cash 51,130 13,266 64,396 57,264 8,035 65,299 Total $ 3,990,527 $ 49,583 $ 4,040,110 $ 6,582,440 $ 37,788 $ 6,620,228 Assets Pledged The table agreements (in thousands) June 30, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 7,670 $ 45,021 $ 52,691 $ 4,339 $ 7,206 $ 11,545 Total $ 7,670 $ 45,021 $ 52,691 $ $ 4,339 $ 7,206 $ 11,545 Cash received repurchase |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 6 Months Ended |
Jun. 30, 2022 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting Assets and Liabilities [Text Block] | NOTE 6. OFFSETTING ASSETS AND LIABILITIES The Company’s agreements bankruptcy basis. 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 June 30, 2022 Interest rate swaps $ 104,138 $ - $ 104,138 $ - $ - $ 104,138 Interest rate swaptions 88,852 - 88,852 - (43,249) 45,603 Interest rate caps 3,387 - 3,387 - - 3,387 TBA securities 1,657 - 1,657 - (1,772) (115) $ 198,034 $ - $ 198,034 $ - $ (45,021) $ 153,013 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 (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 as Collateral Amount June 30, 2022 Repurchase Agreements $ 3,758,980 $ - $ 3,758,980 $ (3,707,850) $ (51,130) $ - Interest rate swaptions 43,296 - 43,296 - - 43,296 TBA securities 1,772 - 1,772 - (471) 1,301 $ 3,804,048 $ - $ 3,804,048 $ (3,707,850) $ (51,601) $ 44,597 December 31, 2021 Repurchase Agreements $ 6,244,106 $ - $ 6,244,106 $ (6,186,842) $ (57,264) $ - Interest rate swaps 2,862 - 2,862 (2,862) - - Interest rate swaptions 4,423 - 4,423 - - 4,423 TBA securities 304 - 304 - - 304 $ 6,251,695 $ - $ 6,251,695 $ (6,189,704) $ (57,264) $ 4,727 The amounts asset or typically and derivative |
CAPITAL STOCK
CAPITAL STOCK | 6 Months Ended |
Jun. 30, 2022 | |
Capital Stock [Abstract] | |
Capital Stock | NOTE 7. Common Stock The Company ended December ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 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 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) The Company has entered into ten equity distribution agreements, nine of which have 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 2,000,000 share authorization, the increased authorization brought the total authorization 5,306,579 Company’s then outstanding share count. On December 9, 2021, the Board of Directors approved an increase in the number available in the stock repurchase program for up to an additional 16,861,994 stock repurchase program to 17,699,305 common stock. As part of the stock repurchase program, shares may be purchased in open market privately negotiated transactions, or pursuant to any trading plan that may be adopted Exchange Act of 1934, as amended (the “Exchange Act”). Rule 10b-18, which sets certain restrictions on the method, timing, price and volume manner, price and amount of any repurchases will be determined by the Company in its discretion and will market conditions, stock price, applicable legal requirements and other factors. acquire any particular amount of common stock and the program may without prior notice. From the inception of the stock repurchase program through June 30, 2022, the Company 6,561,810 at an aggregate cost of approximately $ 42.6 6.49 During the six months ended June 30, 2022, the Company repurchased a total of 876,299 approximately $ 2.2 2.53 repurchased during the year ended December 31, 2021. The remaining authorization 30, 2022 was 16,823,006 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) 0.335 59,383 Totals $ 12.770 $ 498,947 On July 13, 2022 , the Company declared a dividend of $ 0.045 August 29, 2022 . in the table above but is not reflected in the Company’s financial statements |
STOCK INCENTIVE PLAN
STOCK INCENTIVE PLAN | 6 Months Ended |
Jun. 30, 2022 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Stock incentive Plan | NOTE 8. In 2021, Incentive and together appreciation performance Committee who are 10 % of the issued and aggregate 7,366,623 replaces the under the connection Performance The Company officers and the performance issuance of contain dividend not include longer serve included in probable The following 2021. ($ in thousands, except per share data) Six Months Ended June 30, 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 133,223 $ 5.88 4,554 $ 7.45 Granted 175,572 3.31 137,897 5.88 Vested and issued (26,645) 5.88 (4,554) 7.45 Unvested, end of period 282,150 $ 4.28 137,897 $ 5.88 Compensation expense during period $ 270 $ 113 Unrecognized compensation expense, end of period $ 778 $ 702 Intrinsic value, end of period $ 804 $ 716 Weighted-average remaining vesting term (in years) 1.6 1.9 Stock Awards The Company certain executive The following issued during ended June years ended ($ in thousands, except per share data) Six Months Ended June 30, 2022 2021 Fully vested shares granted 175,572 137,897 Weighted average grant date price per share $ 3.31 $ 5.88 Compensation expense related to fully vested shares of common stock awards $ 581 $ 811 Deferred Non-employee Incentive employee director settled at fees and receive distributions at the participant’s The following ($ in thousands, except per share data) Six Months Ended June 30, 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 142,976 $ 5.38 90,946 $ 5.44 Granted and vested 40,881 3.66 22,528 5.64 Outstanding, end of period 183,857 $ 5.00 113,474 $ 5.48 Compensation expense during period $ 153 $ 120 Intrinsic value, end of period $ 524 $ 589 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2022 | |
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 | 6 Months Ended |
