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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Orchid Island Capital, Inc. | AMEX:ORC | AMEX | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 0.00 | - |
Maryland
|
27-3269228
|
|
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
Page
|
||||
PART I. FINANCIAL INFORMATION
|
||||
ITEM 1. Financial Statements
|
1 | |||
Balance Sheets as of June 30, 2014 (unaudited) and December 31, 2013
|
1 | |||
Statements of Operations (unaudited) for the six and three months ended June 30, 2014 and 2013
|
2 | |||
Statement of Stockholders’ Equity (unaudited) for the six months ended June 30, 2014
|
3 | |||
Statements of Cash Flows (unaudited) for the six months ended June 30, 2014 and 2013
|
4 | |||
ITEM 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
20 | |||
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
|
42 | |||
ITEM 4. Controls and Procedures
|
42 | |||
PART II. OTHER INFORMATION
|
||||
ITEM 1. Legal Proceedings
|
43 | |||
ITEM 1A. Risk Factors
|
43 | |||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
43 | |||
ITEM 3. Defaults Upon Senior Securities
|
43 | |||
ITEM 4. Mine Safety Disclosures
|
43 | |||
ITEM 5. Other Information
|
43 | |||
ITEM 6. Exhibits
|
44 | |||
SIGNATURES
|
45 |
(in thousands)
|
||||||||
June 30, 2014
|
December 31, 2013
|
|||||||
Pass-Through RMBS Certificates:
|
||||||||
Hybrid Adjustable-rate Mortgages
|
$ | 75,061 | $ | 76,118 | ||||
Adjustable-rate Mortgages
|
4,650 | 5,334 | ||||||
Fixed-rate Mortgages
|
747,210 | 245,523 | ||||||
Total Pass-Through Certificates
|
826,921 | 326,975 | ||||||
Structured RMBS Certificates:
|
||||||||
Interest-Only Securities
|
38,743 | 19,206 | ||||||
Inverse Interest-Only Securities
|
10,340 | 5,042 | ||||||
Total Structured RMBS Certificates
|
49,083 | 24,248 | ||||||
Total
|
$ | 876,004 | $ | 351,223 |
(in thousands)
|
||||||||
June 30, 2014
|
December 31, 2013
|
|||||||
Greater than five years and less than ten years
|
$ | 1,134 | $ | 1,521 | ||||
Greater than or equal to ten years
|
874,870 | 349,702 | ||||||
Total
|
$ | 876,004 | $ | 351,223 |
($ in thousands)
|
||||||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
GREATER
|
|||||||||||||||||
(1 DAY OR
|
AND
|
AND
|
THAN
|
|||||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
90 DAYS
|
TOTAL
|
||||||||||||||||
June 30, 2014
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$ | - | $ | 595,201 | $ | 233,351 | $ | 7,981 | $ | 836,533 | ||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$ | - | $ | 560,659 | $ | 217,199 | $ | 5,843 | $ | 783,701 | ||||||||||
Net weighted average borrowing rate
|
- | 0.35 | % | 0.34 | % | 0.31 | % | 0.35 | % | |||||||||||
December 31, 2013
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$ | - | $ | 326,348 | $ | 10,650 | $ | - | $ | 336,998 | ||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$ | - | $ | 308,402 | $ | 10,155 | $ | - | $ | 318,557 | ||||||||||
Net weighted average borrowing rate
|
- | 0.39 | % | 0.37 | % | - | 0.39 | % |
($ in thousands)
|
|||||
% of
|
Weighted
|
||||
Stockholders'
|
Average
|
||||
Amount
|
Equity
|
Maturity
|
|||
Repurchase Agreement Counterparties
|
at Risk
|
at Risk
|
(in Days)
|
||
Citigroup Global Markets, Inc.
|
$
|
5,487
|
12.3%
|
11
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
June 30, 2014
|
December 31, 2013
|
||||||
Assets
|
|||||||||
Eurodollar futures - Margin posted to counterparty
|
Restricted cash
|
$ | 3,584 | $ | 2,446 | ||||
Payer swaption
|
Derivative assets, at fair value
|
1,200 | - | ||||||
$ | 4,784 | $ | 2,446 | ||||||
Liability
|
|||||||||
Payer swaption - Margin posted by counterparty
|
Other liabilities
|
$ | (1,266 | ) | $ | - |
($ in thousands)
|
||||||||||||||||||||||||
June 30, 2014
|
December 31, 2013
|
|||||||||||||||||||||||
Average
|
Average
|
|||||||||||||||||||||||
Weighted
|
Contract
|
Weighted
|
Contract
|
|||||||||||||||||||||
Average
|
Notional
|
Open
|
Average
|
Notional
|
Open
|
|||||||||||||||||||
Expiration Year
|
LIBOR Rate
|
Amount
|
Equity
(1)
|
LIBOR Rate
|
Amount
|
Equity
(1)
|
||||||||||||||||||
2014
|
- | $ | - | $ | - | 0.40 | % | $ | 262,500 | $ | (189 | ) | ||||||||||||
2015
|
0.65 | % | 550,000 | (789 | ) | 0.80 | % | 275,000 | (146 | ) | ||||||||||||||
2016
|
