![]() 001-32171 Bimini Capital Management, Inc. (Exact name of registrant as specified in its charter) Maryland 72-1571637 | |||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Large accelerated filer ☐ Accelerated filer ☐ Non-accelerated filer ☐ (Do not check if a smaller reporting company) Smaller reporting company ☒ Emerging growth company ☐ | |||
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||
CONDENSED CONSOLIDATED BALANCE SHEETS | ||||||||
(Unaudited) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
ASSETS: | ||||||||
Mortgage-backed securities, at fair value | ||||||||
Pledged to counterparties | $ | 197,515,121 | $ | 129,582,386 | ||||
Unpledged | 475,282 | 719,603 | ||||||
Total mortgage-backed securities | 197,990,403 | 130,301,989 | ||||||
Cash and cash equivalents | 5,211,532 | 4,429,459 | ||||||
Restricted cash | 936,420 | 1,221,978 | ||||||
Orchid Island Capital, Inc. common stock, at fair value | 15,489,167 | 15,108,240 | ||||||
Retained interests in securitizations | 557,659 | 1,113,736 | ||||||
Accrued interest receivable | 711,030 | 512,760 | ||||||
Property and equipment, net | 3,378,516 | 3,407,040 | ||||||
Deferred tax assets, net | 62,632,660 | 63,833,063 | ||||||
Other assets | 2,921,694 | 2,942,139 | ||||||
Total Assets | $ | 289,829,081 | $ | 222,870,404 | ||||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||
LIABILITIES: | ||||||||
Repurchase agreements | $ | 187,373,780 | $ | 121,827,586 | ||||
Junior subordinated notes due to Bimini Capital Trust II | 26,804,440 | 26,804,440 | ||||||
Accrued interest payable | 247,596 | 114,199 | ||||||
Other liabilities | 1,298,472 | 1,977,281 | ||||||
Total Liabilities | 215,724,288 | 150,723,506 | ||||||
COMMITMENTS AND CONTINGENCIES | ||||||||
STOCKHOLDERS' EQUITY: | ||||||||
Preferred stock, $0.001 par value; 10,000,000 shares authorized; 100,000 shares | ||||||||
designated Series A Junior Preferred Stock, 9,900,000 shares undesignated; | ||||||||
no shares issued and outstanding as of September 30, 2017 and December 31, 2016 | - | - | ||||||
Class A Common stock, $0.001 par value; 98,000,000 shares designated: 12,631,627 | ||||||||
shares issued and outstanding as of September 30, 2017 and December 31, 2016 | 12,632 | 12,632 | ||||||
Class B Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares | ||||||||
issued and outstanding as of September 30, 2017 and December 31, 2016 | 32 | 32 | ||||||
Class C Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares | ||||||||
issued and outstanding as of September 30, 2017 and December 31, 2016 | 32 | 32 | ||||||
Additional paid-in capital | 334,872,353 | 334,850,838 | ||||||
Accumulated deficit | (260,780,256 | ) | (262,716,636 | ) | ||||
Stockholders' Equity | 74,104,793 | 72,146,898 | ||||||
Total Liabilities and Stockholders' Equity | $ | 289,829,081 | $ | 222,870,404 | ||||
See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Nine and Three Months Ended September 30, 2017 and 2016 | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest income | $ | 4,075,160 | $ | 2,950,323 | $ | 1,513,511 | $ | 1,107,783 | ||||||||
Interest expense | (1,110,387 | ) | (496,512 | ) | (503,632 | ) | (194,539 | ) | ||||||||
Net interest income, before interest on junior subordinated notes | 2,964,773 | 2,453,811 | 1,009,879 | 913,244 | ||||||||||||
Interest expense on junior subordinated notes | (914,055 | ) | (818,169 | ) | (316,176 | ) | (278,196 | ) | ||||||||