Jun. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10. INCOME TAXES The Company will generally not be subject to U.S. federal income tax on REIT taxable income to its stockholders and satisfies the ongoing REIT requirements, stock ownership tests. deductions for dividends paid and excluding net capital gain, to its stockholders, the sum of which 85% of its REIT ordinary income and 95% of its REIT prior taxable years, must be distributed within the taxable year, in order to avoid the imposition of an excise tax. balance may be distributed up to the end of the following taxable year, provided the REIT elects to treat such amount distribution and meets certain other requirements. |
EARNINGS PER SHARE
EARNINGS PER SHARE | 6 Months Ended |
Jun. 30, 2022 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11. The Company months ended Deferred Units and Performance common stock The table (in thousands, except per share information) Six Months Ended June 30, Three Months Ended June 30, 2022 2021 2022 2021 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net loss - Basic and diluted $ (208,866) $ (46,234) $ (60,139) $ (16,865) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 176,251 117,500 176,251 117,500 Effect of weighting 765 (25,044) 783 (18,011) Weighted average shares-basic and diluted 177,016 92,456 177,034 99,489 Net loss per common share: Basic and diluted $ (1.18) $ (0.50) $ (0.34) $ (0.17) Anti-dilutive incentive shares not included in calculation 466 251 466 251 |
FAIR VALUE
FAIR VALUE | 6 Months Ended |
Jun. 30, 2022 | |
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 based on certain judgments pricing sources the most techniques to a benchmark rely upon is based on assets similar observation predictability security if loan to value The fair The Company’s Level 1 assets. The Company’s readily available. valuations. and discount RMBS (based and three most advantageous asset. When in active The following December (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Assets Inputs Inputs (Level 1) (Level 2) (Level 3) June 30, 2022 Mortgage-backed securities $ - $ 3,940,860 $ - U.S. Treasury Notes 36,302 - - Interest rate swaps - 104,137 - Interest rate swaptions - 45,556 - Interest rate caps - 3,837 - TBA securities - 1,362 - 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) - During the six and three months ended June 30, 2022 and 2021, there were levels 1, 2 or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 13. RELATED PARTY TRANSACTIONS Management Agreement The Company is externally managed and advised by Bimini Advisors, LLC management agreement. The management agreement has been renewed February 20, 2023 year extension options thereafter and is subject to certain termination rights. Manager is responsible for administering the business activities and day-to-day monthly management fee in the amount of: ● One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, as defined in the management agreement, ● One-twelfth of 1.25% of the Company’s 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 On April 1, 2022, pursuant to the third amendment to the management agreement Manager began providing certain repurchase agreement trading, clearing and previously provided by AVM, L.P. will pay the following fees to the Manager: ● A daily fee equal to the outstanding principal balance of repurchase agreement funding multiplied by 1.5 basis points for the amount of aggregate outstanding principal balance multiplied by 1.0 basis point for any amount of aggregate outstanding principal ● A fee for the clearing and operational services provided by personnel 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 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 Total 6.2 3.2 million for the six and three months ended June 30, 2022, respectively, and $ 4.2 2.2 ended June 30, 2021, respectively. At June 30, 2022 and December 31, 2021, the net amount due to affiliates was approximately 1.1 million and $ 1.1 Other Relationships with Bimini Robert Cauley, the Company’s Chief Executive Officer and Chairman of the Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common Company’s Chief Financial Officer, Chief Investment Officer, Secretary and a member of the Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of June 30, 2022, Bimini owned 2,595,357 1.5 %, of the Company’s common stock. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 6 Months Ended |
Jun. 30, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of The accompanying in the United Accordingly, they management, Operating expected for The balance of the information statements |
Use of Estimates | The preparation the reported the reported significant the estimates |
Variable Interest Entity [Policy Text Block] | Variable Interest Entities (“VIEs”) The Company obtains interests in VIEs through its investments in mortgage-backed VIEs are passive in nature and are not expected to result in the Company obtaining a future. securities. exposure to loss for these VIEs is the carrying 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) June 30, 2022 December 31, 2021 Cash and cash equivalents $ 218,975 $ 385,143 Restricted cash 64,396 65,299 Total cash, cash equivalents $ 283,371 $ 450,442 The Company balances may Deposit Insurance balances are Company limits any significant |
Mortgage-Backed Securities | Mortgage-Backed The Company mortgage (“IIO”) securities RMBS. The Company refers to IO and IIO securities as structured RMBS. The Company to satisfy collateral requirements of derivative counterparties. The Company has elected U.S. Treasury Notes under the fair value option. Electing the fair value option requires the Company to record the statement of operations, which, in management’s view, more appropriately reflects the results of the Company’s operations for a particular reporting period and is consistent with the underlying economics and The Company are included sheet date Fair value between market transfer advantageous broker quotes, markets. Income on the date unrealized and the effective investment reporting and income each reporting accompanying |
