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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Orchid Island Capital Inc | NYSE:ORC | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.03 | -0.35% | 8.50 | 8.74 | 8.50 | 8.65 | 1,522,760 | 01:00:00 |
Maryland
|
27-3269228
|
|
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
Large accelerated filer
|
☐
|
Accelerated filer
|
☒
|
Non-accelerated filer
|
¨
(Do not check if a smaller reporting company)
|
Smaller reporting company
|
☐
|
|
|
Emerging growth company
|
☒
|
ORCHID ISLAND CAPITAL, INC.
|
||||
TABLE OF CONTENTS
|
||||
Page
|
||||
PART I. FINANCIAL INFORMATION
|
||||
ITEM 1. Condensed Financial Statements
|
1
|
|||
Condensed Consolidated Balance Sheets (unaudited)
|
1
|
|||
Condensed Consolidated Statements of Operations (unaudited)
|
2
|
|||
Condensed Consolidated Statement of Stockholders' Equity (unaudited)
|
3
|
|||
Condensed Consolidated Statements of Cash Flows (unaudited)
|
4
|
|||
Notes to Condensed Consolidated Financial Statements
|
5
|
|||
ITEM 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
|
24
|
|||
ITEM 3. Quantitative and Qualitative Disclosures about Market Risk
|
45
|
|||
ITEM 4. Controls and Procedures
|
48
|
|||
PART II. OTHER INFORMATION
|
||||
ITEM 1. Legal Proceedings
|
49
|
|||
ITEM 1A. Risk Factors
|
49
|
|||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
49
|
|||
ITEM 3. Defaults upon Senior Securities
|
49
|
|||
ITEM 4. Mine Safety Disclosures
|
49
|
|||
ITEM 5. Other Information
|
49
|
|||
ITEM 6. Exhibits
|
50
|
|||
SIGNATURES
|
51
|
(in thousands)
|
||||||||
June 30, 2018
|
December 31, 2017
|
|||||||
Cash and cash equivalents
|
$
|
137,947
|
$
|
214,363
|
||||
Restricted cash
|
31,065
|
32,349
|
||||||
Total cash, cash equivalents and restricted cash
|
$
|
169,012
|
$
|
246,712
|
(in thousands)
|
||||||||
June 30, 2018
|
December 31, 2017
|
|||||||
Pass-Through RMBS Certificates:
|
||||||||
Hybrid Adjustable-rate Mortgages
|
$
|
24,684
|
$
|
27,398
|
||||
Adjustable-rate Mortgages
|
1,718
|
1,754
|
||||||
Fixed-rate Mortgages
|
2,978,653
|
3,594,533
|
||||||
Fixed-rate CMOs
|
542,656
|
-
|
||||||
Total Pass-Through Certificates
|
3,547,711
|
3,623,685
|
||||||
Structured RMBS Certificates:
|
||||||||
Interest-Only Securities
|
116,181
|
86,918
|
||||||
Inverse Interest-Only Securities
|
25,704
|
34,208
|
||||||
Total Structured RMBS Certificates
|
141,885
|
121,126
|
||||||
Total
|
$
|
3,689,596
|
$
|
3,744,811
|
(in thousands)
|
||||||||
June 30, 2018
|
December 31, 2017
|
|||||||
Greater than one year and less than five years
|
$
|
5
|
$
|
29
|
||||
Greater than five years and less than ten years
|
3,600
|
3,281
|
||||||
Greater than or equal to ten years
|
3,685,991
|
3,741,501
|
||||||
Total
|
$
|
3,689,596
|
$
|
3,744,811
|
($ in thousands)
|
||||||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
GREATER
|
|||||||||||||||||
(1 DAY OR
|
AND
|
AND
|
THAN
|
|||||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
90 DAYS
|
TOTAL
|
||||||||||||||||
June 30, 2018
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
1,916,675
|
$
|
1,741,654
|
$
|
-
|
$
|
3,658,329
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
1,794,668
|
$
|
1,655,186
|
$
|
-
|
$
|
3,449,854
|
||||||||||
Net weighted average borrowing rate
|
-
|
2.13
|
%
|
2.00
|
%
|
-
|
2.07
|
%
|
||||||||||||
December 31, 2017
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
1,983,958
|
$
|
1,266,590
|
$
|
475,975
|
$
|
3,726,523
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
1,871,833
|
$
|
1,208,518
|
$
|
453,435
|
$
|
3,533,786
|
||||||||||
Net weighted average borrowing rate
|
-
|
1.53
|
%
|
1.53
|
%
|
1.57
|
%
|
1.54
|
%
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
June 30, 2018
|
December 31, 2017
|
||||||
Assets
|
|||||||||
Interest rate swaps
|
Derivative assets, at fair value
|
$
|
26,334
|
$
|
13,745
|
||||
Payer swaptions
|
Derivative assets, at fair value
|
7,233
|
3,405
|
||||||
Receiver swaptions
|
Derivative assets, at fair value
|
640
|
-
|
||||||
TBA securities
|
Derivative assets, at fair value
|
-
|
10
|
||||||
Total derivative assets, at fair value
|
$
|
34,207
|
$
|
17,160
|
|||||
Liabilities
|
|||||||||
Interest rate swaps
|
Derivative liabilities, at fair value
|
$
|
-
|
$
|
215
|
||||
TBA securities
|
Derivative liabilities, at fair value
|
2,240
|
1,823
|
||||||
Total derivative liabilities, at fair value
|
$
|
2,240
|
$
|
2,038
|
|||||
Margin Balances Posted to (from) Counterparties
|
|||||||||
Futures contracts
|
Restricted cash
|
$
|
5,922
|
$
|
5,545
|
||||
TBA securities
|
Restricted cash
|
2,050
|
1,508
|
||||||
TBA securities
|
Other liabilities
|
-
|
(59
|
)
|
|||||
Interest rate swaption contracts
|
Other liabilities
|
(7,959
|
)
|
(3,505
|
)
|
||||
Total margin balances on derivative contracts
|
$
|
13
|
$
|
3,489
|
($ in thousands)
|
||||||||||||||||
June 30, 2018
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2018
|
$
|
1,375,000
|
1.97
|
%
|
2.56
|
%
|
$
|
4,035
|
||||||||
2019
|
1,500,000
|
2.16
|
%
|
2.88
|
%
|
10,779
|
||||||||||
2020
|
1,500,000
|
2.64
|
%
|
2.98
|
%
|
5,011
|
||||||||||
Total / Weighted Average
|
$
|
1,475,000
|
2.32
|
%
|
2.86
|
%
|
$
|
19,825
|
||||||||
Treasury Note Futures Contracts (Short Position)
(2)
|
||||||||||||||||
September 2018 5-year T-Note futures
|
||||||||||||||||
(Sep 2018 - Sep 2023 Hedge Period)
|
$
|
165,000
|
2.90
|
%
|
3.04
|
%
|
$
|
(7
|
)
|
($ in thousands)
|
||||||||||||||||
December 31, 2017
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2018
|
$
|
1,212,500
|
1.86
|
%
|
1.98
|
%
|
$
|
1,418
|
||||||||
2019
|
1,350,000
|
2.11
|
%
|
2.27
|
%
|
2,152
|
||||||||||
2020
|
987,500
|
2.59
|
%
|
2.36
|
%
|
(2,360
|
)
|
|||||||||
Total / Weighted Average
|
$
|
1,183,333
|
2.16
|
%
|
2.20
|
%
|
$
|
1,210
|
||||||||
Treasury Note Futures Contracts (Short Position)
(2)
|
||||||||||||||||
March 2018 10 year T-Note futures
|
||||||||||||||||
(Mar 2018 - Mar 2028 Hedge Period)
|
$
|
140,000
|
2.23
|
%
|
2.33
|
%
|
$
|
755
|
(1)
|
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
|
(2)
|
T-Note futures contracts were valued at a price of $113.62 at June 30, 2018 and $124.05 at December 31, 2017. The notional contract values of the short positions were $187.5 million and $173.7 million at June 30, 2018 and December 31, 2017, respectively.
