Large accelerated filer | |||
ORCHID ISLAND CAPITAL, INC. | ||||||||
CONDENSED CONSOLIDATED BALANCE SHEETS | ||||||||
($ in thousands, except per share data) | ||||||||
(Unaudited) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
ASSETS: | ||||||||
Mortgage-backed securities, at fair value | ||||||||
Pledged to counterparties | $ | 3,917,425 | $ | 2,972,290 | ||||
Unpledged | 12,915 | 49,884 | ||||||
Total mortgage-backed securities | 3,930,340 | 3,022,174 | ||||||
Cash and cash equivalents | 161,659 | 73,475 | ||||||
Restricted cash | 19,629 | 20,950 | ||||||
Accrued interest receivable | 15,410 | 11,512 | ||||||
Derivative assets, at fair value | 16,871 | 10,365 | ||||||
Other assets | 475 | 218 | ||||||
Total Assets | $ | 4,144,384 | $ | 3,138,694 | ||||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||
LIABILITIES: | ||||||||
Repurchase agreements | $ | 3,710,077 | $ | 2,793,705 | ||||
Dividends payable | 6,343 | 4,616 | ||||||
Derivative liabilities, at fair value | 2,591 | 1,982 | ||||||
Accrued interest payable | 4,815 | 1,826 | ||||||
Due to affiliates | 762 | 566 | ||||||
Other liabilities | 5,395 | 3,220 | ||||||
Total Liabilities | 3,729,983 | 2,805,915 | ||||||
COMMITMENTS AND CONTINGENCIES | ||||||||
STOCKHOLDERS' EQUITY: | ||||||||
Preferred stock, $0.01 par value; 100,000,000 shares authorized; no shares issued | ||||||||
and outstanding as of September 30, 2017 and December 31, 2016 | - | - | ||||||
Common Stock, $0.01 par value; 500,000,000 shares authorized, 45,308,169 | ||||||||
shares issued and outstanding as of September 30, 2017 and 32,962,919 shares issued | ||||||||
and outstanding as of December 31, 2016 | 453 | 330 | ||||||
Additional paid-in capital | 413,948 | 332,449 | ||||||
Retained earnings (accumulated deficit) | - | - | ||||||
Total Stockholders' Equity | 414,401 | 332,779 | ||||||
Total Liabilities and Stockholders' Equity | $ | 4,144,384 | $ | 3,138,694 | ||||
See Notes to Consolidated Financial Statements |
ORCHID ISLAND CAPITAL, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Nine and Three Months Ended September 30, 2017 and 2016 | ||||||||||||||||
($ in thousands, except per share data) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest income | $ | 105,864 | $ | 62,059 | $ | 38,974 | $ | 22,358 | ||||||||
Interest expense | (28,116 | ) | (10,629 | ) | (12,638 | ) | (3,979 | ) | ||||||||
Net interest income | 77,748 | 51,430 | 26,336 | 18,379 | ||||||||||||
Realized gains on mortgage-backed securities | 3,354 | 4,482 | 769 | 229 | ||||||||||||
Unrealized (losses) gains on mortgage-backed securities | (35,601 | ) | 5,652 | (3,553 | ) | (2,398 | ) | |||||||||
(Losses) gains on derivative instruments | (29,331 | ) | (32,594 | ) | (5,470 | ) | 6,587 | |||||||||
FHLB stock dividends | - | 14 | - | - | ||||||||||||
Net portfolio income | 16,170 | 28,984 | 18,082 | 22,797 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 4,230 | 2,968 | 1,528 | 1,052 | ||||||||||||
Allocated overhead | 1,168 | 963 | 412 | 336 | ||||||||||||
Accrued incentive compensation | 439 | 598 | 209 | 212 | ||||||||||||
Directors' fees and liability insurance | 722 | 763 | 215 | 236 | ||||||||||||
Audit, legal and other professional fees | 547 | 654 | 157 | 193 | ||||||||||||
Direct REIT operating expenses | 816 | 426 | 320 | 187 | ||||||||||||
Other administrative | 259 | 215 | 58 | 55 | ||||||||||||
Total expenses | 8,181 | 6,587 | 2,899 | 2,271 | ||||||||||||
Net income | $ | 7,989 | $ | 22,397 | $ | 15,183 | $ | 20,526 | ||||||||
Basic and diluted net income per share | $ | 0.21 | $ | 0.99 | $ | 0.33 | $ | 0.85 | ||||||||
Weighted Average Shares Outstanding | 38,608,053 | 22,619,293 | 45,355,124 | 24,133,343 | ||||||||||||
Dividends declared per common share | $ | 1.26 | $ | 1.26 | $ | 0.42 | $ | 0.42 | ||||||||
See Notes to Consolidated Financial Statements |
ORCHID ISLAND CAPITAL, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Nine Months Ended September 30, 2017 | ||||||||||||||||
($ in thousands, except per share data) | ||||||||||||||||
Additional | Retained | |||||||||||||||
Common | Paid-in | Earnings | ||||||||||||||
Stock | Capital | (Deficit) | Total | |||||||||||||
Balances, January 1, 2017 | $ | 330 | $ | 332,449 | $ | - | $ | 332,779 | ||||||||
Net income | - | - | 7,989 | 7,989 | ||||||||||||
Cash dividends declared, $1.26 per share | - | (41,688 | ) | (7,989 | ) | (49,677 | ) | |||||||||
Issuance of common stock pursuant to public offerings, net | 123 | 122,734 | - | 122,857 | ||||||||||||
Issuance of common stock pursuant to stock based | ||||||||||||||||
compensation plan | - | 232 | - | 232 | ||||||||||||
Amortization of stock based compensation | - | 221 | - | 221 | ||||||||||||
Balances, September 30, 2017 | $ | 453 | $ | 413,948 | $ | - | $ | 414,401 | ||||||||
See Notes to Consolidated Financial Statements |