Derivative Financial Instruments | Derivative and Other Hedging Instruments The Company manage other Treasury Note rate swaps, Company may 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 financial |
Repurchase Agreements | Repurchase The Company repurchase contractual |
Management Fees | Manager Compensation The Company company and Manager of which they |
Earnings Per Share | Earnings Basic earnings average number method, as diluted EPS |
Income Taxes | Income Taxes Orchid has elected and is organized and operated so as to qualify to be taxed as a Internal Revenue Code of 1986, as amended (the “Code”). income provided that they distribute to their stockholders all of their REIT taxable income least 90% of its REIT taxable income, determined without regard to the and meet other requirements of the Code to retain its tax status. Orchid assesses the likelihood, based on their technical merit, that uncertain tax 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 ).” ASU 2021-01 expands the scope of ASC 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 addition, implementation guidance to permit a company to apply certain optional expedients margining, discounting or contract price alignment of certain derivatives as a result optional expedients to account for a derivative contract modified as a continuation accounting when certain critical terms of a hedging relationship change to 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 recognized forfeiture |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following position that (in thousands) June 30, 2022 December 31, 2021 Cash and cash equivalents $ 218,975 $ 385,143 Restricted cash 64,396 65,299 Total cash, cash equivalents $ 283,371 $ 450,442 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) - Residential Mortgage Backed Securities [Member] | 6 Months Ended |
Jun. 30, 2022 | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following (in thousands) June 30, 2022 December 31, 2021 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 3,766,151 $ 6,298,189 Total Pass-Through 3,766,151 6,298,189 Structured RMBS Certificates: Interest-Only Securities 173,754 210,382 Inverse Interest-Only Securities 955 2,524 Total Structured 174,709 212,906 Total $ 3,940,860 $ 6,511,095 |
Gain (Loss) on Securities [Table Text Block] | The following and 2021. Six Months Ended June 30, 2022 2021 Proceeds from sales of RMBS $ 1,934,606 $ 1,680,903 Carrying value of RMBS sold (2,001,135) (1,686,948) Net (loss) gain on sales of RMBS $ (66,529) $ (6,045) Gross gain on sales of RMBS $ 2,705 $ 4,890 Gross loss on sales of RMBS (69,234) (10,935) Net (loss) gain on sales of RMBS $ (66,529) $ (6,045) |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements and remaining maturities | As of June below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS (1) TOTAL June 30, 2022 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,990,637 $ 887,951 $ 60,809 $ 3,939,397 Repurchase agreement liabilities associated with these securities $ - $ 2,866,787 $ 843,343 $ 48,850 $ 3,758,980 Net weighted average borrowing rate - 1.33% 1.48% 0.79% 1.36% 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% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Financial Instruments [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The table liabilities (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location June 30, 2022 December 31, 2021 Assets Interest rate swaps Derivative assets, at fair value $ 104,138 $ 29,293 Payer swaptions (long positions) Derivative assets, at fair value 88,852 21,493 Interest rate caps Derivative assets, at fair value 3,837 - TBA securities Derivative assets, at fair value 1,657 - Total derivative $ 198,484 $ 50,786 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 2,862 Payer swaptions (short positions) Derivative liabilities, at fair value 43,296 4,423 TBA securities Derivative liabilities, at fair value 295 304 Total derivative $ 43,591 $ 7,589 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 12,795 $ 8,035 TBA securities Restricted cash 471 - TBA securities Other liabilities (1,772) (856) Interest rate swaption contracts Other liabilities (43,249) (6,350) Total margin $ (31,755) $ 829 |
Schedule of Eurodollar and T-Note futures positions | The tables 2021. ($ in thousands) June 30, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short (2) September 2022 5-year T-Note futures (Sep 2022 - Sep 2027 Hedge Period) $ 1,200,500 3.13% 3.32% $ 4,138 September 2022 10-year Ultra futures (Sep 2022 - Sep 2032 Hedge Period) $ 274,500 2.64% 2.84% $ 2,442 ($ in thousands) December 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short (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) Open equity represents the cumulative gains (losses) recorded on open (2) 5-Year T-Note 112.25 120.98 the short positions were $ 1,347.6 446.4 contracts were valued at a price of $ 127.38 146.44 $ 349.6 322.2 |
Schedule of Interest Rate Swap Agreements [Table Text Block] | 3 to ≤ 5 years $ 500,000 0.84% 1.95% $ 43,221 4.2 Expiration > 5 years 900,000 1.70% 1.32% 60,917 7.1 $ 1,400,000 1.39% 1.54% $ 104,138 6.1 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" id="sjs-B6">Under its ("payer swaps"). characteristics interest 2022 and ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) June 30, 2022 Expiration > 3 to ≤ 5 years $ 500,000 0.84% 1.95% $ 43,221 4.2 Expiration > 5 years 900,000 1.70% 1.32% 60,917 7.1 $ 1,400,000 1.39% 1.54% $ 104,138 6.1 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 |
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) June 30, 2022 Payer Swaptions - long ≤ 1 year $ 31,905 $ 65,684 8.3 $ 1,282,400 2.44% 3 Month 11.3 >1 year ≤ 2 years 24,050 23,168 15.8 728,400 3.00% 3 Month 10.0 $ 55,955 $ 88,852 11.0 $ 2,010,800 2.65% 3 Month 10.8 Payer Swaptions - short ≤ 1 year $ (22,250) $ (43,296) 2.8 $ (1,433,000) 2.65% 3 Month 10.8 December 31, 2021 Payer Swaptions - long ≤ 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 ≤ 1 year $ (16,185) $ (4,423) 5.3 $ (1,331,500) 2.29% 3 Month 11.4 |