Net interest income | 2,050,718 | 1,635,642 | 693,703 | 635,048 | ||||||||||||
Unrealized (losses) gains on mortgage-backed securities | (296,002 | ) | (312,987 | ) | 168,034 | (273,830 | ) | |||||||||
Realized (losses) gains on mortgage-backed securities | (689 | ) | 179,667 | - | (71,306 | ) | ||||||||||
(Losses) gains on derivative instruments, net | (828,825 | ) | (1,549,638 | ) | (18,813 | ) | 507,838 | |||||||||
Net portfolio income (loss) | 925,202 | (47,316 | ) | 842,924 | 797,750 | |||||||||||
Other income: | ||||||||||||||||
Advisory services | 5,398,019 | 3,930,533 | 1,939,974 | 1,387,997 | ||||||||||||
Gains on retained interests in securitizations | 389,568 | 2,100,367 | 85,451 | 1,020,500 | ||||||||||||
Unrealized (losses) gains on Orchid Island Capital, Inc. common stock | (823,308 | ) | 683,568 | 501,612 | 181,355 | |||||||||||
Orchid Island Capital, Inc. dividends | 1,880,245 | 1,757,745 | 638,415 | 585,915 | ||||||||||||
Other income | 1,223 | 892 | 366 | 432 | ||||||||||||
Total other income | 6,845,747 | 8,473,105 | 3,165,818 | 3,176,199 | ||||||||||||
Expenses: | ||||||||||||||||
Compensation and related benefits | 2,683,872 | 2,273,714 | 868,924 | 722,697 | ||||||||||||
Directors' fees and liability insurance | 498,140 | 466,573 | 165,040 | 155,498 | ||||||||||||
Audit, legal and other professional fees | 346,999 | 452,695 | 120,419 | 157,545 | ||||||||||||
Administrative and other expenses | 1,022,377 | 887,982 | 364,058 | 321,428 | ||||||||||||
Total expenses | 4,551,388 | 4,080,964 | 1,518,441 | 1,357,168 | ||||||||||||
Net income before income tax provision | 3,219,561 | 4,344,825 | 2,490,301 | 2,616,781 | ||||||||||||
Income tax provision | 1,283,181 | 2,117,899 | 989,081 | 1,437,544 | ||||||||||||
Net income | $ | 1,936,380 | $ | 2,226,926 | $ | 1,501,220 | $ | 1,179,237 | ||||||||
Basic and Diluted Net Income Per Share of: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 | ||||||||
CLASS B COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 | ||||||||
Weighted Average Shares Outstanding: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | 12,701,627 | 12,694,762 | 12,701,627 | 12,708,464 | ||||||||||||
CLASS B COMMON STOCK | ||||||||||||||||
Basic and Diluted | 31,938 | 31,938 | 31,938 | 31,938 | ||||||||||||
See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||||||||||
CONDENSED CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY | ||||||||||||||||
(Unaudited) | ||||||||||||||||
For the Nine Months Ended September 30, 2017 | ||||||||||||||||
Stockholders' Equity | ||||||||||||||||
Common | Additional | Accumulated | ||||||||||||||
Stock | Paid-in Capital | Deficit | Total | |||||||||||||
Balances, January 1, 2017 | $ | 12,696 | $ | 334,850,838 | $ | (262,716,636 | ) | $ | 72,146,898 | |||||||
Net income | - | - | 1,936,380 | 1,936,380 | ||||||||||||
Amortization of stock based compensation | - | 21,515 | - | 21,515 | ||||||||||||
Balances, September 30, 2017 | $ | 12,696 | $ | 334,872,353 | $ | (260,780,256 | ) | $ | 74,104,793 | |||||||
See Notes to Condensed Consolidated Financial Statements |
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(Unaudited) | ||||||||
For the Nine Months Ended September 30, 2017 and 2016 | ||||||||
2017 | 2016 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net income | $ | 1,936,380 | $ | 2,226,926 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Stock based compensation | 21,515 | 217,206 | ||||||