ORCHID ISLAND CAPITAL, INC. | ||||||||
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(Unaudited) | ||||||||
For the Nine Months Ended September 30, 2017 and 2016 | ||||||||
($ in thousands) | ||||||||
2017 | 2016 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net income | $ | 7,989 | $ | 22,397 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Stock based compensation | 453 | 492 | ||||||
Realized and unrealized losses (gains) on mortgage-backed securities | 32,247 | (10,134 | ) | |||||
Realized and unrealized gains on interest rate swaptions | (827 | ) | (36 | ) | ||||
Realized and unrealized losses (gains) on interest rate swaps | 1,398 | (792 | ) | |||||
Realized losses on forward settling to-be-announced securities | 3,843 | 2,385 | ||||||
Changes in operating assets and liabilities: | ||||||||
Accrued interest receivable | (3,898 | ) | (967 | ) | ||||
Other assets | (170 | ) | (93 | ) | ||||
Accrued interest payable | 2,989 | 1,010 | ||||||
Other liabilities | (601 | ) | (204 | ) | ||||
Due to affiliates | 196 | 15 | ||||||
NET CASH PROVIDED BY OPERATING ACTIVITIES | 43,619 | 14,073 | ||||||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||||||||
From mortgage-backed securities investments: | ||||||||
Purchases | (5,079,945 | ) | (2,184,709 | ) | ||||
Sales | 3,890,959 | 1,717,612 | ||||||
Principal repayments | 248,483 | 178,460 | ||||||
Redemption of FHLB stock | 3 | 3,750 | ||||||
Payments on net settlement of to-be-announced securities | (7,945 | ) | (2,145 | ) | ||||
Purchase of interest rate swaptions, net of margin cash received | 410 | 705 | ||||||
NET CASH USED IN INVESTING ACTIVITIES | (948,035 | ) | (286,327 | ) | ||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||
Proceeds from repurchase agreements | 39,895,749 | 22,443,458 | ||||||
Principal payments on repurchase agreements | (38,979,377 | ) | (21,944,174 | ) | ||||
Principal payments on FHLB advances | - | (187,500 | ) | |||||
Cash dividends | (47,950 | ) | (28,864 | ) | ||||
Proceeds from issuance of common stock, net of issuance costs | 122,857 | 47,116 | ||||||
NET CASH PROVIDED BY FINANCING ACTIVITIES | 991,279 | 330,036 | ||||||
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 86,863 | 57,782 | ||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 94,425 | 69,959 | ||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | $ | 181,288 | $ | 127,741 | ||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: | ||||||||
Cash paid during the period for: | ||||||||
Interest | $ | 25,127 | $ | 9,619 | ||||
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING ACTIVITIES: | ||||||||
Securities acquired settled in later period | $ | - | $ | 72,343 | ||||
Securities sold settled in later period | - | 27,509 | ||||||
See Notes to Consolidated Financial Statements |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Cash and cash equivalents | $ | 161,659 | $ | 73,475 | ||||
Restricted cash | 19,629 | 20,950 | ||||||
Total cash, cash equivalents and restricted cash | $ | 181,288 | $ | 94,425 |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Pass-Through RMBS Certificates: | ||||||||
Hybrid Adjustable-rate Mortgages | $ | 42,201 | $ | 45,459 | ||||
Adjustable-rate Mortgages | 1,783 | 2,062 | ||||||
Fixed-rate Mortgages | 3,740,658 | 2,826,694 | ||||||
Total Pass-Through Certificates | 3,784,642 | 2,874,215 | ||||||
Structured RMBS Certificates: | ||||||||
Interest-Only Securities | 90,551 | 69,726 | ||||||
Inverse Interest-Only Securities | 55,147 | 78,233 | ||||||
Total Structured RMBS Certificates | 145,698 | 147,959 | ||||||
Total | $ | 3,930,340 | $ | 3,022,174 |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Greater than one year and less than five years | $ | 52 | $ | 157 | ||||
Greater than five years and less than ten years | 2,771 | 277 | ||||||
Greater than or equal to ten years | 3,927,517 | 3,021,740 | ||||||
Total | $ | 3,930,340 | $ | 3,022,174 |
($ in thousands) | ||||||||||||||||||||
OVERNIGHT | BETWEEN 2 | BETWEEN 31 | GREATER | |||||||||||||||||
(1 DAY OR | AND | AND | THAN | |||||||||||||||||
LESS) | 30 DAYS | 90 DAYS | 90 DAYS | TOTAL | ||||||||||||||||
September 30, 2017 | ||||||||||||||||||||
Fair market value of securities pledged, including | ||||||||||||||||||||
accrued interest receivable | $ | - | $ | 2,506,628 | $ | 941,339 | $ | 484,607 | $ | 3,932,574 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 2,358,459 | $ | 897,376 | $ | 454,242 | $ | 3,710,077 | ||||||||||
Net weighted average borrowing rate | - | 1.34 | % | 1.34 | % | 1.57 | % | 1.37 | % | |||||||||||
December 31, 2016 | ||||||||||||||||||||
Fair market value of securities pledged, including | ||||||||||||||||||||
accrued interest receivable | $ | - | $ | 2,284,815 | $ | 686,065 | $ | - | $ | 2,970,880 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 2,154,766 | $ | 638,939 | $ | - | $ | 2,793,705 | ||||||||||