Schedule of To Be Announced Securities [TableTextBlock] | The following table summarizes 31, 2021. ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) June 30, 2022 30-Year TBA securities: 2.0% $ (175,000) $ (153,907) $ (152,250) $ 1,657 15-Year TBA securities: 3.5% 175,000 174,434 174,139 (295) Total $ - $ 20,527 $ 21,889 $ 1,362 December 31, 2021 30-Year TBA securities: 3.0% $ (575,000) $ (595,630) $ (595,934) $ (304) Total $ (575,000) $ (595,630) $ (595,934) $ (304) Notional amount represents the par value (or principal balance) of the underlying (2) Cost basis represents the forward price to be paid (received) for the underlying (3) Market value represents the current market value of the TBA securities (4) Net carrying value represents the difference between the market in derivative assets (liabilities) at fair value in the balance sheets. |
Schedule of Interest Rate Caps [Table Text Block] | The table ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 8, 2024 $ 200,000 $ 2,350 0.09% 10Y2Y $ 3,837 |
Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations | (in thousands) Six Months Ended June 30, Three Months Ended June 30, 2022 2021 2022 2021 T-Note futures contracts (short position) $ 122,968 $ 285 $ 43,073 $ (2,191) Eurodollar futures contracts (short positions) - (7) - (19) Interest rate swaps 106,103 9,446 39,819 (17,677) Payer swaptions (short positions) (44,944) 1,212 (34,036) 27,379 Payer swaptions (long positions) 91,314 3,710 50,339 (36,360) Interest rate caps 1,487 - 2,483 - Interest rate floors - 1,300 - (84) TBA securities (short positions) 3,552 3,170 1,013 (5,963) TBA securities (long positions) 1,094 (8,559) 1,067 - Total $ 281,574 $ 10,557 $ 103,758 $ (34,915) |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
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 by type, including (in thousands) June 30, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,752,295 $ - $ 3,752,295 $ 6,294,102 $ - $ 6,294,102 Structured RMBS - fair value 173,870 - 173,870 212,270 - 212,270 U.S. Treasury Notes - 36,302 36,302 - 29,740 29,740 Accrued interest on pledged securities 13,232 15 13,247 18,804 13 18,817 Restricted cash 51,130 13,266 64,396 57,264 8,035 65,299 Total $ 3,990,527 $ 49,583 $ 4,040,110 $ 6,582,440 $ 37,788 $ 6,620,228 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged The table agreements (in thousands) June 30, 2022 December 31, 2021 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 7,670 $ 45,021 $ 52,691 $ 4,339 $ 7,206 $ 11,545 Total $ 7,670 $ 45,021 $ 52,691 $ $ 4,339 $ 7,206 $ 11,545 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
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 June 30, 2022 Interest rate swaps $ 104,138 $ - $ 104,138 $ - $ - $ 104,138 Interest rate swaptions 88,852 - 88,852 - (43,249) 45,603 Interest rate caps 3,387 - 3,387 - - 3,387 TBA securities 1,657 - 1,657 - (1,772) (115) $ 198,034 $ - $ 198,034 $ - $ (45,021) $ 153,013 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 |
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 as Collateral Amount June 30, 2022 Repurchase Agreements $ 3,758,980 $ - $ 3,758,980 $ (3,707,850) $ (51,130) $ - Interest rate swaptions 43,296 - 43,296 - - 43,296 TBA securities 1,772 - 1,772 - (471) 1,301 $ 3,804,048 $ - $ 3,804,048 $ (3,707,850) $ (51,601) $ 44,597 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 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Capital Stock [Abstract] | |
Schedule of completed public offerings of shares of common stock | Common Stock The Company ended December ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 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 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) The Company has entered into ten equity distribution agreements, nine of which have 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) 0.335 59,383 Totals $ 12.770 $ 498,947 |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule of Performance Units outstanding | The following 2021. ($ in thousands, except per share data) Six Months Ended June 30, 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 133,223 $ 5.88 4,554 $ 7.45 Granted 175,572 3.31 137,897 5.88 Vested and issued (26,645) 5.88 (4,554) 7.45 Unvested, end of period 282,150 $ 4.28 137,897 $ 5.88 Compensation expense during period $ 270 $ 113 Unrecognized compensation expense, end of period $ 778 $ 702 Intrinsic value, end of period $ 804 $ 716 Weighted-average remaining vesting term (in years) 1.6 1.9 |
Schedule of Fully Vested Deferred Stock Units | The following issued during ended June years ended ($ in thousands, except per share data) Six Months Ended June 30, 2022 2021 Fully vested shares granted 175,572 137,897 Weighted average grant date price per share $ 3.31 $ 5.88 Compensation expense related to fully vested shares of common stock awards $ 581 $ 811 |
Schedule of Stock Awards | The following ($ in thousands, except per share data) Six Months Ended June 30, 2022 2021 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 142,976 $ 5.38 90,946 $ 5.44 Granted and vested 40,881 3.66 22,528 5.64 Outstanding, end of period 183,857 $ 5.00 113,474 $ 5.48 Compensation expense during period $ 153 $ 120 Intrinsic value, end of period $ 524 $ 589 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table (in thousands, except per share information) Six Months Ended June 30, Three Months Ended June 30, 2022 2021 2022 2021 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net loss - Basic and diluted $ (208,866) $ (46,234) $ (60,139) $ (16,865) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 176,251 117,500 176,251 117,500 Effect of weighting 765 (25,044) 783 (18,011) Weighted average shares-basic and diluted 177,016 92,456 177,034 99,489 Net loss per common share: Basic and diluted $ (1.18) $ (0.50) $ (0.34) $ (0.17) Anti-dilutive incentive shares not included in calculation 466 251 466 251 |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following December (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Assets Inputs Inputs (Level 1) (Level 2) (Level 3) June 30, 2022 Mortgage-backed securities $ - $ 3,940,860 $ - U.S. Treasury Notes 36,302 - - Interest rate swaps - 104,137 - Interest rate swaptions - 45,556 - Interest rate caps - 3,837 - TBA securities - 1,362 - 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) - |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | 3 Months Ended | 4 Months Ended | 6 Months Ended | 8 Months Ended | 11 Months Ended | 12 Months Ended | |||||