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Net
|
|||||||||||||||||||
Fixed
|
Average
|
Estimated
|
Average
|
|||||||||||||||||
Notional
|
Pay
|
Receive
|
Fair
|
Maturity
|
||||||||||||||||
Amount
|
Rate
|
Rate
|
Value
|
(Years)
|
||||||||||||||||
June 30, 2018
|
||||||||||||||||||||
Expiration > 1 to ≤ 3 years
|
$
|
650,000
|
1.09
|
%
|
2.36
|
%
|
$
|
16,223
|
1.6
|
|||||||||||
Expiration > 3 to ≤ 5 years
|
360,000
|
2.05
|
%
|
2.33
|
%
|
10,111
|
3.8
|
|||||||||||||
$
|
1,010,000
|
1.43
|
%
|
2.35
|
%
|
$
|
26,334
|
2.4
|
||||||||||||
December 31, 2017
|
||||||||||||||||||||
Expiration > 1 to ≤ 3 years
|
$
|
650,000
|
1.09
|
%
|
1.41
|
%
|
$
|
11,828
|
2.1
|
|||||||||||
Expiration > 3 to ≤ 5 years
|
360,000
|
2.05
|
%
|
1.53
|
%
|
1,702
|
4.3
|
|||||||||||||
$
|
1,010,000
|
1.43
|
%
|
1.45
|
%
|
$
|
13,530
|
2.8
|
($ 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, 2018
|
|||||||||||||||||||||||||
≤ 1 year
|
|||||||||||||||||||||||||
Payer Swaptions
|
$
|
9,770
|
$
|
7,232
|
6.4
|
$
|
950,000
|
3.20
|
%
|
3 Month
|
9.3
|
||||||||||||||
Receiver Swaptions
|
760
|
640
|
7.4
|
100,000
|
2.80
|
%
|
3 Month
|
5.0
|
|||||||||||||||||
December 31, 2017
|
|||||||||||||||||||||||||
≤ 1 year
|
|||||||||||||||||||||||||
Payer Swaptions
|
$
|
2,367
|
$
|
3,405
|
8.0
|
$
|
200,000
|
2.16
|
%
|
3 Month
|
6.0
|
($ in thousands)
|
|||||||||
Notional
|
Net
|
||||||||
Amount
|
Cost
|
Market
|
Carrying
|
||||||
Long (Short)
(1)
|
Basis
(2)
|
Value
(3)
|
Value
(4)
|
||||||
June 30, 2018
|
|||||||||
30-Year TBA securities:
|
|||||||||
3.0%
|
$
|
(200,000)
|
$
|
(192,404)
|
$
|
(193,624)
|
$
|
(1,220)
|
|
3.5%
|
(200,000)
|
(197,980)
|
(199,000)
|
(1,020)
|
|||||
Total
|
$
|
(400,000)
|
$
|
(390,384)
|
$
|
(392,624)
|
$
|
(2,240)
|
|
December 31, 2017
|
|||||||||
30-Year TBA securities:
|
|||||||||
3.0%
|
$
|
(300,000)
|
$
|
(299,371)
|
$
|
(300,153)
|
$
|
(782)
|
|
4.0%
|
(357,000)
|
(373,403)
|
(373,477)
|
(74)
|
|||||
4.5%
|
356,556
|
380,371
|
379,414
|
(957)
|
|||||
Total
|
$
|
(300,444)
|
$
|
(292,403)
|
$
|
(294,216)
|
$
|
(1,813)
|
(1)
|
Notional amount represents the par value (or principal balance) of the underlying Agency RMBS
.
|
(2)
|
Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS
.
|
(3)
|
Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.
|
(4)
|
Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in our consolidated balance sheets.