Net weighted average borrowing rate | - | 1.01 | % | 0.96 | % | - | 1.00 | % |
(in thousands) | |||||||||
Derivative Instruments and Related Accounts | Balance Sheet Location | September 30, 2017 | December 31, 2016 | ||||||
Assets | |||||||||
Interest rate swaps | Derivative assets, at fair value | $ | 10,693 | $ | 10,302 | ||||
Payer swaptions | Derivative assets, at fair value | 3,194 | - | ||||||
TBA securities | Derivative assets, at fair value | 2,984 | 63 | ||||||
Total derivative assets, at fair value | $ | 16,871 | $ | 10,365 | |||||
Liabilities | |||||||||
Interest rate swaps | Derivative liabilities, at fair value | $ | 2,591 | $ | 802 | ||||
TBA securities | Derivative liabilities, at fair value | - | 1,180 | ||||||
Total derivative liabilities, at fair value | $ | 2,591 | $ | 1,982 | |||||
Margin Balances Posted to (from) Counterparties | |||||||||
Futures contracts | Restricted cash | $ | 6,193 | $ | 9,419 | ||||
TBA securities | Restricted cash | - | 446 | ||||||
TBA securities | Other liabilities | (1,867 | ) | - | |||||
Interest rate swaption contracts | Other liabilities | (2,776 | ) | - | |||||
Interest rate swap contracts | Restricted cash | 1,437 | - | ||||||
Total margin balances on derivative contracts | $ | 2,987 | $ | 9,865 |
($ in thousands) | ||||||||||||||||
September 30, 2017 | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
Eurodollar Futures Contracts (Short Positions) | ||||||||||||||||
2017 | $ | 1,000,000 | 1.62 | % | 1.48 | % | $ | (340 | ) | |||||||
2018 | 1,000,000 | 1.84 | % | 1.73 | % | (1,091 | ) | |||||||||
2019 | 1,000,000 | 2.09 | % | 1.98 | % | (1,138 | ) | |||||||||
2020 | 925,000 | 2.62 | % | 2.13 | % | (4,505 | ) | |||||||||
Total / Weighted Average | $ | 976,923 | 2.13 | % | 1.91 | % | $ | (7,074 | ) | |||||||
Treasury Note Futures Contracts (Short Position)(2) | ||||||||||||||||
September 2017 10-year T-Note futures | ||||||||||||||||
(Sep 2017 - Sep 2027 Hedge Period) | $ | 115,000 | 1.98 | % | 2.16 | % | $ | (81 | ) |
($ in thousands) | ||||||||||||||||
December 31, 2016 | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
Eurodollar Futures Contracts (Short Positions) | ||||||||||||||||
2017 | $ | 600,000 | 1.48 | % | 1.28 | % | $ | (1,206 | ) | |||||||
2018 | 600,000 | 1.81 | % | 1.82 | % | 76 | ||||||||||
2019 | 675,000 | 2.00 | % | 2.21 | % | 1,429 | ||||||||||
2020 | 700,000 | 2.65 | % | 2.45 | % | (1,394 | ) | |||||||||
Total / Weighted Average | $ | 643,750 | 2.01 | % | 1.97 | % | $ | (1,095 | ) | |||||||
Treasury Note Futures Contracts (Short Position)(2) | ||||||||||||||||
March 2017 10 year T-Note futures | ||||||||||||||||
(Mar 2017 - Mar 2027 Hedge Period) | $ | 465,000 | 2.27 | % | 2.24 | % | $ | (3,134 | ) |
($ in thousands) | ||||||||||||||||||||
Average | Net | |||||||||||||||||||
Fixed | Average | Estimated | Average | |||||||||||||||||
Notional | Pay | Receive | Fair | Maturity | ||||||||||||||||
Amount | Rate | Rate | Value | (Years) | ||||||||||||||||
September 30, 2017 | ||||||||||||||||||||
Expiration > 1 to ≤ 3 years | $ | 650,000 | 1.09 | % | 1.31 | % | $ | 10,318 | 2.3 | |||||||||||
Expiration > 3 to ≤ 5 years | 360,000 | 2.05 | % | 1.32 | % | (2,216 | ) | 4.5 | ||||||||||||
$ | 1,010,000 | 1.43 | % | 1.31 | % | $ | 8,102 | 3.1 | ||||||||||||
December 31, 2016 | ||||||||||||||||||||
Expiration > 3 to ≤ 5 years | $ | 700,000 | 1.20 | % | 0.91 | % | $ | 9,500 | 3.4 |
($ in thousands) | |||||||
Option | Underlying Swap | ||||||
Weighted | Weighted | ||||||
Average | Fixed | Receive | Average | ||||
Fair | Months to | Notional | Pay | Rate | Term | ||
Expiration | Cost | Value | Expiration | Amount | Rate | (LIBOR) | (Years) |
Payer Swaptions | |||||||
≤ 1 year | $2,367 | $3,194 | 11.0 | $200,000 | 2.16% | 3 Month | 6.0 |
($ in thousands) | |||||||||
Notional | Net | ||||||||
Amount | Cost | Market | Carrying | ||||||
Long (Short)(1) | Basis(2) | Value(3) | Value(4) | ||||||
September 30, 2017 | |||||||||
30-Year TBA securities: | |||||||||
3.0% | $ | (300,000) | $ | (303,773) | $ | (300,789) | $ | 2,984 | |
December 31, 2016 | |||||||||
30-Year TBA securities: | |||||||||
3.0% | $ | (100,000) | $ | (99,406) | $ | (99,344) | $ | 62 | |
4.0% | (100,000) | (103,898) | (105,078) | (1,180) | |||||
Total | $ | (200,000) | $ | (203,304) | $ | (204,422) | $ | (1,118) |
(1) |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Eurodollar futures contracts (short positions) | $ | (6,955 | ) | $ | (17,507 | ) | $ | 607 | $ | 1,194 | ||||||
T-Note futures contracts (short position) | (16,190 | ) | (12,288 | ) | (6,450 | ) | 1,688 | |||||||||
Interest rate swaps | (3,170 | ) | (450 | ) | 1,005 | 4,179 | ||||||||||
Receiver swaptions | - | 36 | - | - | ||||||||||||
Payer swaptions | 827 | - | 827 | - | ||||||||||||