Mar. 05, 2021 | Jan. 25, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Oct. 28, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 21, 2021 | Dec. 31, 2021 | |
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 0 | $ 221,654,000 | |||||||||
Stock Issued During Period, Value, New Issues | $ 0 | $ 124,746,000 | $ 96,908,000 | $ 514,059,000 | |||||||
Total shares issued under distribution agreement | 23,087,000 | 18,248,000 | 100,828,173 | ||||||||
At the Market Offering Program [Member] | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 246,000,000 | $ 77,000,000 | $ 147,400,000 | ||||||||
Stock Issued During Period, Value, New Issues | $ 250,000,000 | $ 78,300,000 | $ 150,000,000 | ||||||||
Total shares issued under distribution agreement | 49,407,336 | 15,835,700 | 27,493,650 | ||||||||
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 | $ 150,000,000 | ||||||||
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 | |||||||||
Total shares issued under distribution agreement | 9,200,000 | 8,740,000 | |||||||||
Share Price | $ 5.45 | $ 5.20 | |||||||||
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 | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 218,975 | $ 385,143 | ||
Restricted cash | 64,396 | 65,299 | ||
Total cash, cash equivalents and restricted cash | $ 283,371 | $ 450,442 | $ 379,718 | $ 299,506 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | $ 3,940,860 | $ 6,511,095 |
U.S. Treasury Notes | 36,302 | 37,175 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 3,766,151 | 6,298,189 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 174,709 | 212,906 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 3,766,151 | 6,298,189 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | 173,754 | 210,382 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Mortgage-backed securities | $ 955 | $ 2,524 |
MORTGAGE-BACKED SECURITIES - Sa
MORTGAGE-BACKED SECURITIES - Sales (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Proceeds From Sale Of Mortgage Backed Securities MBS Categorized As Trading | $ 1,934,606 | $ 1,680,903 | ||
Investment Sales, Carrying Value | (2,001,135) | (1,686,948) | ||
Marketable Securities, Realized Gain (Loss) | $ (15,443) | $ 1,352 | (66,529) | (6,045) |
Available For Sale Securities Gross Realized Gains | 2,705 | 4,890 | ||
Available For Sale Securities Gross Realized Losses | (69,234) | (10,935) | ||
Realized gains (losses) on mortgage-backed securities | $ (15,443) | $ 1,352 | $ (66,529) | $ (6,045) |
REPURCHASE AGREEMENTS AND REVER
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS (Narrative) (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | $ 64,396 | $ 65,299 |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Aggregate amount at risk with all counterparties | 227,600 | |
Restricted Cash And Cash Equivalents At Carrying Value | $ 51,130 | $ 57,264 |
REPURCHASE AGREEMENTS AND REV_2
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS - Remaining Maturities (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 3,939,397 | $ 6,525,175 |
Repurchase agreement liabilities associated with these liabilities | $ 3,758,980 | $ 6,244,106 |
Net weighted average borrowing rate | 1.36% | 0.15% |
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 |
Between 2 and 30 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | 2,990,637 | 4,624,396 |
Repurchase agreement liabilities associated with these liabilities | $ 2,866,787 | $ 4,403,182 |
Net weighted average borrowing rate | 1.33% | 0.15% |
Between 31 and 90 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 887,951 | $ 1,848,080 |
Repurchase agreement liabilities associated with these liabilities | $ 843,343 | $ 1,789,327 |
Net weighted average borrowing rate | 1.48% | 0.13% |
Greater Than 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 60,809 | $ 52,699 |
Repurchase agreement liabilities associated with these liabilities | $ 48,850 | $ 51,597 |
Net weighted average borrowing rate | 0.79% | 0.15% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 198,484,000 | $ 50,786,000 |
Liabilities, at Fair Value | 43,591,000 | 7,589,000 |
Restricted cash | 64,396,000 | 65,299,000 |
Other Liabilities | 152,398,000 | 35,505,000 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 198,484,000 | 50,786,000 |
Liabilities, at Fair Value | 43,591,000 | 7,589,000 |
Restricted cash | 829,000 | |
Other Liabilities | 31,755,000 | |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 104,138,000 | 29,293,000 |
Liabilities, at Fair Value | 0 | 2,862,000 |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 1,657,000 | 0 |
Liabilities, at Fair Value | 295,000 | 304,000 |
Restricted cash | 471,000 | 0 |
Other Liabilities | 1,772,000 | 856,000 |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 12,795,000 | 8,035,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Other Liabilities | 43,249,000 | 6,350,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 43,296,000 | 4,423,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 88,852,000 | 21,493,000 |
Interest Rate Cap | ||
Derivative [Line Items] | ||