1.54 | % | 550,000 | 159 | 1.90 | % | 250,000 | 1,367 | ||||||||||||||||
2017
|
2.46 | % | 400,000 | 202 | 3.03 | % | 250,000 | 2,291 | ||||||||||||||||
2018
|
2.98 | % | 400,000 | (452 | ) | 3.77 | % | 250,000 | 1,575 | |||||||||||||||
Total / Weighted Average
|
1.71 | % | $ | 480,000 | $ | (880 | ) | 2.02 | % | $ | 257,353 | $ | 4,898 |
(1)
|
($ in thousands)
|
|||||||
Option
|
Underlying Swap
|
||||||
Fixed
|
Receive
|
||||||
Fair
|
Months to
|
Notional
|
Pay
|
Rate
|
Term
|
||
Expiration
|
Cost
|
Value
|
Expiration
|
Amount
|
Rate
|
(LIBOR)
|
(Years)
|
≤ 1 year
|
$1,520 | $1,200 |
11.5
|
$100,000 |
2.38%
|
3 Month
|
5
|
(in thousands)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2014
|
2013
|
2014
|
2013
|
|||||||||||||
Eurodollar futures contracts (short positions)
|
$ | (6,136 | ) | $ | 6,368 | $ | (4,599 | ) | $ | 6,852 | ||||||
Payer swaptions
|
(1,285 | ) | - | (1,129 | ) | - | ||||||||||
$ | (7,421 | ) | $ | 6,368 | $ | (5,728 | ) | $ | 6,852 |
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Assets
|
||||||||||||||||||||||||
Gross Amount Not Offset
|
||||||||||||||||||||||||
in the Balance Sheet
|
||||||||||||||||||||||||
Net Amount
|
Financial
|
|||||||||||||||||||||||
Gross Amount
|
Gross Amount
|
of Assets
|
Instruments
|
Cash
|
||||||||||||||||||||
of Recognized
|
Offset in the
|
Presented in the
|
Received as
|
Received as
|
Net
|
|||||||||||||||||||
Assets
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
June 30, 2014
|
||||||||||||||||||||||||
Derivative asset - Payer swaption
|
$ | 1,200 | $ | - | $ | 1,200 | $ | - | $ | (1,200 | ) | $ | - | |||||||||||
December 31, 2013
|
||||||||||||||||||||||||
Derivative asset
|
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - |
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Liabilities
|
||||||||||||||||||||||||
Gross Amount Not Offset
|
||||||||||||||||||||||||
in the Balance Sheet
|
||||||||||||||||||||||||
Net Amount
|
Financial
|
|||||||||||||||||||||||
Gross Amount
|
Gross Amount
|
of Liabilities
|
Instruments
|
|||||||||||||||||||||
of Recognized
|
Offset in the
|
Presented in the
|
Posted as
|
Cash Posted
|
Net
|
|||||||||||||||||||
Liabilities
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
June 30, 2014
|
||||||||||||||||||||||||
Repurchase Agreements
|
$ | 783,701 | $ | - | $ | 783,701 | $ | (783,701 | ) | $ | - | $ | - | |||||||||||
December 31, 2013
|
||||||||||||||||||||||||
Repurchase Agreements
|
$ | 318,557 | $ | - | $ | 318,557 | $ | (318,557 | ) | $ | - | $ | - |
($ in thousands, except per share amounts)
|
|||||||||||||
Price
|
|||||||||||||
Received
|
Net
|
||||||||||||
Type of Offering
|
Month
|
Per Share
(1)
|
Shares
|
Proceeds
(2)
|
|||||||||
2014
|
|||||||||||||
Secondary Offering
|
January 2014
|
$ | 12.50 | 2,070,000 | $ | 24,174 | |||||||
Secondary Offering
(3)
|
March 2014
|
12.55 | 3,680,000 | 43,989 | |||||||||
At-the-Market Offering Program
(4)
|
June 2014
|
13.14 | 537,499 | 6,914 | |||||||||
At-the-Market Offering Program
(4)
|
July 2014
|
13.07 | 115,921 | 1,483 | |||||||||
6,403,420 | $ | 76,560 | |||||||||||
2013
|
|||||||||||||
Initial Public Offering
|
February 2013
|
$ | 15.00 | 2,360,000 | $ | 35,400 | (5) | ||||||
2,360,000 | $ | 35,400 |
(1)
|
(2)
|
Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs.
|
(3)
|
Includes net proceeds received of $5.7 million and 480,000 shares issued to the underwriters in April 2014 pursuant to the exercise of their overallotment option related to the March 2014 offering.
|
(4)
|
The Company entered into an Equity Distribution Agreement with two sales agents to publicly offer and sell shares of the Company’s common stock in at-the-market and privately negotiated transactions from time to time. The net proceeds and shares issued in July 2014 under this program are not reflected in the Company’s financial statements as of June 30, 2014. As of June 30, 2014, shares with a value of $27.9 million remain available for issuance under the Equity Distribution Agreement.
|
(5)
|
Bimini Advisors has paid, or has reimbursed the Company for all offering expenses in connection with the Company’s IPO. The Company has no obligation or intent to reimburse Bimini Advisors, either directly or indirectly, for the offering costs; therefore they are not included in the Company's financial statements.