Net TBA securities | (3,843 | ) | (2,385 | ) | (1,459 | ) | (474 | ) | ||||||||
Total | $ | (29,331 | ) | $ | (32,594 | ) | $ | (5,470 | ) | $ | 6,587 |
(in thousands) | ||||||||||||
September 30, 2017 | ||||||||||||
Repurchase | Derivative | |||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | |||||||||
PT RMBS - fair value | $ | 3,779,375 | $ | - | $ | 3,779,375 | ||||||
Structured RMBS - fair value | 138,050 | - | 138,050 | |||||||||
Accrued interest on pledged securities | 15,150 | - | 15,150 | |||||||||
Restricted cash | 11,999 | 7,630 | 19,629 | |||||||||
Total | $ | 3,944,574 | $ | 7,630 | $ | 3,952,204 |
(in thousands) | ||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||
Repurchase | Clearing | Derivative | Insurance | |||||||||||||||||
Assets Pledged to Counterparties | Agreements | Margin | Agreements | Capital(1) | Total | |||||||||||||||
PT RMBS - fair value | $ | 2,854,062 | $ | - | $ | - | $ | 1,065 | $ | 2,855,127 | ||||||||||
Structured RMBS - fair value | 106,195 | 10,968 | - | - | 117,163 | |||||||||||||||
Accrued interest on pledged securities | 10,623 | 266 | - | 4 | 10,893 | |||||||||||||||
Restricted cash | 10,835 | - | 9,865 | 250 | 20,950 | |||||||||||||||
Total | $ | 2,981,715 | $ | 11,234 | $ | 9,865 | $ | 1,319 | $ | 3,004,133 |
(in thousands) | ||||||||||||||||||||||||
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
Repurchase | Derivative | Repurchase | Derivative | |||||||||||||||||||||
Assets Pledged to Orchid | Agreements | Agreements | Total | Agreements | Agreements | Total | ||||||||||||||||||
Cash | $ | 253 | $ | 4,643 | $ | 4,896 | $ | 1,029 | $ | - | $ | 1,029 | ||||||||||||
PT RMBS - fair value | 1,768 | - | 1,768 | - | - | - | ||||||||||||||||||
U.S. Treasury securities - fair value | - | - | - | 3,438 | - | 3,438 | ||||||||||||||||||
Total | $ | 2,021 | $ | 4,643 | $ | 6,664 | $ | 4,467 | $ | - | $ | 4,467 |
(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 | |||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||
Interest rate swaps | $ | 10,693 | $ | - | $ | 10,693 | $ | - | $ | - | $ | 10,693 | ||||||||||||
Interest rate swaptions | 3,194 | - | 3,194 | - | (2,776 | ) | 418 | |||||||||||||||||
TBA securities | 2,984 | - | 2,984 | - | (1,867 | ) | 1,117 | |||||||||||||||||
$ | 16,871 | $ | - | $ | 16,871 | $ | - | $ | (4,643 | ) | $ | 12,228 | ||||||||||||
December 31, 2016 | ||||||||||||||||||||||||
Interest rate swaps | $ | 10,302 | $ | - | $ | 10,302 | $ | - | $ | - | $ | 10,302 | ||||||||||||
TBA securities | 63 | - | 63 | - | (63 | ) | - | |||||||||||||||||
$ | 10,365 | $ | - | $ | 10,365 | $ | - | $ | (63 | ) | $ | 10,302 |
(in thousands) | ||||||||||||||||||||||||
Offsetting of Liabilities | ||||||||||||||||||||||||
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 | |||||||||||||||||||||
of Recognized | Consolidated | Consolidated | Posted as | Cash Posted | Net | |||||||||||||||||||
Liabilities | Balance Sheet | Balance Sheet | Collateral | Collateral | Amount | |||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 3,710,077 | $ | - | $ | 3,710,077 | $ | (3,698,078 | ) | $ | (11,999 | ) | $ | - | ||||||||||
Interest rate swaps | 2,591 | - | 2,591 | - | (1,437 | ) | 1,154 | |||||||||||||||||
$ | 3,712,668 | $ | - | $ | 3,712,668 | $ | (3,698,078 | ) | $ | (13,436 | ) | $ | 1,154 | |||||||||||
December 31, 2016 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 2,793,705 | $ | - | $ | 2,793,705 | $ | (2,782,870 | ) | $ | (10,835 | ) | $ | - | ||||||||||
Interest rate swaps | 802 | - | 802 | - | (802 | ) | - | |||||||||||||||||
TBA securities | 1,180 | - | 1,180 | - | (848 | ) | 332 | |||||||||||||||||
$ | 2,795,687 | $ | - | $ | 2,795,687 | $ | (2,782,870 | ) | $ | (12,485 | ) | $ | 332 |
($ in thousands, except per share amounts) | |||||||||||||
Weighted | |||||||||||||
Average | |||||||||||||
Price | |||||||||||||
Received | Net | ||||||||||||
Type of Offering | Period | Per Share(1) | Shares | Proceeds(2) | |||||||||
2017 | |||||||||||||
At the Market Offering Program(3) | First Quarter | $ | 10.13 | 1,286,196 | $ | 12,792 | |||||||
At the Market Offering Program(3) | Second Quarter | 10.17 | 11,012,836 | 110,065 | |||||||||
12,299,032 | $ | 122,857 | |||||||||||
2016 | |||||||||||||
At the Market Offering Program(3) | Second Quarter | $ | 10.48 | 646,753 | $ | 6,591 | |||||||
At the Market Offering Program(3) | Third Quarter | 10.80 | 3,818,802 | 40,525 | |||||||||
At the Market Offering Program(3) | Fourth Quarter | 10.79 | 6,707,101 | 71,212 | |||||||||
11,172,656 | $ | 118,328 |
(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 - YTD(1) | 1.400 | 56,027 | ||||||
Totals | $ | 8.555 | $ | 163,468 |
($ in thousands, except per share data) | ||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||