Assets, at Fair Value | $ 0 | |
Interest Rate Cap | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | $ 3,837,000 |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - Year 2022 Expiration [Member] - Short [Member] - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
5-Year Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,200,500,000 | $ 369,000,000 |
Derivative Entry Rate | 3.13% | 1.56% |
Locked-In LIBOR Rate | 3.32% | 1.62% |
Open Equity | $ 4,138,000 | $ 1,013,000 |
Dollar Price | 112.25 | 120.98 |
Contract Value | $ 1,347,600,000 | $ 446,400,000 |
Ten Year Ultra Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 274,500,000 | $ 220,000,000 |
Derivative Entry Rate | 2.64% | 1.22% |
Locked-In LIBOR Rate | 2.84% | 1.09% |
Open Equity | $ 2,442,000 | $ (3,861,000) |
Dollar Price | 127.38 | 146.44 |
Contract Value | $ 349,600,000 | $ 322,200,000 |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2020 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 0 | ||
Net Estimated Fair Value | 1,362,000 | ||
Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 1,400,000,000 | $ 1,355,000,000 | |
Average Fixed Pay Rate | 1.39% | 0.79% | |
Average Receive Rate | 1.54% | 0.18% | |
Net Estimated Fair Value | $ 104,138,000 | $ 26,431,000 | |
Average Maturity | 6 years 1 month 6 days | 5 years | |
Swap [Member] | 3-5 Years | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 500,000,000 | $ 955,000,000 | |
Average Fixed Pay Rate | 0.84% | 0.64% | |
Average Receive Rate | 1.95% | 0.16% | |
Net Estimated Fair Value | $ 43,221,000 | $ 21,788,000 | |
Average Maturity | 4 years 2 months 12 days | 4 years | |
Swap [Member] | More Than Five Years [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 900,000,000 | $ 400,000,000 | |
Average Fixed Pay Rate | 1.70% | 1.16% | |
Average Receive Rate | 1.32% | 0.21% | |
Net Estimated Fair Value | $ 60,917,000 | $ 4,643,000 | |
Average Maturity | 7 years 1 month 6 days | 7 years 3 months 18 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | ||
Net Estimated Fair Value | $ 1,362 | |
Notional Amount | 0 | |
Payer Swaption [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | 55,955 | $ 36,690 |
Net Estimated Fair Value | $ 88,852 | $ 21,493 |
Derivative Instruments Average Months To Expiration | 11 months | 14 months 21 days |
Notional Amount | $ 2,010,800 | $ 400,000 |
Derivative Average Fixed Interest Rate | 2.65% | 2.27% |
Term (Years) | 10 years 9 months 18 days | 11 years 10 months 24 days |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 22,250 | $ 16,185 |
Net Estimated Fair Value | $ 43,296 | $ 4,423 |
Derivative Instruments Average Months To Expiration | 2 months 24 days | 5 months 9 days |
Notional Amount | $ 1,433,000 | $ 1,331,500 |
Derivative Average Fixed Interest Rate | 2.65% | 2.29% |
Term (Years) | 10 years 9 months 18 days | 11 years 4 months 24 days |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 31,905 | $ 4,000 |
Net Estimated Fair Value | $ 65,684 | $ 1,575 |
Derivative Instruments Average Months To Expiration | 8 months 9 days | 3 months 6 days |
Notional Amount | $ 1,282,400 | $ 1,258,500 |
Derivative Average Fixed Interest Rate | 2.44% | 1.66% |
Term (Years) | 11 years 3 months 18 days | 5 years |
Payer Swaption [Member] | One Year To Two Years [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 24,050 | $ 32,690 |
Net Estimated Fair Value | $ 23,168 | $ 19,918 |
Derivative Instruments Average Months To Expiration | 15 months 24 days | 18 months 12 days |
Notional Amount | $ 728,400 | $ 1,658,500 |
Derivative Average Fixed Interest Rate | 3% | 2.46% |
Term (Years) | 10 years | 14 years 1 month 6 days |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 0 | |
Cost Basis | 20,527 | |
Market Value Of TBA Contract | 21,889 | |
Net Estimated Fair Value | 1,362 | |
30 Year [Member] | 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) | |
30 Year [Member] | 2.0% [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 175,000 | |
Cost Basis | (153,907) | |
Market Value Of TBA Contract | (152,250) | |
Net Estimated Fair Value | 1,657 | |
30 Year [Member] | 3.0% [Member] | 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) | |
15 Year [Member] | 3.5% Percent [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 175,000 | |
Cost Basis | 174,434 | |
Market Value Of TBA Contract | 174,139 | |
Net Estimated Fair Value | $ (295) |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - Interest Rate Cap Positions (Details) $ in Thousands | Jun. 30, 2022 USD ($) |
Derivatives, Fair Value [Line Items] | |
Notional Amount | $ 0 |
Cost Basis | 20,527 |
Derivative Asset, Fair Value, Gross Asset | 1,362 |
Interest Rate Cap | Ten Year Vs Two Year [Member] | |
Derivatives, Fair Value [Line Items] | |
Notional Amount | 200,000 |
Cost Basis | $ 2,350 |
Derivative, Cap Interest Rate | 0.09% |
Derivative Asset, Fair Value, Gross Asset | $ 3,837 |
DERIVATIVE FINANCIAL INSTRUME_8
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | $ 103,758 | $ (34,915) | $ 281,574 | $ 10,557 |
Eurodollar Future [Member] | Short [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 0 | (19) | 0 | (7) |
Treasury Note Future [Member] | Short [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 43,073 | (2,191) | 122,968 | 285 |
Swap [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 39,819 | (17,677) | 106,103 | 9,446 |
Payer Swaption [Member] | Short [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | (34,036) | 27,379 | (44,944) | 1,212 |
Payer Swaption [Member] | Long [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 50,339 | (36,360) | 91,314 | 3,710 |
Interest Rate Floor [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 0 | (84) | 0 | 1,300 |
TBA Contracts [Member] | Short [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 1,013 | (5,963) | 3,552 | 3,170 |
TBA Contracts [Member] | Long [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 1,067 | 0 | 1,094 | (8,559) |