|
Declaration Date
|
Record Date
|
Payment Date
|
Per Share Amount
|
Total
|
||||||
2014
|
||||||||||
July 10, 2014
(1)
|
July 28, 2014
|
July 31, 2014
|
$ | 0.180 | $ | 1,758,965 | ||||
June 11, 2014
|
June 25, 2014
|
June 30, 2014
|
0.180 | 1,711,531 | ||||||
May 8, 2014
|
May 27, 2014
|
May 30, 2014
|
0.180 | 1,640,820 | ||||||
April 8, 2014
|
April 25, 2014
|
April 30, 2014
|
0.180 | 1,636,500 | ||||||
March 11, 2014
|
March 26, 2014
|
March 31, 2014
|
0.180 | 1,550,100 | ||||||
February 11, 2014
|
February 25, 2014
|
February 28, 2014
|
0.180 | 974,100 | ||||||
January 9, 2014
|
January 27, 2014
|
January 31, 2014
|
0.180 | 925,500 | ||||||
2013
|
||||||||||
December 11, 2013
|
December 26, 2013
|
December 30, 2013
|
0.180 | 601,500 | ||||||
November 12, 2013
|
November 25, 2013
|
November 27, 2013
|
0.135 | 451,125 | ||||||
October 10, 2013
|
October 25, 2013
|
October 31, 2013
|
0.135 | 451,125 | ||||||
September 10, 2013
|
September 25, 2013
|
September 30, 2013
|
0.135 | 451,125 | ||||||
August 12, 2013
|
August 26, 2013
|
August 30, 2013
|
0.135 | 451,125 | ||||||
July 9, 2013
|
July 25, 2013
|
July 31, 2013
|
0.135 | 451,125 | ||||||
June 10, 2013
|
June 25, 2013
|
June 28, 2013
|
0.135 | 451,125 | ||||||
May 9, 2013
|
May 28, 2013
|
May 31, 2013
|
0.135 | 451,125 | ||||||
April 10, 2013
|
April 25, 2013
|
April 30, 2013
|
0.135 | 451,125 | ||||||
March 8, 2013
|
March 25, 2013
|
March 27, 2013
|
0.135 | 451,125 |
(1)
|
Weighted-
|
Weighted-
|
|||||||||||
Average
|
Average
|
|||||||||||
|
Grant-Date
|
Remaining
|
||||||||||
|
Shares
|
Fair Value
|
Life
|
|||||||||
Restricted common stock, at January 1, 2014
|
- | $ | - | - | ||||||||
Restricted common stock granted during the period
|
26,944 | 12.32 | - | |||||||||
Vested during the period
|
(2,944 | ) | 13.06 | - | ||||||||
Restricted common stock, at June 30, 2014
|
24,000 | $ | 12.23 |
2.8 Years
|
(in thousands, except per-share information)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2014
|
2013
|
2014
|
2013
|
|||||||||||||
Basic and diluted EPS per common share:
|
||||||||||||||||
Numerator for basic and diluted EPS per common share:
|
||||||||||||||||
Net income (loss) - Basic and diluted
|
$ | 14,230 | $ | (1,146 | ) | $ | 10,635 | $ | (1,546 | ) | ||||||
Weighted average common shares:
|
||||||||||||||||
Common shares outstanding at the balance sheet date
|
9,632 | 3,342 | 9,632 | 3,342 | ||||||||||||
Unvested dividend eligible shares of restricted common stock
|
||||||||||||||||
outstanding at the balance sheet date
|
24 | - | 24 | - | ||||||||||||
Effect of weighting
|
(2,559 | ) | (665 | ) | (578 | ) | - | |||||||||
Weighted average shares-basic and diluted
|
7,097 | 2,677 | 9,078 | 3,342 | ||||||||||||
Income (loss) per common share:
|
||||||||||||||||
Basic and diluted
|
$ | 2.01 | $ | (0.43 | ) | $ | 1.17 | $ | (0.46 | ) |
·
|
Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume),
|
·
|
Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
|
·
|
Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.
|
(in thousands)
|
||||||||||||||||
Quoted Prices
|
||||||||||||||||
in Active
|
Significant
|
|||||||||||||||
Markets for
|
Other
|
Significant
|
||||||||||||||
Identical
|
Observable
|
Unobservable
|
||||||||||||||
Fair Value
|
Assets
|
Inputs
|
Inputs
|
|||||||||||||
Measurements
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
|||||||||||||
June 30, 2014
|
||||||||||||||||
Mortgage-backed securities
|
$ | 876,004 | $ | - | $ | 876,004 | $ | - | ||||||||
Eurodollar futures contracts
|
3,584 | 3,584 | - | - | ||||||||||||
Payer swaption
|
1,200 | - | 1,200 | - | ||||||||||||
December 31, 2013
|
||||||||||||||||
Mortgage-backed securities
|
$ | 351,223 | $ | - | $ | 351,223 | $ | - | ||||||||
Eurodollar futures contracts
|
2,446 | 2,446 | - | - |
·
|
One-twelfth of 1.5% of the first $250 million of the Company’s equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Company’s equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of the Company’s equity that is greater than $500 million.
|
·
|
interest rate trends;
|
·
|
the difference between Agency RMBS yields and our funding and hedging costs;
|
·
|
competition for investments in Agency RMBS;
|
·
|
recent actions taken by the Federal Reserve and the U.S. Treasury;
|
·
|
prepayment rates on mortgages underlying our Agency RMBS, and credit trends insofar as they affect prepayment rates; and
|
·
|
other market developments.
|
·
|
our degree of leverage;
|
·
|
our access to funding and borrowing capacity;
|
·
|
our borrowing costs;
|
·
|
our hedging activities;
|
·
|
the market value of our investments; and
|
·
|
the requirements to qualify as a REIT and the requirements to qualify for a registration exemption under the Investment Company Act.