2017 | 2016 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Grant Date | Grant Date | |||||||||||||||
Shares | Fair Value | Shares | Fair Value | |||||||||||||
Unvested, beginning of period | 8,000 | $ | 12.23 | 16,000 | $ | 12.23 | ||||||||||
Granted | - | - | - | - | ||||||||||||
Vested and issued | (8,000 | ) | 12.23 | (8,000 | ) | 12.23 | ||||||||||
Unvested, end of period | - | $ | - | 8,000 | $ | 12.23 | ||||||||||
Compensation expense during period | $ | 33 | $ | 73 | ||||||||||||
Unrecognized compensation expense, end of period | $ | - | $ | 57 | ||||||||||||
Intrinsic value, end of period | $ | - | $ | 83 | ||||||||||||
Weighted-average remaining vesting term (in years) | - | 0.6 |
($ in thousands, except per share data) | ||||||||
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Fully vested shares granted(1) | 25,848 | 37,695 | ||||||
Weighted average grant date price per share | $ | 9.76 | $ | 10.05 | ||||
Compensation expense related to fully vested common share awards(2) | $ | 252 | $ | 379 |
($ in thousands, except per share data) | ||||||||||||||||
Nine Months Ended September, 30, | ||||||||||||||||
2017 | 2016 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Grant Date | Grant Date | |||||||||||||||
Shares | Fair Value | Shares | Fair Value | |||||||||||||
Unvested, beginning of period | 45,305 | $ | 10.33 | 7,508 | $ | 13.32 | ||||||||||
Granted | 15,707 | 9.55 | 41,500 | 10.00 | ||||||||||||
Forfeited | - | - | (100 | ) | 10.00 | |||||||||||
Vested and issued | (14,490 | ) | 10.52 | (2,252 | ) | 13.32 | ||||||||||
Unvested, end of period | 46,522 | $ | 10.01 | 46,656 | $ | 10.37 | ||||||||||
Compensation expense during period | $ | 188 | $ | 148 | ||||||||||||
Unrecognized compensation expense, end of period | $ | 217 | $ | 320 | ||||||||||||
Intrinsic value, end of period | $ | 474 | $ | 486 | ||||||||||||
Weighted-average remaining vesting term (in years) | 1.2 | 1.6 |
(in thousands, except per-share information) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Basic and diluted EPS per common share: | ||||||||||||||||
Numerator for basic and diluted EPS per common share: | ||||||||||||||||
Net income - Basic and diluted | $ | 7,989 | $ | 22,397 | $ | 15,183 | $ | 20,526 | ||||||||
Weighted average common shares: | ||||||||||||||||
Common shares outstanding at the balance sheet date | 45,308 | 26,252 | 45,308 | 26,252 | ||||||||||||
Unvested dividend eligible share based compensation | ||||||||||||||||
outstanding at the balance sheet date | 47 | 55 | 47 | 55 | ||||||||||||
Effect of weighting | (6,747 | ) | (3,688 | ) | - | (2,174 | ) | |||||||||
Weighted average shares-basic and diluted | 38,608 | 22,619 | 45,355 | 24,133 | ||||||||||||
Net Income per common share: | ||||||||||||||||
Basic and diluted | $ | 0.21 | $ | 0.99 | $ | 0.33 | $ | 0.85 |
(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) | |||||||||||||
September 30, 2017 | ||||||||||||||||
Mortgage-backed securities | $ | 3,930,340 | $ | - | $ | 3,930,340 | $ | - | ||||||||
Interest rate swaps | 8,102 | - | 8,102 | - | ||||||||||||
Interest rate swaptions | 3,194 | - | 3,194 | - | ||||||||||||
TBA securities | 2,984 | - | 2,984 | - | ||||||||||||
December 31, 2016 | ||||||||||||||||
Mortgage-backed securities | $ | 3,022,174 | $ | - | $ | 3,022,174 | $ | - | ||||||||
Interest rate swaps | 9,500 | - | 9,500 | - | ||||||||||||
TBA securities | (1,117 | ) | - | (1,117 | ) | - |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended, September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Interest income | $ | 105,864 | $ | 62,059 | $ | 43,805 | $ | 38,974 | $ | 22,358 | $ | 16,616 | ||||||||||||
Interest expense | (28,116 | ) | (10,629 | ) | (17,487 | ) | (12,638 | ) | (3,979 | ) | (8,659 | ) | ||||||||||||
Net interest income | 77,748 | 51,430 | 26,318 | 26,336 | 18,379 | 7,957 | ||||||||||||||||||
(Losses) gains on RMBS and derivative contracts | (61,578 | ) | (22,446 | ) | (39,132 | ) | (8,254 | ) | 4,418 | (12,672 | ) | |||||||||||||
Net portfolio income | 16,170 | 28,984 | (12,814 | ) | 18,082 | 22,797 | (4,715 | ) | ||||||||||||||||
Expenses | (8,181 | ) | (6,587 | ) | (1,594 | ) | (2,899 | ) | (2,271 | ) | (628 | ) | ||||||||||||
Net income | $ | 7,989 | $ | 22,397 | $ | (14,408 | ) | $ | 15,183 | $ | 20,526 | $ | (5,343 | ) |
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 | ||||||||||||||||||||||||
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 | ||||||||||||||||
December 31, 2016 | (20,419 | ) | (38,003 | ) | 17,584 | (0.72 | ) | (1.33 | ) | 0.62 | ||||||||||||||
September 30, 2016 | 20,526 | 4,418 | 16,108 | 0.85 | 0.18 | 0.67 | ||||||||||||||||||
June 30, 2016 | 6,463 | (7,319 | ) | 13,782 | 0.29 | (0.33 | ) | 0.63 | ||||||||||||||||
March 31, 2016 | (4,591 | ) | (19,561 | ) | 14,970 | (0.21 | ) | (0.90 | ) | 0.69 | ||||||||||||||