Interest Rate Cap | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | $ 2,483 | $ 0 | $ 1,487 | $ 0 |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Pledged Assets [Line Items] | ||
Accrued interest receivable | $ 13,932 | $ 18,859 |
Restricted cash | 64,396 | 65,299 |
Total Assets Pledged To Counterparties | 4,040,110 | 6,620,228 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 51,130 | 57,264 |
Total Assets Pledged To Counterparties | 3,990,527 | 6,582,440 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 13,266 | 8,035 |
Total Assets Pledged To Counterparties | 49,583 | 37,788 |
Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 13,247 | 18,817 |
Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 3,752,295 | 6,294,102 |
Residential Mortgage Backed Securities [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 173,870 | 212,270 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 13,232 | 18,804 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 3,752,295 | 6,294,102 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 173,870 | 212,270 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 15 | 13 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 0 | 0 |
US Treasury Notes | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 36,302 | 29,740 |
US Treasury Notes | Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | 0 | 0 |
US Treasury Notes | Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged | $ 36,302 | $ 29,740 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 52,691 | $ 11,545 |
Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 52,691 | 11,545 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 7,670 | 4,339 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 7,670 | 4,339 |
Derivative Agreements [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 45,021 | 7,206 |
Derivative Agreements [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 45,021 | $ 7,206 |
OFFSETTING ASSETS AND LIABILI_3
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | $ 198,034 | $ 50,786 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 198,034 | 50,786 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (45,021) | (6,350) |
Net Amount Of Assets | 153,013 | 44,436 |
Payer Swaption [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 88,852 | 21,493 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 88,852 | 21,493 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (43,249) | (6,350) |
Net Amount Of Assets | 45,603 | 15,143 |
TBA Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 3,387 | |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 3,387 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | |
Net Amount Of Assets | 3,387 | |
Swap [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 104,138 | 29,293 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 104,138 | 29,293 |
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 | 104,138 | $ 29,293 |
Interest Rate Cap | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 3,387 | |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 3,387 | |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | |
Net Amount Of Assets | $ 3,387 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 3,804,048 | $ 6,251,695 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,804,048 | 6,251,695 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,707,850) | (6,189,704) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (51,601) | (57,264) |
Net Amount Of Liabilities | 44,597 | 4,727 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 3,758,980 | 6,244,106 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,758,980 | 6,244,106 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,707,850) | (6,186,842) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (51,130) | (57,264) |
Net Amount Of Liabilities | 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 2,862 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 2,862 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (2,862) | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | |
Net Amount Of Liabilities | 0 | |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 1,772 | 304 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 1,772 | 304 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (471) | 0 |
Net Amount Of Liabilities | 1,301 | 304 |
Payer Swaption [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 43,296 | 4,423 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 43,296 | 4,423 |
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 | $ 43,296 | $ 4,423 |
CAPITAL STOCK - Completed publi
CAPITAL STOCK - Completed public offerings ofcommon stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2021 | |
Stock Issued During Period Shares New Issues | 23,087,000 | 18,248,000 | 100,828,173 | |||
Stock Issued During Period, Value, New Issues | $ 0 | $ 124,746 | $ 96,908 | $ 514,059 | ||
At the Market Offering Program [Member] | ||||||
Weighted Average Price Received Per Share | $ 4.87 | $ 4.94 | $ 5.40 | $ 5.10 | $ 4.87 | |
Stock Issued During Period Shares New Issues | 23,674,698 | 35,818,338 | 23,087,089 | 308,048 | ||
Stock Issued During Period, Value, New Issues | $ 115,398 | $ 177,007 | $ 124,746 | $ 1,572 | ||
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 | 3 Months Ended | 6 Months Ended | 83 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2022 | Jun. 30, 2022 | Dec. 09, 2021 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Line Items] | ||||||
Stock Repurchased and Retired During Period, Shares | 876,000 | |||||
Stock Repurchased and Retired During Period, Value | $ (2,218) | |||||
Share Repurchase Program [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Stock Repurchased and Retired During Period, Shares | 876,299 | 6,561,810 | ||||