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended, June 30,
|
|||||||||||||||||||||||
2014
|
2013
|
Change
|
2014
|
2013
|
Change
|
|||||||||||||||||||
Interest income
|
$ | 10,372 | $ | 3,842 | $ | 6,530 | $ | 6,589 | $ | 2,429 | $ | 4,160 | ||||||||||||
Interest expense
|
(1,087 | ) | (523 | ) | (564 | ) | (676 | ) | (322 | ) | (354 | ) | ||||||||||||
Net interest income
|
9,285 | 3,319 | 5,966 | 5,913 | 2,107 | 3,806 | ||||||||||||||||||
Gains (losses) on RMBS and derivative contracts
|
6,594 | (3,615 | ) | 10,209 | 5,836 | (3,202 | ) | 9,038 | ||||||||||||||||
Net portfolio income (deficiency)
|
15,879 | (296 | ) | 16,175 | 11,749 | (1,095 | ) | 12,844 | ||||||||||||||||
Expenses
|
(1,649 | ) | (850 | ) | (799 | ) | (1,114 | ) | (451 | ) | (663 | ) | ||||||||||||
Net income (loss)
|
$ | 14,230 | $ | (1,146 | ) | $ | 15,376 | $ | 10,635 | $ | (1,546 | ) | $ | 12,181 |
Gains (Losses) on Derivative Instruments
|
||||||||||||
(in thousands)
|
||||||||||||
Recognized in
|
Attributed to
|
Attributed to
|
||||||||||
Income
|
Current
|
Future
|
||||||||||
Statement
|
Period
|
Periods
|
||||||||||
(GAAP)
|
(Non-GAAP)
|
(Non-GAAP)
|
||||||||||
Three Months Ended
|
||||||||||||
June 30, 2014
|
$ | (5,728 | ) | $ | (3 | ) | $ | (5,725 | ) | |||
March 31, 2014
|
(1,693 | ) | (30 | ) | (1,663 | ) | ||||||
December 31, 2013
|
733 | (42 | ) | 775 | ||||||||
September 30, 2013
|
(2,272 | ) | (28 | ) | (2,244 | ) | ||||||
June 30, 2013
|
6,852 | (4 | ) | 6,856 | ||||||||
March 31, 2013
|
(484 | ) | (65 | ) | (419 | ) | ||||||
Six Months Ended
|
||||||||||||
June 30, 2014
|
$ | (7,421 | ) | $ | (33 | ) | $ | (7,388 | ) | |||
June 30, 2013
|
6,368 | (69 | ) | 6,437 |
Economic Interest Expense and Economic Net Interest Income
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Interest Expense on Repurchase Agreements
|
||||||||||||||||||||||||
Gains (Losses)
|
Net Interest Income
|
|||||||||||||||||||||||
GAAP
|
on Derivative
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||||||
Interest
|
Interest
|
Instruments Attributed
|
Interest
|
Net Interest
|
Net Interest
|
|||||||||||||||||||
Income
|
Expense
|
to Current Period
(1)
|
Expense
(2)
|
Income
|
Income
(3)
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
June 30, 2014
|
$ | 6,589 | $ | 676 | $ | (3 | ) | $ | 679 | $ | 5,913 | $ | 5,910 | |||||||||||
March 31, 2014
|
3,783 | 411 | (30 | ) | 441 | 3,372 | 3,342 | |||||||||||||||||
December 31, 2013
|
2,806 | 309 | (42 | ) | 351 | 2,497 | 2,455 | |||||||||||||||||
September 30, 2013
|
2,551 | 294 | (28 | ) | 322 | 2,257 | 2,229 | |||||||||||||||||
June 30, 2013
|
2,429 | 322 | (4 | ) | 326 | 2,107 | 2,103 | |||||||||||||||||
March 31, 2013
|
1,413 | 201 | (65 | ) | 266 | 1,212 | 1,147 | |||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||
June 30, 2014
|
$ | 10,372 | $ | 1,087 | $ | (33 | ) | $ | 1,120 | $ | 9,285 | 9,252 | ||||||||||||
June 30, 2013
|
3,842 | 523 | (69 | ) | 592 | 3,319 | 3,250 |
(1)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(2)
|
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
|
(3)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.
|
($ in thousands)
|
||||||||||||||||||||||||||||||||
Average
|
Yield on
|
|||||||||||||||||||||||||||||||
RMBS
|
Average
|
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||||||||||||
Securities
|
Interest
|
RMBS
|
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||||||||
Held
(1)
|
Income
|
Securities
|
Agreements
(1)
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(3)
|
|||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||
June 30, 2014
|
$ | 811,881 | $ | 6,589 | 3.25 | % | $ | 717,474 | $ | 676 | $ | 679 | 0.38 | % | 0.38 | % | ||||||||||||||||
March 31, 2014
|
549,490 | 3,783 | 2.75 | % | 484,902 | 411 | 441 | 0.34 | % | 0.36 | % | |||||||||||||||||||||
December 31, 2013
|
341,505 | 2,806 | 3.29 | % | 310,107 | 309 | 351 | 0.40 | % | 0.45 | % | |||||||||||||||||||||
September 30, 2013
|
335,467 | 2,551 | 3.04 | % | 305,196 | 294 | 322 | 0.39 | % | 0.42 | % | |||||||||||||||||||||
June 30, 2013
|
349,704 | 2,429 | 2.78 | % | 312,591 | 322 | 326 | 0.41 | % | 0.42 | % | |||||||||||||||||||||
March 31, 2013
|
237,820 | 1,413 | 2.38 | % | 210,194 | 201 | 266 | 0.38 | % | 0.51 | % | |||||||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||||||||||
June 30, 2014
|
$ | 680,685 | $ | 10,372 | 3.05 | % | $ | 601,188 | $ | 1,087 | $ | 1,120 | 0.36 | % | 0.37 | % | ||||||||||||||||
June 30, 2013
|
293,762 | 3,842 | 2.62 | % | 261,392 | 523 | 592 | 0.40 | % | 0.45 | % |
($ in thousands)
|
||||||||||||||||
Net Interest Income
|
Net Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
June 30, 2014
|
$ | 5,913 | $ | 5,910 | 2.87 | % | 2.87 | % | ||||||||
March 31, 2014
|
3,372 | 3,342 | 2.41 | % | 2.39 | % | ||||||||||
December 31, 2013
|
2,497 | 2,455 | 2.89 | % | 2.84 | % | ||||||||||
September 30, 2013
|
2,257 | 2,229 | 2.65 | % | 2.62 | % | ||||||||||
June 30, 2013
|
2,107 | 2,103 | 2.37 | % | 2.36 | % | ||||||||||
March 31, 2013
|
1,212 | 1,147 | 2.00 | % | 1.87 | % | ||||||||||
Six Months Ended
|
||||||||||||||||
June 30, 2014
|
$ | 9,285 | $ | 9,252 | 2.69 | % | 2.68 | % | ||||||||
June 30, 2013
|
3,319 | 3,250 | 2.22 | % | 2.17 | % |
(1)
|
Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 26 and 27 are calculated based on the average balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.
|
(2)
|
Economic interest expense and economic net interest income
presented in the table above and the tables on page 27 includes the effect of our derivative instrument hedges for only the periods presented.
|
(3)
|
Represents interest cost of our borrowings and effect of derivative instruments hedges attributed to the period divided by Average RMBS Held.
|
(4)
|
Economic Net Interest Spread is calculated by subtracting Average Economic Cost of Funds from Yield on Average RMBS Securities.
