Maryland 27-3269228 (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
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) |
(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 | ) | - |
interest rate trends; |
● actions taken by the U.S. government, including the presidential administration,the Federal Reserve (the “Fed”), the Federal Housing Financing Agency (the “FHFA”), Federal Housing Administration (the “FHA”), the Federal OpenMarket Committee (the “FOMC”) and the U.S. Treasury; ● prepayment rates on mortgages underlying our Agency RMBS and credittrends insofar as they affect prepayment rates; and ● other market developments. |
our degree of leverage; |
(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 |
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 |
Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 0.790 53,570 2021 0.780 97,601 2022 - YTD (1) 0.200 35,484 Totals $ 12.635 $ 475,048 (1) On April 13, 2022, the Company declared a dividend of $0.045 per shareto be paid on May 27, 2022.The effect of this dividend is included in the table above, but is not reflected |
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 |