Stock Repurchased and Retired During Period, Value | $ 2,200 | $ 42,600 | ||||
Weighted Average Share Repurchase Price | $ 2.53 | $ 6.49 | ||||
Share Repurchase Program [Member] | Maximum [Member] | Common Stock [Member] | ||||||
Share Repurchase Program [Line Items] | ||||||
Share Repurchase | 5,306,579 | 2,000,000 | ||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 16,823,006 | 16,823,006 | 16,823,006 | 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 |
CAPITAL STOCK - Cash dividends
CAPITAL STOCK - Cash dividends declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 5 Months Ended | 6 Months Ended | 12 Months Ended | 109 Months Ended | ||||||||||||
Aug. 05, 2022 | Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Aug. 01, 2017 | Jun. 30, 2022 | Jun. 30, 2021 | 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 | $ 0.135 | $ 0.195 | $ 0.290 | $ 0.390 | |||||||||||||
Total | $ 17,226 | ||||||||||||||||
Dividend Declared [Member] | |||||||||||||||||
Dividends Payable [Line Items] | |||||||||||||||||
Per Share Amount | $ 1.680 | $ 0.335 | $ 0.780 | $ 0.790 | $ 0.960 | $ 1.070 | $ 1.680 | $ 1.680 | $ 1.920 | $ 2.160 | $ 1.395 | $ 12.770 | |||||
Total | $ 70,717 | $ 59,383 | $ 97,601 | $ 53,570 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 498,947 | |||||
Dividend Declared [Member] | Subsequent Event [Member] | |||||||||||||||||
Dividends Payable [Line Items] | |||||||||||||||||
Dividends Payable, Date Declared | Jul. 13, 2022 | ||||||||||||||||
Dividends Payable, Date to be Paid | Aug. 29, 2022 | ||||||||||||||||
Per Share Amount | $ 0.045 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) | 6 Months Ended |
Jun. 30, 2022 shares | |
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% |
STOCK INCENTIVE PLAN - Performa
STOCK INCENTIVE PLAN - Performance Units (Details) - Performance Shares [Member] - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 133,223 | 4,554 |
Granted | 175,572 | 137,897 |
Vested | 26,645 | 4,554 |
Nonvested - Ending Balance | 282,150 | 137,897 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 5.88 | $ 7.45 |
Granted | 3.31 | 5.88 |
Vested | 5.88 | 7.45 |
Nonvested - Ending Balance | $ 4.28 | $ 5.88 |
Intrinsic Value of Nonvested | $ 804 | $ 716 |
Weighted Average Remaining Term | 1 year 7 months 6 days | 1 year 10 months 24 days |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 778 | $ 702 |
Share Based Compensation | $ 270 | $ 113 |
STOCK INCENTIVE PLAN - Share A
STOCK INCENTIVE PLAN - Share Awards (Details) - Share Awards [Member] - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
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 | 175,572 | 137,897 |
ShareBasedCompensationArrangementByShareBasedPaymentAwardOptionsGrantsInPeriodWeightedAverageGrantDateFairValue | $ 3.31 | $ 5.88 |
Share Based Compensation | $ 581 | $ 811 |
STOCK INCENTIVE PLAN - Deferred
STOCK INCENTIVE PLAN - Deferred Stock Units (Details - Deferred Stock Units [Member] - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Incentive Share Activity, Shares | ||||
Outstanding, beginning of period | 142,976 | 90,946 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 40,881 | 22,528 | ||
Outstanding, end of period | 183,857 | 113,474 | ||
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 | $ 5.48 | $ 5.38 | $ 5.44 |
Granted | 3.66 | 5.64 | ||
Outstanding, end of period | $ 5 | $ 5.48 | ||
Share Based Compensation | $ 153 | $ 120 | ||
Intrinsic Value of Nonvested | $ 524 | $ 589 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | ||||
Net Income (Loss) Available to Common Stockholders, Basic | $ (60,139) | $ (16,865) | $ (208,866) | $ (46,234) |
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | ||||
Common Shares Outstanding | 176,251,000 | 117,500,000 | 176,251,000 | 117,500,000 |
Effect of Weighting | 783,000 | (18,011,000) | 765,000 | (25,044,000) |
Weighted Average Number Of Basic Shares Outstanding | 177,034,159 | 99,489,065 | 177,015,963 | 92,456,082 |
Earnings Per Share Basic | $ (0.34) | $ (0.17) | $ (1.18) | $ (0.50) |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 466,000 | 251,000 | 466,000 | 251,000 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,940,860 | $ 6,511,095 |
Derivative, Fair Value, Net | 198,484 | 50,786 |
U.S. Treasury Notes | 36,302 | 37,175 |
Interest Rate Cap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 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 | 36,302 | 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 1 [Member] | Interest Rate Cap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | |
Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,940,860 | 6,511,095 |
U.S. Treasury Notes | 0 | 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 | 104,137 | 26,431 |
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 | 45,556 | 17,070 |
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 | 1,362 | (304) |
Fair Value, Inputs, Level 2 [Member] | Interest Rate Cap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 3,837 | |
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 | 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 |
Fair Value, Inputs, Level 3 [Member] | Interest Rate Cap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | $ 0 |
RELATED PARTY TRANSACTIONS - Ma
RELATED PARTY TRANSACTIONS - Management Agreement (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||||
Due to affiliates | $ 1,138 | $ 1,138 | $ 1,062 | ||
Bimini Advisors, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Termination Date | February 20, 2023 | ||||
Management Fees And Allocated Expenses | 3,200 | $ 4,200 | $ 6,200 | $ 2,200 | |
Due to affiliates | $ 1,100 | $ 1,100 | $ 1,100 |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) - Bimini Capital Management Inc [Member] | Jun. 30, 2022 shares |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 2,595,357 |
Entity Ownership Percentage | 1.50% |