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||
Average RMBS Held
|
Interest Income
|
Realized Yield on Average RMBS
|
||||||||||||||||||||||||||||||||||
PT
|
Structured
|
PT
|
Structured
|
PT
|
Structured
|
|||||||||||||||||||||||||||||||
RMBS
|
RMBS
|
Total
|
RMBS
|
RMBS
|
Total
|
RMBS
|
RMBS
|
Total
|
||||||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||||||
June 30, 2014
|
$ | 764,199 | $ | 47,682 | $ | 811,881 | $ | 7,674 | $ | (1,085 | ) | $ | 6,589 | 4.02 | % | (9.10 | )% | 3.25 | % | |||||||||||||||||
March 31, 2014
|
514,226 | 35,264 | 549,490 | 4,402 | (619 | ) | 3,783 | 3.42 | % | (7.02 | )% | 2.75 | % | |||||||||||||||||||||||
December 31, 2013
|
318,996 | 22,509 | 341,505 | 2,726 | 80 | 2,806 | 3.42 | % | 1.42 | % | 3.29 | % | ||||||||||||||||||||||||
September 30, 2013
|
314,096 | 21,371 | 335,467 | 2,412 | 139 | 2,551 | 3.07 | % | 2.60 | % | 3.04 | % | ||||||||||||||||||||||||
June 30, 2013
|
326,977 | 22,727 | 349,704 | 2,514 | (85 | ) | 2,429 | 3.08 | % | (1.51 | )% | 2.78 | % | |||||||||||||||||||||||
March 31, 2013
|
223,191 | 14,629 | 237,820 | 1,416 | (3 | ) | 1,413 | 2.54 | % | (0.06 | )% | 2.38 | % | |||||||||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||||||||||||||
June 30, 2014
|
$ | 639,212 | $ | 41,473 | $ | 680,685 | $ | 12,076 | $ | (1,704 | ) | $ | 10,372 | 3.78 | % | (8.22 | )% | 3.05 | % | |||||||||||||||||
June 30, 2013
|
275,084 | 18,678 | 293,762 | 3,930 | (88 | ) | 3,842 | 2.86 | % | (0.94 | )% | 2.62 | % |
($ in thousands)
|
||||||||||||||||||||
Average
|
||||||||||||||||||||
Balance of
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Agreements
|
Basis
|
Basis
|
Basis
|
Basis
|
||||||||||||||||
Three Months Ended
|
||||||||||||||||||||
June 30, 2014
|
$ | 717,474 | $ | 676 | $ | 679 | 0.38 | % | 0.38 | % | ||||||||||
March 31, 2014
|
484,902 | 411 | 441 | 0.34 | % | 0.36 | % | |||||||||||||
December 31, 2013
|
310,107 | 309 | 351 | 0.40 | % | 0.45 | % | |||||||||||||
September 30, 2013
|
305,196 | 294 | 322 | 0.39 | % | 0.42 | % | |||||||||||||
June 30, 2013
|
312,591 | 322 | 326 | 0.41 | % | 0.42 | % | |||||||||||||
March 31, 2013
|
210,194 | 201 | 266 | 0.38 | % | 0.51 | % | |||||||||||||
Six Months Ended
|
||||||||||||||||||||
June 30, 2014
|
$ | 601,188 | $ | 1,087 | $ | 1,120 | 0.36 | % | 0.37 | % | ||||||||||
June 30, 2013
|
261,392 | 523 | 592 | 0.40 | % | 0.45 | % |
Average GAAP Cost of Funds
|
Average Economic Cost of Funds
|
|||||||||||||||||||||||
Relative to Average
|
Relative to Average
|
|||||||||||||||||||||||
Average LIBOR
|
One-Month
|
Six-Month
|
One-Month
|
Six-Month
|
||||||||||||||||||||
One-Month
|
Six-Month
|
LIBOR
|
LIBOR
|
LIBOR
|
LIBOR
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
June 30, 2014
|
0.15 | % | 0.33 | % | 0.23 | % | 0.05 | % | 0.23 | % | 0.05 | % | ||||||||||||
March 31, 2014
|
0.16 | % | 0.34 | % | 0.18 | % | 0.00 | % | 0.20 | % | 0.02 | % | ||||||||||||
December 31, 2013
|
0.17 | % | 0.36 | % | 0.23 | % | 0.04 | % | 0.28 | % | 0.09 | % | ||||||||||||
September 30, 2013
|
0.19 | % | 0.40 | % | 0.20 | % | (0.01 | )% | 0.23 | % | 0.02 | % | ||||||||||||
June 30, 2013
|
0.20 | % | 0.43 | % | 0.21 | % | (0.02 | )% | 0.22 | % | (0.01 | )% | ||||||||||||
March 31, 2013
|
0.21 | % | 0.48 | % | 0.17 | % | (0.10 | )% | 0.30 | % | 0.03 | % | ||||||||||||
Six Months Ended
|
||||||||||||||||||||||||
June 30, 2014
|
0.16 | % | 0.33 | % | 0.20 | % | 0.03 | % | 0.21 | % | 0.04 | % | ||||||||||||
June 30, 2013
|
0.20 | % | 0.46 | % | 0.20 | % | (0.06 | )% | 0.25 | % | (0.01 | )% |
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2014
|
2013
|
Change
|
2014
|
2013
|
Change
|
|||||||||||||||||||
Realized gains (losses) on sales of RMBS
|
$ | 3,891 | $ | (824 | ) | $ | 4,715 | $ | 2,980 | $ | (923 | ) | $ | 3,903 | ||||||||||
Unrealized gains (losses) on RMBS
|
10,124 | (9,159 | ) | 19,283 | 8,584 | (9,130 | ) | 17,714 | ||||||||||||||||
Total gains (losses) on RMBS
|
14,015 | (9,983 | ) | 23,998 | 11,564 | (10,053 | ) | 21,617 | ||||||||||||||||
(Losses) gains on Eurodollar futures
|
(6,136 | ) | 6,368 | (12,504 | ) | (4,599 | ) | 6,852 | (11,451 | ) | ||||||||||||||
Loss on payer swaptions
|
(1,285 | ) | - | (1,285 | ) | (1,129 | ) | - | (1,129 | ) |
15 Year
|
30 Year
|
Three
|
||||||||||||||
10 Year
|
Fixed-Rate
|
Fixed-Rate
|
Month
|
|||||||||||||
Treasury Rate
(1)
|
Mortgage Rate
(2)
|
Mortgage Rate
(2)
|
LIBOR
(3)
|
|||||||||||||
June 30, 2014
|
2.52 | % | 3.27 | % | 4.16 | % | 0.23 | % | ||||||||
March 31, 2014
|
2.72 | % | 3.36 | % | 4.34 | % | 0.23 | % | ||||||||
December 31, 2013
|
3.03 | % | 3.48 | % | 4.46 | % | 0.24 | % | ||||||||
September 30, 2013
|
2.62 | % | 3.52 | % | 4.49 | % | 0.25 | % | ||||||||
June 30, 2013
|
2.48 | % | 3.17 | % | 4.07 | % | 0.27 | % | ||||||||
March 31, 2013
|
1.85 | % | 2.76 | % | 3.57 | % | 0.28 | % |
(1)
|
Historical 10 Year Treasury Rates are obtained from quoted end of day prices on the CBOE.