|
(in thousands)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2018
|
2017
|
2018
|
2017
|
|||||||||||||
Eurodollar futures contracts (short positions)
|
$
|
20,661
|
$
|
(7,562
|
)
|
$
|
6,121
|
$
|
(6,990
|
)
|
||||||
T-Note futures contracts (short position)
|
7,750
|
(9,740
|
)
|
928
|
(5,890
|
)
|
||||||||||
Interest rate swaps
|
14,037
|
(4,175
|
)
|
3,530
|
(4,178
|
)
|
||||||||||
Receiver swaptions
|
(779
|
)
|
-
|
(430
|
)
|
-
|
||||||||||
Payer swaptions
|
5,213
|
-
|
3,146
|
-
|
||||||||||||
Net TBA securities
|
9,971
|
(2,384
|
)
|
1,564
|
(2,384
|
)
|
||||||||||
Total
|
$
|
56,853
|
$
|
(23,861
|
)
|
$
|
14,859
|
$
|
(19,442
|
)
|
(in thousands)
|
||||||||||||||||||||||||
June 30, 2018
|
December 31, 2017
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
PT RMBS - fair value
|
$
|
3,522,217
|
$
|
11,319
|
$
|
3,533,536
|
$
|
3,612,244
|
$
|
-
|
$
|
3,612,244
|
||||||||||||
Structured RMBS - fair value
|
110,627
|
-
|
110,627
|
100,317
|
-
|
100,317
|
||||||||||||||||||
Accrued interest on pledged securities
|
14,130
|
36
|
14,166
|
13,962
|
-
|
13,962
|
||||||||||||||||||
Restricted cash
|
23,093
|
7,972
|
31,065
|
25,296
|
7,053
|
32,349
|
||||||||||||||||||
Total
|
$
|
3,670,067
|
$
|
19,327
|
$
|
3,689,394
|
$
|
3,751,819
|
$
|
7,053
|
$
|
3,758,872
|
(in thousands)
|
||||||||||||||||||||||||
June 30, 2018
|
December 31, 2017
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Orchid
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
Cash
|
$
|
1,392
|
$
|
7,959
|
$
|
9,351
|
$
|
67
|
$
|
3,564
|
$
|
3,631
|
||||||||||||
PT RMBS - fair value
|
9
|
-
|
9
|
-
|
-
|
-
|
||||||||||||||||||
U.S. Treasury securities - fair value
|
3,906
|
-
|
3,906
|
-
|
-
|
-
|
||||||||||||||||||
Total
|
$
|
5,307
|
$
|
7,959
|
$
|
13,266
|
$
|
67
|
$
|
3,564
|
$
|
3,631
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Assets
|
||||||||||||||||||||||||
Net Amount
|
Gross Amount Not Offset in the
|
|||||||||||||||||||||||
of Assets
|
Consolidated Balance Sheet
|
|||||||||||||||||||||||
Gross Amount
|
Presented
|
Financial
|
||||||||||||||||||||||
Gross Amount
|
Offset in the
|
in the
|
Instruments
|
Cash
|
||||||||||||||||||||
of Recognized
|
Consolidated
|
Consolidated
|
Received as
|
Received as
|
Net
|
|||||||||||||||||||
Assets
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
June 30, 2018
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
26,334
|
$
|
-
|
$
|
26,334
|
$
|
-
|
$
|
-
|
$
|
26,334
|
||||||||||||
Interest rate swaptions
|
7,873
|
-
|
7,873
|
-
|
(7,873
|
)
|
-
|
|||||||||||||||||
$
|
34,207
|
$
|
-
|
$
|
34,207
|
$
|
-
|
$
|
(7,873
|
)
|
$
|
26,334
|
||||||||||||
December 31, 2017
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
13,745
|
$
|
-
|
$
|
13,745
|
$
|
-
|
$
|
-
|
$
|
13,745
|
||||||||||||
Interest rate swaptions
|
3,405
|
-
|
3,405
|
-
|
(3,405
|
)
|
-
|
|||||||||||||||||
TBA securities
|
10
|
-
|
10
|
-
|
(10
|
)
|
-
|
|||||||||||||||||
$
|
17,160
|
$
|
-
|
$
|
17,160
|
$
|
-
|
$
|
(3,415
|
)
|
$
|
13,745
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Liabilities
|
||||||||||||||||||||||||
Net Amount
|
Gross Amount Not Offset in the
|
|||||||||||||||||||||||
of Liabilities
|
Consolidated Balance Sheet
|
|||||||||||||||||||||||
Gross Amount
|
Presented
|
Financial
|
||||||||||||||||||||||
Gross Amount
|
Offset in the
|
in the
|
Instruments
|
|||||||||||||||||||||
of Recognized
|
Consolidated
|
Consolidated
|
Posted as
|
Cash Posted
|
Net
|
|||||||||||||||||||
Liabilities
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
June 30, 2018
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
3,449,854
|
$
|
-
|
$
|
3,449,854
|
$
|
(3,426,761
|
)
|
$
|
(23,093
|
)
|
$
|
-
|
||||||||||
TBA securities
|
2,240
|
-
|
2,240
|
-
|
(2,050
|
)
|
190
|
|||||||||||||||||
$
|
3,452,094
|
$
|
-
|
$
|
3,452,094
|
$
|
(3,426,761
|
)
|
$
|
(25,143
|
)
|
$
|
190
|
|||||||||||
December 31, 2017
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
3,533,786
|
$
|
-
|
$
|
3,533,786
|
$
|
(3,508,490
|
)
|
$
|
(25,296
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
215
|
-
|
215
|
-
|
-
|
215
|
||||||||||||||||||
TBA securities
|
1,823
|
-
|
1,823
|
-
|
(1,508
|
)
|
315
|
|||||||||||||||||
$
|
3,535,824
|
$
|
-
|
$
|
3,535,824
|
$
|
(3,508,490
|
)
|
$
|
(26,804
|
)
|
$
|
530
|
($ in thousands, except per share amounts)
|
|||||||||||||||||||||
Weighted
|
|||||||||||||||||||||
Average
|
|||||||||||||||||||||
Price
|
|||||||||||||||||||||
Book Value Per Share
|
Received
|
Net
|
|||||||||||||||||||
Type of Offering
|
Period
|
Beginning
|
Ending
|
Per Share
(1)
|
Shares
|
Proceeds
(2)
|
|||||||||||||||
2017
|
|||||||||||||||||||||
At the Market Offering Program
(3)
|
First Quarter
|
$
|
10.10
|
$
|
9.75
|
$
|
10.13
|
1,286,196
|
$
|
12,792
|
|||||||||||
At the Market Offering Program
(3)
|
Second Quarter
|
9.75
|
9.23
|
10.17
|
11,012,836
|
110,065
|
|||||||||||||||
At the Market Offering Program
(3)
|
Fourth Quarter
|
9.15
|
8.71
|
9.81
|
7,746,052
|
74,750
|
|||||||||||||||
20,045,084
|
$
|
197,607
|
(1)
|
Weighted average price received per share is before deducting the underwriters' discount, if applicable, and other offering costs.
|
(2)
|
Net proceeds are net of the underwriters' discount, if applicable, and other offering costs.
|
(3)
|
The Company has entered into six equity distribution agreements, five of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.
|
(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 - YTD
(1)
|
0.670
|
35,313
|
||||||
Totals
|
$
|
9.505
|
$
|
213,471
|
(1)
|
On July 18, 2018, the Company declared a dividend of $0.09 per share to be paid on August 10, 2018. The effect of this dividend is included in the table above, but is not reflected in the Company's financial statements as of June 30, 2018.