Nine Months Ended | ||||||||||||||||||||||||
September 30, 2017 | $ | 7,989 | $ | (61,578 | ) | $ | 69,567 | $ | 0.21 | $ | (1.59 | ) | $ | 1.80 | ||||||||||
September 30, 2016 | 22,397 | �� | (22,460 | ) | 44,857 | 0.99 | (0.99 | ) | 1.98 |
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 | ||||||||||||||||
September 30, 2017 | $ | (5,470 | ) | $ | (1,459 | ) | $ | (3,754 | ) | $ | (257 | ) | ||||
June 30, 2017 | (19,442 | ) | (2,384 | ) | (3,654 | ) | (13,404 | ) | ||||||||
March 31, 2017 | (4,419 | ) | - | (3,193 | ) | (1,226 | ) | |||||||||
December 31, 2016 | 23,207 | (133 | ) | (2,967 | ) | 26,307 | ||||||||||
September 30, 2016 | 6,587 | (474 | ) | (2,660 | ) | 9,721 | ||||||||||
June 30, 2016 | (11,591 | ) | (786 | ) | (2,210 | ) | (8,595 | ) | ||||||||
March 31, 2016 | (27,590 | ) | (1,125 | ) | (1,933 | ) | (24,532 | ) | ||||||||
Nine Months Ended | ||||||||||||||||
September 30, 2017 | $ | (29,331 | ) | $ | (3,843 | ) | $ | (10,601 | ) | $ | (14,887 | ) | ||||
September 30, 2016 | (32,594 | ) | (2,385 | ) | (6,803 | ) | (23,406 | ) |
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 | ||||||||||||||||||||||||
September 30, 2017 | $ | 38,974 | $ | 12,638 | $ | (3,754 | ) | $ | 16,392 | $ | 26,336 | $ | 22,582 | |||||||||||
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 | |||||||||||||||||
December 31, 2016 | 25,068 | 4,976 | (2,967 | ) | 7,943 | 20,092 | 17,125 | |||||||||||||||||
September 30, 2016 | 22,358 | 3,979 | (2,660 | ) | 6,639 | 18,379 | 15,719 | |||||||||||||||||
June 30, 2016 | 19,235 | 3,330 | (2,210 | ) | 5,540 | 15,905 | 13,695 | |||||||||||||||||
March 31, 2016 | 20,466 | 3,319 | (1,933 | ) | 5,252 | 17,147 | 15,214 | |||||||||||||||||
Nine Months Ended | ||||||||||||||||||||||||
September 30, 2017 | $ | 105,864 | $ | 28,116 | $ | (10,601 | ) | $ | 38,717 | $ | 77,748 | $ | 67,147 | |||||||||||
September 30, 2016 | 62,059 | 10,629 | (6,803 | ) | 17,431 | 51,430 | 44,628 |
($ 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 | ||||||||||||||||||||||||||||||||
September 30, 2017 | $ | 3,834,083 | $ | 38,974 | 4.07 | % | $ | 3,494,266 | $ | 12,638 | $ | 16,392 | 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 | % | |||||||||||||||||||||
December 31, 2016 | 2,761,836 | 25,068 | 3.63 | % | 2,545,901 | 4,974 | 7,943 | 0.78 | % | 1.25 | % | |||||||||||||||||||||
September 30, 2016 | 2,362,377 | 22,358 | 3.79 | % | 2,179,462 | 3,979 | 6,639 | 0.73 | % | 1.22 | % | |||||||||||||||||||||
June 30, 2016 | 2,100,151 | 19,235 | 3.66 | % | 2,000,158 | 3,330 | 5,540 | 0.67 | % | 1.11 | % | |||||||||||||||||||||
March 31, 2016 | 2,067,527 | 20,466 | 3.96 | % | 1,962,901 | 3,319 | 5,252 | 0.68 | % | 1.07 | % | |||||||||||||||||||||
Nine Months Ended | ||||||||||||||||||||||||||||||||
September 30, 2017 | $ | 3,492,033 | $ | 105,864 | 4.04 | % | $ | 3,193,652 | $ | 28,116 | $ | 38,717 | 1.17 | % | 1.62 | % | ||||||||||||||||
September 30, 2016 | 2,176,685 | 62,059 | 3.80 | % | 2,047,507 | 10,629 | 17,431 | 0.69 | % | 1.14 | % |
($ in thousands) | ||||||||||||||||
Net Interest Income | Net Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Basis | Basis(2) | Basis | Basis(4) | |||||||||||||
Three Months Ended | ||||||||||||||||
September 30, 2017 | $ | 26,336 | $ | 22,582 | 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 | % | ||||||||||
December 31, 2016 | 20,092 | 17,125 | 2.85 | % | 2.38 | % | ||||||||||
September 30, 2016 | 18,379 | 15,719 | 3.06 | % | 2.57 | % | ||||||||||
June 30, 2016 | 15,905 | 13,695 | 2.99 | % | 2.55 | % | ||||||||||
March 31, 2016 | 17,147 | 15,214 | 3.28 | % | 2.89 | % | ||||||||||
Nine Months Ended | ||||||||||||||||
September 30, 2017 | $ | 77,748 | $ | 67,147 | 2.87 | % | 2.42 | % | ||||||||
September 30, 2016 | 51,430 | 44,628 | 3.11 | % | 2.66 | % |
($ 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 | ||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||
December 31, 2016 | 2,628,967 | 132,869 | 2,761,836 | 23,647 | 1,421 | 25,068 | 3.60 | % | 4.28 | % | 3.63 | % | ||||||||||||||||||||||||
September 30, 2016 | 2,257,480 | 104,897 | 2,362,377 | 21,898 | 460 | 22,358 | 3.88 | % | 1.75 | % | 3.79 | % | ||||||||||||||||||||||||
June 30, 2016 | 2,006,392 | 93,759 | 2,100,151 | 19,072 | 163 | 19,235 | 3.80 | % | 0.70 | % | 3.66 | % | ||||||||||||||||||||||||
March 31, 2016 | 1,968,690 | 98,837 | 2,067,527 | 19,682 | 784 | 20,466 | 4.00 | % | 3.17 | % | 3.96 | % | ||||||||||||||||||||||||
Nine Months Ended | ||||||||||||||||||||||||||||||||||||
September 30, 2017 | $ | 3,342,504 | $ | 149,529 | $ | 3,492,033 | $ | 100,727 | $ | 5,137 | $ | 105,864 | 4.02 | % | 4.58 | % | 4.04 | % | ||||||||||||||||||
September 30, 2016 | 2,077,521 | 99,164 | 2,176,685 | 60,652 | 1,407 | 62,059 | 3.89 | % | 1.89 | % | 3.80 | % |
($ in thousands) | ||||||||||||||||||||