|
(2)
|
Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac’s Primary Mortgage Market Survey.
|
(3)
|
Historical LIBOR are obtained from the Intercontinental Exchange Benchmark Administration Ltd.
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2014
|
2013
|
Change
|
2014
|
2013
|
Change
|
|||||||||||||||||||
Management fees
|
$ | 733 | $ | 310 | $ | 423 | $ | 430 | $ | 185 | $ | 245 | ||||||||||||
Accrued incentive compensation
|
225 | - | 225 | 225 | - | 225 | ||||||||||||||||||
Directors fees and liability insurance
|
240 | 124 | 116 | 156 | 83 | 73 | ||||||||||||||||||
Legal fees
|
64 | 60 | 4 | 51 | 46 | 5 | ||||||||||||||||||
Other professional fees
|
181 | 190 | (9 | ) | 121 | 60 | 61 | |||||||||||||||||
Other direct REIT operating expenses
|
88 | 101 | (13 | ) | 44 | 36 | 8 | |||||||||||||||||
Other expenses
|
118 | 65 | 53 | 88 | 41 | 47 | ||||||||||||||||||
Total expenses
|
$ | 1,649 | $ | 850 | $ | 799 | $ | 1,115 | $ | 451 | $ | 664 |
·
|
One-twelfth of 1.5% of the first $250 million of the Company’s equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Company’s equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of the Company’s equity that is greater than $500 million.
|
Structured
|
||||||||||||
PT RMBS
|
RMBS
|
Total
|
||||||||||
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
June 30, 2014
|
4.1 | 15.9 | 8.1 | |||||||||
March 31, 2014
|
4.2 | 14.9 | 9.1 | |||||||||
December 31, 2013
|
5.3 | 17.9 | 9.9 | |||||||||
September 30, 2013
|
6.5 | 28.2 | 12.6 | |||||||||
June 30, 2013
|
6.5 | 29.8 | 16.3 | |||||||||
March 31, 2013
|
9.2 | 33.0 | 20.0 |
($ in thousands)
|
|||||||||
Weighted
|
Weighted
|
||||||||
Percentage
|
Average
|
Average
|
Weighted
|
Weighted
|
|||||
of
|
Weighted
|
Maturity
|
Coupon
|
Average
|
Average
|
||||
Fair
|
Entire
|
Average
|
in
|
Longest
|
Reset in
|
Lifetime
|
Periodic
|
||
Asset Category
|
Value
|
Portfolio
|
Coupon
|
Months
|
Maturity
|
Months
|
Cap
|
Cap
|
|
June 30, 2014
|
|||||||||
Adjustable Rate RMBS
|
$
|
4,650
|
0.5%
|
4.11%
|
239
|
1-Sep-35
|
0.51
|
10.16%
|
2.00%
|
Fixed Rate RMBS
|
747,210
|
85.3%
|
4.30%
|
313
|
1-Jun-44
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate RMBS
|
75,061
|
8.6%
|
2.55%
|
344
|
1-Aug-43
|
103.66
|
7.55%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
826,921
|
94.4%
|
4.14%
|
316
|
1-Jun-44
|
97.64
|
7.70%
|
2.00%
|
|
Interest-Only Securities
|
38,743
|
4.4%
|
4.40%
|
275
|
25-Jan-43
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
10,340
|
1.2%
|
6.03%
|
307
|
15-Dec-40
|
NA
|
6.19%
|
NA
|
|
Total Structured RMBS
|
49,083
|
5.6%
|
4.74%
|
282
|
25-Jan-43
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
876,004
|
100.0%
|
4.17%
|
314
|
1-Jun-44
|
NA
|
NA
|
NA
|
December 31, 2013
|
|||||||||
Adjustable Rate RMBS
|
$
|
5,334
|
1.5%
|
3.92%
|
247
|
1-Sep-35
|
3.77
|
10.13%
|
2.00%
|
Fixed Rate RMBS
|
245,523
|
69.9%
|
4.05%
|
323
|
1-Dec-43
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate RMBS
|
76,118
|
21.7%
|
2.56%
|
350
|
1-Aug-43
|
109.60
|
7.56%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
326,975
|
93.1%
|
3.70%
|
328
|
1-Dec-43
|
102.67
|
7.72%
|
2.00%
|
|
Interest-Only Securities
|
19,206
|
5.5%
|
4.39%
|
261
|
25-Nov-40
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
5,042
|
1.4%
|
5.92%
|
317
|
15-Dec-40
|
NA
|
6.08%
|
NA
|
|
Total Structured RMBS
|
24,248
|
6.9%
|
4.71%
|
272
|
15-Dec-40
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
351,223
|
100.0%
|
3.77%
|
324
|
1-Dec-43
|
NA
|
NA
|
NA
|
($ in thousands)
|
||||||||||||||||
June 30, 2014
|
December 31, 2013
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$ | 547,124 | 62.46 | % | $ | 211,063 | 60.09 | % | ||||||||
Freddie Mac
|
318,454 | 36.35 | % | 121,842 | 34.69 | % | ||||||||||
Ginnie Mae
|
10,426 | 1.19 | % | 18,318 | 5.22 | % | ||||||||||
Total Portfolio
|
$ | 876,004 | 100.00 | % | $ | 351,223 | 100.00 | % |
June 30, 2014
|
December 31, 2013
|
|||||||
Weighted Average Pass Through Purchase Price
|
$ | 106.80 | $ | 105.60 | ||||
Weighted Average Structured Purchase Price
|
$ | 13.19 | $ | 12.11 | ||||