|
($ in thousands, except per share data)
|
||||||||||||||||
Six Months Ended June 30,
|
||||||||||||||||
2018
|
2017
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
-
|
$
|
-
|
8,000
|
$
|
12.23
|
||||||||||
Granted
|
-
|
-
|
-
|
-
|
||||||||||||
Vested and issued
|
-
|
-
|
(8,000
|
)
|
12.23
|
|||||||||||
Unvested, end of period
|
-
|
$
|
-
|
-
|
$
|
-
|
||||||||||
Compensation expense during period
|
$
|
-
|
$
|
33
|
($ in thousands, except per share data)
|
||||||||
Six Months Ended June 30,
|
||||||||
2018
|
2017
|
|||||||
Fully vested shares granted
(1)
|
37,920
|
21,839
|
||||||
Weighted average grant date price per share
|
$
|
7.62
|
$
|
9.74
|
||||
Compensation expense related to fully vested shares of common stock awards
(2)
|
$
|
289
|
$
|
213
|
(1)
|
The table above includes 31,816 fully vested shares of common stock which were granted in January and April 2018 with respect to service performed during 2017 and 17,335 fully vested shares common stock which were granted in January and March 2017 with respect to service performed during 2016.
|
(2)
|
Approximately $244,000 of compensation expense related to the 2018 share awards was accrued and recognized in 2017. Approximately $168,000 of compensation expense related to the 2017 share awards was accrued and recognized in 2016.
|
($ in thousands, except per share data)
|
||||||||||||||||
Six Months Ended June 30,
|
||||||||||||||||
2018
|
2017
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
41,693
|
$
|
9.95
|
45,305
|
$
|
10.33
|
||||||||||
Granted
|
27,935
|
7.45
|
15,707
|
9.55
|
||||||||||||
Vested and issued
|
(12,806
|
)
|
10.28
|
(9,660
|
)
|
10.52
|
||||||||||
Unvested, end of period
|
56,822
|
$
|
8.65
|
51,352
|
$
|
10.06
|
||||||||||
Compensation expense during period
|
$
|
104
|
$
|
130
|
||||||||||||
Unrecognized compensation expense, end of period
|
$
|
270
|
$
|
276
|
||||||||||||
Intrinsic value, end of period
|
$
|
427
|
$
|
506
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
1.4
|
1.3
|
(in thousands, except per-share information)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2018
|
2017
|
2018
|
2017
|
|||||||||||||
Basic and diluted EPS per common share:
|
||||||||||||||||
Numerator for basic and diluted EPS per share of common stock:
|
||||||||||||||||
Net (loss) income - Basic and diluted
|
$
|
(15,030
|
)
|
$
|
(7,193
|
)
|
$
|
1,346
|
$
|
(9,643
|
)
|
|||||
Weighted average shares of common stock:
|
||||||||||||||||
Shares of common stock outstanding at the balance sheet date
|
52,035
|
45,300
|
52,035
|
45,300
|
||||||||||||
Unvested dividend eligible share based compensation
|
||||||||||||||||
outstanding at the balance sheet date
|
-
|
-
|
57
|
-
|
||||||||||||
Effect of weighting
|
760
|
(10,183
|
)
|
495
|
(8,089
|
)
|
||||||||||
Weighted average shares-basic and diluted
|
52,795
|
35,117
|
52,587
|
37,211
|
||||||||||||
Net (loss) income per common share:
|
||||||||||||||||
Basic and diluted
|
$
|
(0.29
|
)
|
$
|
(0.21
|
)
|
$
|
0.03
|
$
|
(0.26
|
)
|
|||||
Anti-dilutive incentive shares not included in calculation.
|
51
|
61
|
-
|
54
|
·
|
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, 2018
|
||||||||||||||||
Mortgage-backed securities
|
$
|
3,689,596
|
$
|
-
|
$
|
3,689,596
|
$
|
-
|
||||||||
Interest rate swaps
|
26,334
|
-
|
26,334
|
-
|
||||||||||||
Interest rate swaptions
|
7,873
|
-
|
7,873
|
-
|
||||||||||||
TBA securities
|
(2,240
|
)
|
-
|
(2,240
|
)
|
-
|
||||||||||
December 31, 2017
|
||||||||||||||||
Mortgage-backed securities
|
$
|
3,744,811
|
$
|
-
|
$
|
3,744,811
|
$
|
-
|
||||||||
Interest rate swaps
|
13,530
|
-
|
13,530
|
-
|
||||||||||||
Interest rate swaptions
|
3,405
|
-
|
3,405
|
-
|
||||||||||||
TBA securities
|
(1,813
|
)
|
-
|
(1,813
|
)
|
-
|
·
|
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, and supply of, investments in Agency RMBS;
|
·
|
actions taken by the U.S. government, including the presidential administration, the Federal Reserve (the "Fed"), the Federal Open Market Committee (the "FOMC") 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,
|
|||||||||||||||||||||||
2018
|
2017
|
Change
|
2018
|
2017
|
Change
|
|||||||||||||||||||
Interest income
|
$
|
78,526
|
$
|
66,890
|
$
|
11,636
|
$
|
38,590
|
$
|
34,579
|
$
|
4,011
|
||||||||||||
Interest expense
|
(31,728
|
)
|
(15,478
|
)
|
(16,250
|
)
|
(16,579
|
)
|
(8,763
|
)
|
(7,816
|
)
|
||||||||||||
Net interest income
|
46,798
|
51,412
|
(4,614
|
)
|
22,011
|
25,816
|
(3,805
|
)
|
||||||||||||||||
Losses on RMBS and derivative contracts
|
(55,789
|
)
|
(53,324
|
)
|
(2,465
|
)
|
(17,734
|
)
|
(32,597
|
)
|
14,863
|
|||||||||||||
Net portfolio (deficiency) income
|
(8,991
|
)
|
(1,912
|
)
|
(7,079
|
)
|
4,277
|
(6,781
|
)
|
11,058
|
||||||||||||||
Expenses
|
(6,039
|
)
|
(5,281
|
)
|
(758
|
)
|
(2,931
|
)
|
(2,862
|
)
|
(69
|
)
|
||||||||||||
Net (loss) income
|
$
|
(15,030
|
)
|
$
|
(7,193
|
)
|
$
|
(7,837
|
)
|
$
|
1,346
|
$
|
(9,643
|
)
|
$
|
10,989
|
Net Earnings Excluding Realized and Unrealized Gains and Losses
|
||||||||||||||||||||||||
(in thousands, except per share data)
|
||||||||||||||||||||||||
Per Share
|
||||||||||||||||||||||||
Net Earnings
|
Net Earnings
|
|||||||||||||||||||||||
Excluding
|
Excluding
|
|||||||||||||||||||||||
Realized and
|
Realized and
|
Realized and
|
Realized and
|
|||||||||||||||||||||
Net
|
Unrealized
|
Unrealized
|
Net
|
Unrealized
|
Unrealized
|
|||||||||||||||||||
Income
|
Gains and
|
Gains and
|
Income
|
Gains and
|
Gains and
|
|||||||||||||||||||
(GAAP)
|
Losses
(1)
|
Losses
|
(GAAP)
|
Losses
|
Losses
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
June 30, 2018
|
$
|
1,346
|
$
|
(17,734
|
)
|
$
|
19,080
|
$
|
0.03
|
$
|
(0.34
|
)
|
$
|
0.37
|
||||||||||
March 31, 2018
|
(16,377
|
)
|
(38,055
|
)
|
21,678
|
(0.31
|
)
|
(0.72
|
)
|
0.41
|
||||||||||||||
December 31, 2017
|
(5,982
|
)
|
(29,540
|
)
|
23,558
|
(0.12
|
)
|
(0.61
|
)
|
0.49
|
||||||||||||||
September 30, 2017
|
15,183
|
(8,254
|
)
|
23,437
|
0.33
|
(0.18
|
)
|
0.52
|
||||||||||||||||
June 30, 2017
|
(9,643
|
)
|
(32,597
|
)
|
22,954
|
(0.26
|
)
|
(0.88
|
)
|
0.62
|
||||||||||||||
March 31, 2017
|
2,449
|
(20,727
|
)
|
23,176
|
0.07
|
(0.63
|
)
|
0.70
|
||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||
June 30, 2018
|
$
|
(15,030
|
)
|
$
|
(55,789
|
)
|
$
|
40,759
|
$
|
(0.29
|
)
|
$
|
(1.06
|
)
|
$
|
0.77
|
||||||||
June 30, 2017
|
(7,193
|
)
|
(53,324
|
)
|
46,131
|
(0.21
|
)
|
(1.51
|
)
|
1.31
|
(1)
|
Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest expense on interest rate swaps
.