Average | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Balance of | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Borrowings | Basis | Basis | Basis | Basis | ||||||||||||||||
Three Months Ended | ||||||||||||||||||||
September 30, 2017 | $ | 3,494,266 | $ | 12,638 | $ | 16,392 | 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 | % | |||||||||||||
December 31, 2016 | 2,545,901 | 4,974 | 7,943 | 0.78 | % | 1.25 | % | |||||||||||||
September 30, 2016 | 2,179,462 | 3,979 | 6,639 | 0.73 | % | 1.22 | % | |||||||||||||
June 30, 2016 | 2,000,158 | 3,330 | 5,540 | 0.67 | % | 1.11 | % | |||||||||||||
March 31, 2016 | 1,962,901 | 3,319 | 5,252 | 0.68 | % | 1.07 | % | |||||||||||||
Nine Months Ended | ||||||||||||||||||||
September 30, 2017 | $ | 3,193,652 | $ | 28,116 | $ | 38,717 | 1.17 | % | 1.62 | % | ||||||||||
September 30, 2016 | 2,047,507 | 10,628 | 17,431 | 0.69 | % | 1.14 | % |
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 | ||||||||||||||||||||||||
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 | )% | ||||||||||||
December 31, 2016 | 0.62 | % | 1.28 | % | 0.16 | % | (0.50 | )% | 0.63 | % | (0.03 | )% | ||||||||||||
September 30, 2016 | 0.49 | % | 1.09 | % | 0.24 | % | (0.36 | )% | 0.73 | % | 0.13 | % | ||||||||||||
June 30, 2016 | 0.44 | % | 0.92 | % | 0.23 | % | (0.25 | )% | 0.67 | % | 0.19 | % | ||||||||||||
March 31, 2016 | 0.40 | % | 0.84 | % | 0.28 | % | (0.16 | )% | 0.67 | % | 0.23 | % | ||||||||||||
Nine Months Ended | ||||||||||||||||||||||||
September 30, 2017 | 1.03 | % | 1.42 | % | 0.14 | % | (0.25 | )% | 0.59 | % | 0.20 | % | ||||||||||||
September 30, 2016 | 0.44 | % | 0.95 | % | 0.25 | % | (0.26 | )% | 0.70 | % | 0.19 | % |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Realized gains on sales of RMBS | $ | 3,354 | $ | 4,482 | $ | (1,128 | ) | $ | 769 | $ | 229 | $ | 540 | |||||||||||
Unrealized (losses) gains on RMBS | (35,601 | ) | 5,652 | (41,253 | ) | (3,553 | ) | (2,398 | ) | (1,155 | ) | |||||||||||||
Total (losses) gains on RMBS | (32,247 | ) | 10,134 | (42,381 | ) | (2,784 | ) | (2,169 | ) | (615 | ) | |||||||||||||
Losses on interest rate futures | (23,145 | ) | (29,795 | ) | 6,650 | (5,843 | ) | 2,882 | (8,725 | ) | ||||||||||||||
Losses on interest rate swaps | (3,170 | ) | (450 | ) | (2,720 | ) | 1,005 | 4,179 | (3,174 | ) | ||||||||||||||
Gains on receiver swaptions | 827 | 36 | 791 | 827 | - | 827 | ||||||||||||||||||
Losses on TBA securities | (3,843 | ) | (2,385 | ) | (1,458 | ) | (1,459 | ) | (474 | ) | (985 | ) |
15 Year | 30 Year | Three | ||||||||||||||||||
5 Year | 10 Year | Fixed-Rate | Fixed-Rate | Month | ||||||||||||||||
Treasury Rate(1) | Treasury Rate(1) | Mortgage Rate(2) | Mortgage Rate(2) | LIBOR(3) | ||||||||||||||||
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 | % | ||||||||||
December 31, 2016 | 1.93 | % | 2.45 | % | 3.43 | % | 4.20 | % | 0.98 | % | ||||||||||
September 30, 2016 | 1.16 | % | 1.61 | % | 2.76 | % | 3.46 | % | 0.85 | % | ||||||||||
June 30, 2016 | 1.01 | % | 1.49 | % | 2.84 | % | 3.57 | % | 0.65 | % | ||||||||||
March 31, 2016 | 1.22 | % | 1.79 | % | 2.97 | % | 3.69 | % | 0.63 | % |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Management fees | $ | 4,230 | $ | 2,968 | $ | 1,262 | $ | 1,528 | $ | 1,052 | $ | 476 | ||||||||||||
Overhead allocation | 1,168 | 963 | 205 | 412 | 336 | 76 | ||||||||||||||||||
Accrued incentive compensation | 439 | 598 | (159 | ) | 209 | 212 | (3 | ) | ||||||||||||||||
Directors fees and liability insurance | 722 | 763 | (41 | ) | 215 | 236 | (21 | ) | ||||||||||||||||
Audit, legal and other professional fees | 547 | 654 | (107 | ) | 157 | 193 | (36 | ) | ||||||||||||||||
Direct REIT operating expenses | 816 | 426 | 390 | 320 | 187 | 133 | ||||||||||||||||||
Other administrative | 259 | 215 | 44 | 58 | 55 | 3 | ||||||||||||||||||
Total expenses | $ | 8,181 | $ | 6,587 | $ | 1,594 | $ | 2,899 | $ | 2,271 | $ | 628 |
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 millionand less than or equal to $500 million, and ● One-twelfth of 1.00% of the Company’s month end equity that is greater than $500 million. The Company is |
Structured | ||||||||||||
PT RMBS | RMBS | Total | ||||||||||
Three Months Ended | Portfolio (%) | Portfolio (%) | Portfolio (%) | |||||||||
September 30, 2017 | 8.3 | 14.9 | 10.3 | |||||||||
June 30, 2017 | 7.0 | 12.7 | 9.5 | |||||||||
March 31, 2017 | 7.5 | 14.3 | 9.9 | |||||||||
December 31, 2016 | 9.7 | 18.4 | 12.2 | |||||||||
September 30, 2016 | 8.9 | 17.9 | 11.7 | |||||||||
June 30, 2016 | 8.4 | 15.9 | 11.0 | |||||||||
March 31, 2016 | 5.5 | 12.4 | 8.2 |
($ 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 | |
September 30, 2017 | |||||||||
Adjustable Rate RMBS | $ | 1,783 | 0.0% | 3.90% | 209 | 1-Sep-35 | 7.85 | 10.05% | 2.00% |
Fixed Rate RMBS | 3,740,658 | 95.2% | 4.37% | 341 | 1-Sep-47 | NA | NA | NA | |