Weighted Average Pass Through Current Price
|
$ | 107.68 | $ | 102.83 | ||||
Weighted Average Structured Current Price
|
$ | 13.89 | $ | 14.59 | ||||
Effective Duration
(1)
|
2.732 | 4.188 |
(1)
|
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 2.732 indicates that an interest rate increase of 1.0% would be expected to cause a 2.732% decrease in the value of the RMBS in the Company’s investment portfolio at June 30, 2014. An effective duration of 4.188 indicates that an interest rate increase of 1.0% would be expected to cause a 4.188% decrease in the value of the RMBS in the Company’s investment portfolio at December 31, 2013. These figures include the structured securities in the portfolio, but do not include the effect of the Company’s funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
|
($ in thousands)
|
||||||||||||||||||||||||
2014
|
2013
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
Pass-through RMBS
|
$ | 926,148 | $ | 107.50 | 2.99 | % | $ | 417,295 | $ | 104.73 | 2.14 | % | ||||||||||||
Structured RMBS
|
32,154 | 14.65 | (5.02 | )% | 24,336 | 15.37 | 0.54 | % |
($ in thousands)
|
||||||||||||||||||||||||||||
Fair
|
$ Change in Fair Value
|
% Change in Fair Value
|
||||||||||||||||||||||||||
RMBS Portfolio
|
Value
|
-100BPS
|
+100BPS
|
+200BPS
|
-100BPS
|
+100BPS
|
+200BPS
|
|||||||||||||||||||||
Adjustable Rate RMBS
|
$ | 4,650 | $ | 7 | $ | (27 | ) | $ | (52 | ) | 0.15 | % | (0.57 | )% | (1.13 | )% | ||||||||||||
Hybrid Adjustable Rate RMBS
|
75,061 | 2,926 | (4,355 | ) | (8,926 | ) | 3.90 | % | (5.80 | )% | (11.89 | )% | ||||||||||||||||
Fixed Rate RMBS
|
747,210 | 21,434 | (40,915 | ) | (85,480 | ) | 2.87 | % | (5.48 | )% | (11.44 | )% | ||||||||||||||||
Interest-Only RMBS
|
38,743 | (12,430 | ) | 12,146 | 17,054 | (32.08 | )% | 31.35 | % | 44.02 | % | |||||||||||||||||
Inverse Interest-Only RMBS
|
10,340 | (1,330 | ) | (262 | ) | (2,033 | ) | (12.86 | )% | (2.54 | )% | (19.66 | )% | |||||||||||||||
Total RMBS Portfolio
|
$ | 876,004 | $ | 10,607 | $ | (33,413 | ) | $ | (79,437 | ) | 1.21 | % | (3.81 | )% | (9.07 | )% |
($ in thousands)
|
||||||||||||||||||||||||||||
Notional
|
$ Change in Fair Value
|
% Change in Fair Value
|
||||||||||||||||||||||||||
Repurchase Agreement Hedges
|
Amount
(1)
|
-100BPS
|
+100BPS
|
+200BPS
|
-100BPS
|
+100BPS
|
+200BPS
|
|||||||||||||||||||||
Eurodollar Futures Contracts
|
$ | 7,200,000 | $ | (15,725 | ) | $ | 21,214 | $ | 43,823 | (0.83 | )% | 1.02 | % | 2.03 | % | |||||||||||||
Payer swaption
|
100,000 | (982 | ) | 3,214 | 7,823 | (0.98 | )% | 3.21 | % | 7.82 | % |
(1)
|
Represents the total cumulative contract/notional amount of Eurodollar futures contracts and payer swaption outstanding.
|
($ in thousands)
|
||||||||||||||||
Difference Between Ending
|
||||||||||||||||
Ending Balance
|
Average Balance
|
Repurchase Agreements and
|
||||||||||||||
of Repurchase
|
of Repurchase
|
Average Repurchase Agreements
|
||||||||||||||
Three Months Ended
|
Agreements
|
Agreements
|
Amount
|
Percent
|
||||||||||||
June 30, 2014
|
$ | 783,701 | $ | 717,474 | $ | 66,227 | 9.23 | % | ||||||||
March 31, 2014
|
651,246 | 484,902 | 166,344 | 34.30 | % (1) | |||||||||||
December 31, 2013
|
318,557 | 310,107 | 8,450 | 2.72 | % | |||||||||||
September 30, 2013
|
301,657 | 305,196 | (3,539 | ) | (1.16 | )% | ||||||||||
June 30, 2013
|
308,735 | 312,591 | (3,856 | ) | (1.23 | )% | ||||||||||
March 31, 2013
|
316,446 | 210,194 | 106,252 | 50.55 | % (2) |
(1)
|
The higher ending balance relative to the average balance during the quarter ended March 31, 2014 reflects the deployment of the proceeds, on a leveraged basis, of the Company’s January and March 2014 equity offerings. During the quarter ended March 31, 2014, the Company’s investment in PT RMBS increased $374.5 million.
|
(2)
|
The higher ending balance relative to the average balance during the quarter ended March 31, 2013 reflects the deployment of the proceeds, on a leveraged basis, of the Company’s IPO. During the quarter ended March 31, 2013, the Company’s investment in PT RMBS increased $227.2 million.