|
Gains (Losses) on Derivative Instruments
|
||||||||||||||||
(in thousands)
|
||||||||||||||||
Funding Hedges
|
||||||||||||||||
Recognized in
|
Attributed to
|
Attributed to
|
||||||||||||||
Income
|
TBA
|
Current
|
Future
|
|||||||||||||
Statement
|
Securities
|
Period
|
Periods
|
|||||||||||||
(GAAP)
|
Income
|
(Non-GAAP)
|
(Non-GAAP)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
June 30, 2018
|
$
|
14,859
|
$
|
1,564
|
$
|
(852
|
)
|
$
|
14,147
|
|||||||
March 31, 2018
|
41,994
|
8,407
|
(3,011
|
)
|
36,598
|
|||||||||||
December 31, 2017
|
13,982
|
(2,094
|
)
|
(3,763
|
)
|
19,839
|
||||||||||
September 30, 2017
|
(5,470
|
)
|
(1,459
|
)
|
(3,761
|
)
|
(250
|
)
|
||||||||
June 30, 2017
|
(19,442
|
)
|
(2,384
|
)
|
(3,654
|
)
|
(13,404
|
)
|
||||||||
March 31, 2017
|
(4,419
|
)
|
-
|
(3,193
|
)
|
(1,226
|
)
|
|||||||||
Six Months Ended
|
||||||||||||||||
June 30, 2018
|
$
|
56,853
|
$
|
9,971
|
$
|
(3,863
|
)
|
$
|
50,745
|
|||||||
June 30, 2017
|
(23,861
|
)
|
(2,384
|
)
|
(6,847
|
)
|
(14,630
|
)
|
Economic Interest Expense and Economic Net Interest Income
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Interest Expense on Borrowings
|
||||||||||||||||||||||||
Gains
|
||||||||||||||||||||||||
(Losses) on
|
||||||||||||||||||||||||
Derivative
|
||||||||||||||||||||||||
Instruments
|
Net Interest Income
|
|||||||||||||||||||||||
GAAP
|
Attributed
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||||||
Interest
|
Interest
|
to Current
|
Interest
|
Net Interest
|
Net Interest
|
|||||||||||||||||||
Income
|
Expense
|
Period
(1)
|
Expense
(2)
|
Income
|
Income
(3)
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
June 30, 2018
|
$
|
38,590
|
$
|
16,579
|
$
|
(852
|
)
|
$
|
17,431
|
$
|
22,011
|
$
|
21,159
|
|||||||||||
March 31, 2018
|
39,935
|
15,149
|
(3,011
|
)
|
18,160
|
24,786
|
21,775
|
|||||||||||||||||
December 31, 2017
|
40,098
|
13,554
|
(3,763
|
)
|
17,317
|
26,544
|
22,781
|
|||||||||||||||||
September 30, 2017
|
38,974
|
12,638
|
(3,761
|
)
|
16,399
|
26,336
|
22,575
|
|||||||||||||||||
June 30, 2017
|
34,579
|
8,763
|
(3,654
|
)
|
12,417
|
25,816
|
22,162
|
|||||||||||||||||
March 31, 2017
|
32,311
|
6,715
|
(3,193
|
)
|
9,908
|
25,596
|
22,403
|
|||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||
June 30, 2018
|
$
|
78,526
|
$
|
31,728
|
$
|
(3,863
|
)
|
$
|
35,591
|
$
|
46,798
|
$
|
42,935
|
|||||||||||
June 30, 2017
|
66,890
|
15,478
|
(6,847
|
)
|
22,325
|
51,412
|
44,565
|
(1)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(2)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to 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
|
Interest Expense
|
Average Cost of Funds
|
|||||||||||||||||||||||||||||
RMBS
|
Interest
|
Average
|
Average
|
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||||||||
Held
(1)
|
Income
|
RMBS
|
Borrowings
(1)
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(3)
|
|||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||
June 30, 2018
|
$
|
3,717,690
|
$
|
38,590
|
4.15
|
%
|
$
|
3,534,567
|
$
|
16,579
|
$
|
17,431
|
1.88
|
%
|
1.97
|
%
|
||||||||||||||||
March 31, 2018
|
3,745,298
|
39,935
|
4.27
|
%
|
3,576,533
|
15,149
|
18,160
|
1.69
|
%
|
2.03
|
%
|
|||||||||||||||||||||
December 31, 2017
|
3,837,575
|
40,098
|
4.18
|
%
|
3,621,931
|
13,554
|
17,317
|
1.50
|
%
|
1.91
|
%
|
|||||||||||||||||||||
September 30, 2017
|
3,834,083
|
38,974
|
4.07
|
%
|
3,494,266
|
12,638
|
16,399
|
1.45
|
%
|
1.88
|
%
|
|||||||||||||||||||||
June 30, 2017
|
3,499,922
|
34,579
|
3.95
|
%
|
3,164,532
|
8,763
|
12,417
|
1.11
|
%
|
1.57
|
%
|
|||||||||||||||||||||
March 31, 2017
|
3,142,095
|
32,311
|
4.11
|
%
|
2,922,157
|
6,715
|
9,908
|
0.92
|
%
|
1.36
|
%
|
|||||||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||||||||||
June 30, 2018
|
$
|
3,731,494
|
$
|
78,526
|
4.21
|
%
|
$
|
3,555,550
|
$
|
31,728
|
$
|
35,591
|
1.78
|
%
|
2.00
|
%
|
||||||||||||||||
June 30, 2017
|
3,321,009
|
66,890
|
4.03
|
%
|
3,043,344
|
15,478
|
22,325
|
1.02
|
%
|
1.47
|
%
|
($ in thousands)
|
||||||||||||||||
Net Interest Income
|
Net Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
June 30, 2018
|
$
|
22,011
|
$
|
21,159
|
2.27
|
%
|
2.18
|
%
|
||||||||
March 31, 2018
|
24,786
|
21,775
|
2.58
|
%
|
2.24
|
%
|
||||||||||
December 31, 2017
|
26,544
|
22,781
|
2.68
|
%
|
2.27
|
%
|
||||||||||
September 30, 2017
|
26,336
|
22,575
|
2.62
|
%
|
2.19
|
%
|
||||||||||
June 30, 2017
|
25,816
|
22,162
|
2.84
|
%
|
2.38
|
%
|
||||||||||
March 31, 2017
|
25,596
|
22,403
|
3.19
|
%
|
2.75
|
%
|
||||||||||
Six Months Ended
|
||||||||||||||||
June 30, 2018
|
$
|
46,798
|
$
|
42,934
|
2.43
|
%
|
2.21
|
%
|
||||||||
June 30, 2017
|
51,412
|
44,565
|
3.01
|
%
|
2.56
|
%
|
(1)
|
Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 31 and 32 are calculated based on the average balances of the underlying investment portfolio/borrowings 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 32 includes the effect of our derivative instrument hedges for only the periods presented.