Hybrid Adjustable Rate RMBS | 42,201 | 1.1% | 2.55% | 304 | 1-Aug-43 | 64.07 | 7.55% | 2.00% | |
Total Mortgage-backed Pass-through | 3,784,642 | 96.3% | 4.35% | 341 | 1-Sep-47 | NA | NA | NA | |
Interest-Only Securities | 90,551 | 2.3% | 3.75% | 263 | 15-Apr-47 | NA | NA | NA | |
Inverse Interest-Only Securities | 55,147 | 1.4% | 4.43% | 330 | 15-Jul-47 | NA | 5.37% | NA | |
Total Structured RMBS | 145,698 | 3.7% | 4.00% | 288 | 15-Jul-47 | NA | NA | NA | |
Total Mortgage Assets | $ | 3,930,340 | 100.0% | 4.34% | 339 | 1-Sep-47 | NA | NA | NA |
December 31, 2016 | |||||||||
Adjustable Rate RMBS | $ | 2,062 | 0.1% | 3.50% | 219 | 1-Sep-35 | 5.67 | 10.05% | 2.00% |
Fixed Rate RMBS | 2,826,694 | 93.5% | 4.21% | 325 | 1-Dec-46 | NA | NA | NA | |
Hybrid Adjustable Rate RMBS | 45,459 | 1.5% | 2.55% | 313 | 1-Aug-43 | 73.08 | 7.55% | 2.00% | |
Total Mortgage-backed Pass-through | 2,874,215 | 95.1% | 4.19% | 324 | 1-Dec-46 | NA | NA | NA | |
Interest-Only Securities | 69,726 | 2.3% | 3.59% | 235 | 25-Apr-45 | NA | NA | NA | |
Inverse Interest-Only Securities | 78,233 | 2.6% | 5.40% | 338 | 25-Dec-46 | NA | 6.14% | NA | |
Total Structured RMBS | 147,959 | 4.9% | 4.55% | 290 | 25-Dec-46 | NA | NA | NA | |
Total Mortgage Assets | $ | 3,022,174 | 100.0% | 4.20% | 323 | 25-Dec-46 | NA | NA | NA |
($ in thousands) | ||||||||||||||||
September 30, 2017 | December 31, 2016 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Agency | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | ||||||||||||
Fannie Mae | $ | 2,580,973 | 65.7 | % | $ | 2,226,893 | 73.7 | % | ||||||||
Freddie Mac | 1,342,803 | 34.2 | % | 785,496 | 26.0 | % | ||||||||||
Ginnie Mae | 6,564 | 0.1 | % | 9,785 | 0.3 | % | ||||||||||
Total Portfolio | $ | 3,930,340 | 100.0 | % | $ | 3,022,174 | 100.0 | % |
September 30, 2017 | December 31, 2016 | |||||||
Weighted Average Pass-through Purchase Price | $ | 108.23 | $ | 108.64 | ||||
Weighted Average Structured Purchase Price | $ | 14.19 | $ | 15.39 | ||||
Weighted Average Pass-through Current Price | $ | 108.03 | $ | 107.14 | ||||
Weighted Average Structured Current Price | $ | 13.18 | $ | 15.49 | ||||
Effective Duration (1) | 2.603 | 4.579 |
($ in thousands) | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
Total Cost | Average Price | Weighted Average Yield | Total Cost | Average Price | Weighted Average Yield | |||||||||||||||||||
Pass-through RMBS | $ | 5,007,614 | $ | 108.16 | 2.75 | % | $ | 2,204,085 | $ | 109.70 | 2.24 | % | ||||||||||||
Structured RMBS | 72,331 | 14.46 | 6.21 | % | 52,897 | 18.03 | 5.46 | % |
($ in thousands) | ||||||||||||||||
Difference Between Ending | ||||||||||||||||
Ending | Average | Borrowings and | ||||||||||||||
Balance of | Balance of | Average Borrowings | ||||||||||||||
Three Months Ended | Borrowings | Borrowings | Amount | Percent | ||||||||||||
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 | % | |||||||||||
December 31, 2016 | 2,793,705 | �� | 2,545,901 | 247,804 | 9.73 | % | ||||||||||
September 30, 2016 | 2,298,097 | 2,179,462 | 118,635 | 5.44 | % | |||||||||||
June 30, 2016 | 2,060,827 | 2,000,158 | 60,669 | 3.03 | % | |||||||||||
March 31, 2016 | 1,939,489 | 1,962,901 | (23,412 | ) | (1.19 | )% |
(in thousands) | ||||||||||||||||||||
Obligations Maturing | ||||||||||||||||||||
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | ||||||||||||||||
Repurchase agreements | $ | 3,710,077 | $ | - | $ | - | $ | - | $ | 3,710,077 | ||||||||||
Interest expense on repurchase agreements(1) | 13,672 | - | - | - | 13,672 | |||||||||||||||
Totals | $ | 3,723,749 | $ | - | $ | - | $ | - | $ | 3,723,749 |
(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 - YTD(1) | 1.400 | 56,027 | ||||||
Totals | $ | 8.555 | $ | 163,468 |
Interest Rate Sensitivity(1) | ||||||||
Portfolio | ||||||||
Market | Book | |||||||
Change in Interest Rate | Value(2)(3) | Value(2)(4) | ||||||
As of September 30, 2017 | ||||||||
-100 Basis Points | (0.32 | )% | (3.06 | )% | ||||
-50 Basis Points | (0.11 | )% | (1.05 | )% | ||||
+50 Basis Points | (0.44 | )% | (4.20 | )% | ||||
+100 Basis Points | (1.53 | )% | (14.47 | )% | ||||
As of December 31, 2016 | ||||||||
-100 Basis Points | 0.55 | % | 4.96 | % | ||||
-50 Basis Points | 0.55 | % | 4.97 | % | ||||
+50 Basis Points | (0.95 | )% | (8.61 | )% | ||||
+100 Basis Points | (2.20 | )% | (19.98 | )% |
Shares Purchased | Maximum Number | |||||||||||||||
Total Number | Weighted-Average | as Part of Publicly | of Shares That May Yet | |||||||||||||
of Shares | Price Paid | Announced | Be Repurchased Under | |||||||||||||
Repurchased(1) | Per Share | Programs(2) | the Authorization(2) | |||||||||||||
July | - | $ | - | - | 783,757 | |||||||||||
August | - | - | - | 783,757 | ||||||||||||
September | 482 | 10.19 | - | 783,757 | ||||||||||||
Totals / Weighted Average | 482 | $ | 10.19 | - | 783,757 |