Depreciation | 57,903 | 64,780 | ||||||
Deferred income tax provision | 1,200,403 | 1,891,268 | ||||||
Losses on mortgage-backed securities, net | 296,691 | 133,320 | ||||||
Gains on retained interests in securitizations | (389,568 | ) | (2,100,367 | ) | ||||
Unrealized losses (gains) on Orchid Island Capital, Inc. common stock | 823,308 | (683,568 | ) | |||||
Changes in operating assets and liabilities: | ||||||||
Accrued interest receivable | (198,270 | ) | (136,360 | ) | ||||
Other assets | 20,445 | (226,813 | ) | |||||
Accrued interest payable | 133,397 | 12,000 | ||||||
Other liabilities | (678,809 | ) | (879,328 | ) | ||||
NET CASH PROVIDED BY OPERATING ACTIVITIES | 3,223,395 | 519,064 | ||||||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||||||||
From mortgage-backed securities investments: | ||||||||
Purchases | (77,294,851 | ) | (133,099,987 | ) | ||||
Sales | 1,654,834 | 73,061,443 | ||||||
Principal repayments | 7,654,912 | 10,291,945 | ||||||
Payments received on retained interests in securitizations | 945,645 | 1,758,303 | ||||||
Purchases of property and equipment | (29,379 | ) | - | |||||
Purchases of Orchid Island Capital, Inc. common stock | (1,204,235 | ) | (1,859,277 | ) | ||||
NET CASH USED IN INVESTING ACTIVITIES | (68,273,074 | ) | (49,847,573 | ) | ||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||
Proceeds from repurchase agreements | 762,398,624 | 712,324,734 | ||||||
Principal repayments on repurchase agreements | (696,852,430 | ) | (663,567,951 | ) | ||||
NET CASH PROVIDED BY FINANCING ACTIVITIES | 65,546,194 | 48,756,783 | ||||||
NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 496,515 | (571,726 | ) | |||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 5,651,437 | 6,712,483 | ||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | $ | 6,147,952 | $ | 6,140,757 | ||||
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION: | ||||||||
Cash paid during the period for: | ||||||||
Interest | $ | 1,891,045 | $ | 1,302,681 | ||||
Income taxes | $ | 261,492 | $ | 515,689 | ||||
See Notes to Condensed Consolidated Financial Statements |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Cash and cash equivalents | $ | 5,211,532 | $ | 4,429,459 | ||||
Restricted cash | 936,420 | 1,221,978 | ||||||
Total cash, cash equivalents and restricted cash | $ | 6,147,952 | $ | 5,651,437 |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Pass-Through MBS: | ||||||||
Fixed-rate Mortgages | $ | 195,151 | $ | 124,299 | ||||
Total Pass-Through MBS | 195,151 | 124,299 | ||||||
Structured MBS: | ||||||||
Interest-Only Securities | 1,643 | 2,654 | ||||||
Inverse Interest-Only Securities | 1,196 | 3,349 | ||||||
Total Structured MBS | 2,839 | 6,003 | ||||||
Total | $ | 197,990 | $ | 130,302 |
(in thousands) | ||||||||
September 30, 2017 | December 31, 2016 | |||||||
Greater than or equal to ten years | $ | 197,990 | $ | 130,302 | ||||
Total | $ | 197,990 | $ | 130,302 |
(in thousands) | |||||||||
Series | Issue Date | September 30, 2017 | December 31, 2016 | ||||||
HMAC 2004-2 | May 10, 2004 | $ | 20 | $ | 143 | ||||
HMAC 2004-3 | June 30, 2004 | 148 | 364 | ||||||
HMAC 2004-4 | August 16, 2004 | 290 | 463 | ||||||
HMAC 2004-5 | September 28, 2004 | 100 | 144 | ||||||
Total | $ | 558 | $ | 1,114 |
($ 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 value of securities pledged, including accrued | ||||||||||||||||||||