|
(3) |
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.
|
(4) |
Economic net interest spread is calculated by subtracting average economic cost of funds from realized yield on average RMBS.
|
($ 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, 2018
|
$
|
3,572,540
|
$
|
145,150
|
$
|
3,717,690
|
$
|
36,273
|
$
|
2,317
|
$
|
38,590
|
4.06
|
%
|
6.38
|
%
|
4.15
|
%
|
||||||||||||||||||
March 31, 2018
|
3,610,527
|
134,771
|
3,745,298
|
38,725
|
1,210
|
39,935
|
4.29
|
%
|
3.59
|
%
|
4.27
|
%
|
||||||||||||||||||||||||
December 31, 2017
|
3,704,163
|
133,412
|
3,837,575
|
38,927
|
1,171
|
40,098
|
4.20
|
%
|
3.51
|
%
|
4.18
|
%
|
||||||||||||||||||||||||
September 30, 2017
|
3,687,533
|
146,550
|
3,834,083
|
38,476
|
498
|
38,974
|
4.17
|
%
|
1.36
|
%
|
4.07
|
%
|
||||||||||||||||||||||||
June 30, 2017
|
3,349,042
|
150,880
|
3,499,922
|
32,479
|
2,100
|
34,579
|
3.88
|
%
|
5.57
|
%
|
3.95
|
%
|
||||||||||||||||||||||||
March 31, 2017
|
2,990,937
|
151,158
|
3,142,095
|
29,772
|
2,539
|
32,311
|
3.98
|
%
|
6.72
|
%
|
4.11
|
%
|
||||||||||||||||||||||||
Six Months Ended
|
||||||||||||||||||||||||||||||||||||
June 30, 2018
|
$
|
3,591,534
|
$
|
139,960
|
$
|
3,731,494
|
$
|
74,998
|
$
|
3,527
|
$
|
78,526
|
4.18
|
%
|
5.04
|
%
|
4.21
|
%
|
||||||||||||||||||
June 30, 2017
|
3,169,990
|
151,019
|
3,321,009
|
62,251
|
4,639
|
66,890
|
3.93
|
%
|
6.14
|
%
|
4.03
|
%
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Balance of
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Borrowings
|
Basis
|
Basis
|
Basis
|
Basis
|
||||||||||||||||
Three Months Ended
|
||||||||||||||||||||
June 30, 2018
|
$
|
3,534,567
|
$
|
16,579
|
$
|
17,431
|
1.88
|
%
|
1.97
|
%
|
||||||||||
March 31, 2018
|
3,576,533
|
15,149
|
18,160
|
1.69
|
%
|
2.03
|
%
|
|||||||||||||
December 31, 2017
|
3,621,931
|
13,554
|
17,317
|
1.50
|
%
|
1.91
|
%
|
|||||||||||||
September 30, 2017
|
3,494,266
|
12,638
|
16,399
|
1.45
|
%
|
1.88
|
%
|
|||||||||||||
June 30, 2017
|
3,164,532
|
8,763
|
12,417
|
1.11
|
%
|
1.57
|
%
|
|||||||||||||
March 31, 2017
|
2,922,157
|
6,715
|
9,908
|
0.92
|
%
|
1.36
|
%
|
|||||||||||||
Six Months Ended
|
||||||||||||||||||||
June 30, 2018
|
$
|
3,555,550
|
$
|
31,728
|
$
|
35,591
|
1.78
|
%
|
2.00
|
%
|
||||||||||
June 30, 2017
|
3,043,344
|
15,478
|
22,325
|
1.02
|
%
|
1.47
|
%
|
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, 2018
|
1.99
|
%
|
2.48
|
%
|
(0.11
|
)%
|
(0.60
|
)%
|
(0.02
|
)%
|
(0.51
|
)%
|
||||||||||||
March 31, 2018
|
1.69
|
%
|
2.11
|
%
|
0.00
|
%
|
(0.42
|
)%
|
0.34
|
%
|
(0.08
|
)%
|
||||||||||||
December 31, 2017
|
1.36
|
%
|
1.62
|
%
|
0.14
|
%
|
(0.12
|
)%
|
0.55
|
%
|
0.29
|
%
|
||||||||||||
September 30, 2017
|
1.20
|
%
|
1.45
|
%
|
0.25
|
%
|
(0.00
|
)%
|
0.68
|
%
|
0.43
|
%
|
||||||||||||
June 30, 2017
|
1.05
|
%
|
1.43
|
%
|
0.06
|
%
|
(0.32
|
)%
|
0.52
|
%
|
0.14
|
%
|
||||||||||||
March 31, 2017
|
0.82
|
%
|
1.37
|
%
|
0.10
|
%
|
(0.45
|
)%
|
0.54
|
%
|
(0.01
|
)%
|
||||||||||||
Six Months Ended
|
||||||||||||||||||||||||
June 30, 2018
|
1.84
|
%
|
2.30
|
%
|
(0.06
|
)%
|
(0.52
|
)%
|
0.16