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$ | 783,701 | $ | - | $ | - | $ | - | $ | 783,701 | ||||||||||
Interest expense on repurchase agreements
(1)
|
502 | - | - | - | 502 | |||||||||||||||
Unsettled security purchased
|
6,829 | - | - | - | 6,829 | |||||||||||||||
Totals
|
$ | 791,032 | $ | - | $ | - | $ | - | $ | 791,032 |
(1)
|
Interest expense on repurchase agreements is based on current interest rates as of June 30, 2014 and the remaining term of the liabilities existing at that date.
|
|
Interest Rates
|
·
|
Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume),
|
·
|
Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
|
·
|
Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company- specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.
|
·
|
First, our Manager obtains fair values from subscription-based independent pricing sources. These prices are used by both our Manager as well as many of our repurchase agreement counterparty on a daily basis to establish margin requirements for our borrowings.
|
·
|
Second, our Manager requests non-binding quotes from one to four broker-dealers for each of its Agency RMBS in order to validate the values obtained by the pricing service. Our Manager requests these quotes from broker-dealers that actively trade and make markets in the respective asset class for which the quote is requested.
|
·
|
Third, our Manager reviews the values obtained by the pricing source and the broker-dealers for consistency across similar assets.
|
·
|
Finally, if the data from the pricing services and broker-dealers is not homogenous or if the data obtained is inconsistent with our Manager’s market observations, our Manager makes a judgment to determine which price appears the most consistent with observed prices from similar assets and selects that price. To the extent our Manager believes that none of the prices are consistent with observed prices for similar assets, which is typically the case for only an immaterial portion of our portfolio each quarter, our Manager may use a third price that is consistent with observed prices for identical or similar assets. In the case of assets that have quoted prices such as Agency RMBS backed by fixed-rate mortgages, our Manager generally uses the quoted or observed market price. For assets such as Agency RMBS backed by ARMs or structured Agency RMBS, our Manager may determine the price based on the yield or spread that is identical to an observed transaction or a similar asset for which a dealer mark or subscription-based price has been obtained.
|
Declaration Date
|
Record Date
|
Payment Date
|
Per Share Amount
|
Total
|
||||||
2014
|
||||||||||
July 10, 2014
|
July 28, 2014
|
July 31, 2014
|
$ | 0.180 | $ | 1,758,965 | ||||
June 11, 2014
|
June 25, 2014
|
June 30, 2014
|
0.180 | 1,711,531 | ||||||
May 8, 2014
|
May 27, 2014
|
May 30, 2014
|
0.180 | 1,640,820 | ||||||
April 8, 2014
|
April 25, 2014
|
April 30, 2014
|
0.180 | 1,636,500 | ||||||
March 11, 2014
|
March 26, 2014
|
March 31, 2014
|
0.180 | 1,550,100 | ||||||
February 11, 2014
|
February 25, 2014
|
February 28, 2014
|
0.180 | 974,100 | ||||||
January 9, 2014
|
January 27, 2014
|
January 31, 2014
|
0.180 | 925,500 | ||||||
2013
|
||||||||||
December 11, 2013
|
December 26, 2013
|
December 30, 2013
|
0.180 | 601,500 | ||||||
November 12, 2013
|
November 25, 2013
|
November 27, 2013
|
0.135 | 451,125 | ||||||
October 10, 2013
|
October 25, 2013
|
October 31, 2013
|
0.135 | 451,125 | ||||||
September 10, 2013
|
September 25, 2013
|
September 30, 2013
|
0.135 | 451,125 | ||||||
August 12, 2013
|
August 26, 2013
|
August 30, 2013
|
0.135 | 451,125 | ||||||
July 9, 2013
|
July 25, 2013
|
July 31, 2013
|
0.135 | 451,125 | ||||||
June 10, 2013
|
June 25, 2013
|
June 28, 2013
|
0.135 | 451,125 | ||||||
May 9, 2013
|
May 28, 2013
|
May 31, 2013
|
0.135 | 451,125 | ||||||
April 10, 2013
|
April 25, 2013
|
April 30, 2013
|
0.135 | 451,125 | ||||||
March 8, 2013
|
March 25, 2013
|
March 27, 2013
|
0.135 | 451,125 |
*
|
Filed herewith.
|
**
|
Furnished herewith.
|
***
|
Submitted electronically herewith. Users of this data are advised that, pursuant to Rule 406T of Regulation S-T, this interactive data file is deemed not filed as part of a registration statement or prospectus for purposes of sections 11 and 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934 and otherwise is not subject to liability under these sections.
|
Orchid Island Capital, Inc
.
|
||||
Registrant
|
||||
Date: July 31, 2014
|
By:
|
/s/ Robert E. Cauley
|
||
Robert E. Cauley
Chief Executive Officer, President and Chairman of the Board
|
||||
Date: July 31, 2014
|
By:
|
/s/ G. Hunter Haas, IV
|
||
G. Hunter Haas, IV
Secretary, Chief Financial Officer, Chief Investment Officer and Director (Principal Financial Officer)
|
1 Year Orchid Island Capital, Inc. Chart |
1 Month Orchid Island Capital, Inc. Chart |
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