|
%
|
(0.30
|
)%
|
||||||||||||
June 30, 2017
|
0.94
|
%
|
1.40
|
%
|
0.08
|
%
|
(0.38
|
)%
|
0.53
|
%
|
0.07
|
%
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2018
|
2017
|
Change
|
2018
|
2017
|
Change
|
|||||||||||||||||||
Realized (losses) gains on sales of RMBS
|
$
|
(20,513
|
)
|
$
|
2,585
|
$
|
(23,098
|
)
|
$
|
(12,175
|
)
|
$
|
3,935
|
$
|
(16,110
|
)
|
||||||||
Unrealized losses on RMBS
|
(92,129
|
)
|
(32,048
|
)
|
(60,081
|
)
|
(20,418
|
)
|
(17,090
|
)
|
(3,328
|
)
|
||||||||||||
Total losses on RMBS
|
(112,642
|
)
|
(29,463
|
)
|
(83,179
|
)
|
(32,593
|
)
|
(13,155
|
)
|
(19,438
|
)
|
||||||||||||
Gains (losses) on interest rate futures
|
28,411
|
(17,302
|
)
|
45,713
|
7,049
|
(12,880
|
)
|
19,929
|
||||||||||||||||
Gains (losses) on interest rate swaps
|
14,037
|
(4,175
|
)
|
18,212
|
3,530
|
(4,178
|
)
|
7,708
|
||||||||||||||||
(Losses) gains on receiver swaptions
|
(779
|
)
|
-
|
(779
|
)
|
(430
|
)
|
-
|
(430
|
)
|
||||||||||||||
Gains on payer swaptions
|
5,213
|
-
|
5,213
|
3,146
|
-
|
3,146
|
||||||||||||||||||
Gains (losses) on TBA securities
|
9,971
|
(2,384
|
)
|
12,355
|
1,564
|
(2,384
|
)
|
3,948
|
5 Year
|
10 Year
|
15 Year
|
30 Year
|
Three
|
||||||||||||||||
U.S. Treasury
|
U.S. Treasury
|
Fixed-Rate
|
Fixed-Rate
|
Month
|
||||||||||||||||
Rate
(1)
|
Rate
(1)
|
Mortgage Rate
(2)
|
Mortgage Rate
(2)
|
LIBOR
(3)
|
||||||||||||||||
June 30, 2018
|
2.73
|
%
|
2.85
|
%
|
4.04
|
%
|
4.57
|
%
|
2.34
|
%
|
||||||||||
March 31, 2018
|
2.56
|
%
|
2.74
|
%
|
3.91
|
%
|
4.44
|
%
|
2.31
|
%
|
||||||||||
December 31, 2017
|
2.21
|
%
|
2.40
|
%
|
3.39
|
%
|
3.95
|
%
|
1.61
|
%
|
||||||||||
September 30, 2017
|
1.93
|
%
|
2.33
|
%
|
3.11
|
%
|
3.81
|
%
|
1.32
|
%
|
||||||||||
June 30, 2017
|
1.88
|
%
|
2.30
|
%
|
3.17
|
%
|
3.90
|
%
|
1.26
|
%
|
||||||||||
March 31, 2017
|
1.93
|
%
|
2.40
|
%
|
3.41
|
%
|
4.20
|
%
|
1.13
|
%
|
(1)
|
Historical 5 and 10 Year U.S. Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.
|
(2)
|
Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac's Primary Mortgage Market Survey.
|
(3)
|
Historical LIBOR is obtained from the Intercontinental Exchange Benchmark Administration Ltd.
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2018
|
2017
|
Change
|
2018
|
2017
|
Change
|
|||||||||||||||||||
Management fees
|
$
|
3,318
|
$
|
2,702
|
$
|
616
|
$
|
1,606
|
$
|
1,400
|
$
|
206
|
||||||||||||
Overhead allocation
|
742
|
756
|
(14
|
)
|
361
|
388
|
(27
|
)
|
||||||||||||||||
Accrued incentive compensation
|
12
|
230
|
(218
|
)
|
1
|
218
|
(217
|
)
|
||||||||||||||||
Directors fees and liability insurance
|
500
|
508
|
(8
|
)
|
248
|
232
|
16
|
|||||||||||||||||
Audit, legal and other professional fees
|
463
|
389
|
74
|
167
|
219
|
(52
|
)
|
|||||||||||||||||
Direct REIT operating expenses
|
810
|
496
|
314
|
407
|
265
|
142
|
||||||||||||||||||
Other administrative
|
194
|
200
|
(6
|
)
|
141
|
140
|
1
|
|||||||||||||||||
Total expenses
|
$
|
6,039
|
$
|
5,281
|
$
|
758
|
$
|
2,931
|
$
|
2,862
|
$
|
69
|
·
|
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 $500 million.
|
Structured
|
||||||||||||
PT RMBS
|
RMBS
|
Total
|
||||||||||
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
June 30, 2018
|
8.7
|
11.8
|
9.8
|
|||||||||
March 31, 2018
|
6.5
|
11.6
|
7.7
|
|||||||||
December 31, 2017
|
7.0
|
13.6
|
9.1
|
|||||||||
September 30, 2017
|
8.3
|
14.9
|
10.3
|
|||||||||
June 30, 2017
|
7.0
|
12.7
|
9.5
|
|||||||||
March 31, 2017
|
7.5
|
14.3
|
9.9
|
($ 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, 2018
|
|||||||||
Adjustable Rate RMBS
|
$
|
1,718
|
0.0%
|
3.95%
|
200
|
1-Sep-35
|
0.81
|
10.05%
|
2.00%
|
Fixed Rate RMBS
|
2,978,653
|
80.7%
|
4.30%
|
298
|
1-May-48
|
NA
|
NA
|
NA
|
|
Fixed Rate CMOs
|
542,656
|
14.7%
|
4.39%
|
310
|
15-Jul-47
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate RMBS
|
24,684
|
0.7%
|
2.57%
|
295
|
1-Aug-43
|
53.98
|
7.57%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
3,547,711
|
96.1%
|
4.30%
|
300
|
1-May-48
|
NA
|
NA
|
NA
|
|
Interest-Only Securities
|
116,181
|
3.1%
|
3.83%
|
279
|
25-Feb-48
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
25,704
|
0.8%
|
3.57%
|
309
|
15-Jul-47
|
NA
|
5.30%
|
NA
|
|
Total Structured RMBS
|
141,885
|
3.9%
|
3.79%
|
285
|
25-Feb-48
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
3,689,596
|
100.0%
|
4.28%
|
299
|
1-May-48
|
NA
|
NA
|
NA
|
December 31, 2017
|
|||||||||
Adjustable Rate RMBS
|
$
|
1,754
|
0.0%
|
3.95%
|
206
|
1-Sep-35
|
5.50
|
10.05%
|
2.00%
|
Fixed Rate RMBS
|
3,594,533
|
96.0%
|
4.25%
|
338
|
1-Dec-47
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate RMBS
|
27,398
|
0.7%
|
2.59%
|
301
|
1-Aug-43
|
59.77
|
7.59%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
3,623,685
|
96.7%
|
4.24%
|
338
|
1-Dec-47
|
NA
|
NA
|
NA
|
|
Interest-Only Securities
|
86,918
|
2.3%
|
3.75%
|
262
|
15-Apr-47
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
34,208
|
1.0%
|
4.02%
|
318
|
15-Jul-47
|
NA
|
5.11%
|
NA
|
|
Total Structured RMBS
|
121,126
|
3.3%
|
3.82%
|
278
|
15-Jul-47
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
3,744,811
|
100.0%
|
4.23%
|
336
|
1-Dec-47
|
NA
|
NA
|
NA
|
($ in thousands)
|
||||||||||||||||
June 30, 2018
|
December 31, 2017
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
2,164,713
|
58.7
|
%
|
$
|
2,242,213
|
59.9
|
%
|
||||||||
Freddie Mac
|
1,519,420
|
41.2
|
%
|
1,496,615
|
40.0
|
%
|
||||||||||
Ginnie Mae
|
5,463
|
0.1
|
%
|
5,983
|
0.1
|
%
|
||||||||||
Total Portfolio
|
$
|
3,689,596
|
100.0
|
%
|
$
|
3,744,811
|
100.0
|
%
|
June 30, 2018
|
December 31, 2017
|
|||||||
Weighted Average Pass-through Purchase Price
|
$
|
106.25
|
$
|
107.52
|
||||
Weighted Average Structured Purchase Price
|
$
|
14.37
|
$
|
13.82
|
||||
Weighted Average Pass-through Current Price
|
$
|
104.08
|
$
|
106.79
|
||||
Weighted Average Structured Current Price
|
$
|
14.18
|
$
|
12.50
|
||||
Effective Duration
(1)
|
3.421
|
2.989
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 bps change in rates. An effective duration of 3.421 indicates that an interest rate increase of 1.0% would be expected to cause a 3.421% decrease in the value of the RMBS in the Company's investment portfolio at June 30, 2018. An effective duration of 2.989 indicates that an interest rate increase of 1.0% would be expected to cause a 2.989% decrease in the value of the RMBS in the Company's investment portfolio at December 31, 2017. 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)
|
||||||||||||||||||||||||
2018
|
2017
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
Pass-through RMBS
|
$
|
1,966,300
|
$
|
104.60
|
3.39
|
%
|
$
|
3,906,120
|
$
|
108.29
|
2.74
|
%
|
||||||||||||
Structured RMBS
|
28,908
|
21.56
|
5.39
|
%
|
59,272
|
16.34
|
5.03
|
%
|
($ in thousands)
|
||||||||||||||||
Difference Between Ending
|
||||||||||||||||
Ending
|
Average
|
Borrowings and
|
||||||||||||||
Balance of
|
Balance of
|
Average Borrowings
|
||||||||||||||
Three Months Ended
|
Borrowings
|
Borrowings
|
Amount
|
Percent
|
||||||||||||
June 30, 2018
|
$
|
3,449,854
|
$
|
3,534,567
|
$
|
(84,713
|
)
|
(2.40
|
)%
|
|||||||
March 31, 2018
|
3,619,280
|
3,576,533
|
42,747
|
1.20
|
%
|
|||||||||||
December 31, 2017
|
3,533,786
|
3,621,931
|
(88,145
|
)
|
(2.43
|
)%
|
||||||||||
September 30, 2017
|
3,710,077
|
3,494,266
|
215,811
|
6.18
|
%
|
|||||||||||
June 30, 2017
|
3,278,456
|
3,164,532
|
113,924
|
3.60
|
%
|
|||||||||||
March 31, 2017
|
3,050,608
|
2,922,157
|
128,451
|
4.40
|
%
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$
|
3,449,854
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,449,854
|
||||||||||
Interest expense on repurchase agreements
(1)
|
14,289
|
-
|
-
|
-
|
14,289
|
|||||||||||||||
Totals
|
$
|
3,464,143
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,464,143
|
(1)
|
Interest expense on repurchase agreements is based on current interest rates as of June 30, 2018 and the remaining term of the liabilities existing at that date.
|
(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 - YTD
(1)
|
0.670
|
35,313
|
||||||
Totals
|
$
|
9.505
|
$
|
213,471
|
(1)
|
On July 18, 2018, the Company declared a dividend of $0.09 per share to be paid on August 10, 2018. The effect of this dividend is included in the table above but is not reflected in the Company's financial statements as of June 30, 2018.
|
(1)
|
Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager, and assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.
|
(2)
|
Includes the effect of derivatives and other securities used for hedging purposes.
|
(3)
|
Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.
|
(4)
|
Estimated dollar change in portfolio value expressed as a percent of stockholders' equity as of such date.
|
(1)
|
Includes shares of the Company's common stock acquired by the Company in connection with the satisfaction of tax withholding obligations on vested employment-related awards under equity incentive plans.
|
(2)
|
On July 29, 2015, the Company's Board of Directors authorized the repurchase of up to 2,000,000 shares of the Company's common stock. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock. Unless modified or revoked by the Board, the authorization does not expire.
|
* |
Filed herewith.
|
** |
Furnished herewith.
|
*** |
Submitted electronically herewith.
|
Orchid Island Capital, Inc
.
|
||||
Registrant
|
||||
Date:
July 27, 2018
|
By:
|
/s/ Robert E. Cauley
|
||
Robert E. Cauley
Chief Executive Officer, President and Chairman of the Board
|
||||
Date:
July 27, 2018
|
By:
|
/s/ George H. Haas, IV
|
||
George H. Haas, IV
Secretary, Chief Financial Officer, Chief Investment Officer and Director (Principal Financial and Accounting Officer)
|
* |
Filed herewith.
|
** |
Furnished herewith.
|
*** |
Submitted electronically herewith.
|
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