interest receivable | $ | - | $ | 75,619 | $ | 122,589 | $ | - | $ | 198,208 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 71,261 | $ | 116,113 | $ | - | $ | 187,374 | ||||||||||
Net weighted average borrowing rate | - | 1.35 | % | 1.34 | % | - | 1.35 | % | ||||||||||||
December 31, 2016 | ||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||
interest receivable | $ | - | $ | 71,565 | $ | 41,334 | $ | 17,172 | $ | 130,071 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 66,919 | $ | 38,733 | $ | 16,176 | $ | 121,828 | ||||||||||
Net weighted average borrowing rate | - | 1.01 | % | 0.96 | % | 0.98 | % | 0.99 | % |
($ in thousands) | ||||||||||||||||
As of September 30, 2017 | ||||||||||||||||
Repurchase Agreement Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 60,000 | 1.58 | % | 1.48 | % | $ | (14 | ) | |||||||
2018 | 60,000 | 1.90 | % | 1.73 | % | (100 | ) | |||||||||
2019 | 60,000 | 2.32 | % | 1.98 | % | (207 | ) | |||||||||
2020 | 60,000 | 2.60 | % | 2.14 | % | (278 | ) | |||||||||
2021 | 60,000 | 2.80 | % | 2.29 | % | (306 | ) | |||||||||
Total / Weighted Average | $ | 60,000 | 2.36 | % | 2.00 | % | $ | (905 | ) |
($ in thousands) | ||||||||||||||||
As of September 30, 2017 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 26,000 | 2.15 | % | 1.48 | % | $ | (43 | ) | |||||||
2018 | 26,000 | 1.84 | % | 1.73 | % | $ | (28 | ) | ||||||||
2019 | 26,000 | 1.63 | % | 1.98 | % | $ | 90 | |||||||||
2020 | 26,000 | 1.95 | % | 2.14 | % | $ | 50 | |||||||||
2021 | 26,000 | 2.22 | % | 2.29 | % | $ | 18 | |||||||||
Total / Weighted Average | $ | 26,000 | 1.92 | % | 2.00 | % | $ | 87 |
($ in thousands) | ||||||||||||||||
As of December 31, 2016 | ||||||||||||||||
Repurchase Agreement Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 60,000 | 1.32 | % | 1.28 | % | $ | (26 | ) | |||||||
2018 | 60,000 | 1.90 | % | 1.82 | % | $ | (49 | ) | ||||||||
2019 | 60,000 | 2.32 | % | 2.21 | % | $ | (69 | ) | ||||||||
2020 | 60,000 | 2.60 | % | 2.45 | % | $ | (88 | ) | ||||||||
2021 | 60,000 | 2.80 | % | 2.64 | % | $ | (93 | ) | ||||||||
Total / Weighted Average | $ | 60,000 | 2.19 | % | 2.08 | % | $ | (325 | ) |
($ in thousands) | ||||||||||||||||
As of December 31, 2016 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2017 | $ | 26,000 | 1.93 | % | 1.28 | % | $ | (169 | ) | |||||||
2018 | 26,000 | 1.84 | % | 1.82 | % | $ | (6 | ) | ||||||||
2019 | 26,000 | 1.63 | % | 2.21 | % | $ | 150 | |||||||||
2020 | 26,000 | 1.95 | % | 2.45 | % | $ | 132 | |||||||||
2021 | 26,000 | 2.22 | % | 2.64 | % | $ | 110 | |||||||||
Total / Weighted Average | $ | 26,000 | 1.91 | % | 2.08 | % | $ | 217 |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Eurodollar futures contracts (short positions) | $ | (829 | ) | $ | (1,550 | ) | $ | (19 | ) | $ | 508 | |||||
(Losses) gains on derivative instruments | $ | (829 | ) | $ | (1,550 | ) | $ | (19 | ) | $ | 508 |
($ in thousands) | ||||||||||||
As of September 30, 2017 | ||||||||||||
Repurchase | Derivative | |||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | |||||||||
PT MBS - at fair value | $ | 195,151 | $ | - | $ | 195,151 | ||||||
Structured MBS - at fair value | 2,364 | - | 2,364 | |||||||||
Accrued interest on pledged securities | 693 | - | 693 | |||||||||
Cash | 391 | 545 | 936 | |||||||||
Total | $ | 198,599 | $ | 545 | $ | 199,144 |
($ in thousands) | ||||||||||||
As of December 31, 2016 | ||||||||||||
Repurchase | Derivative | |||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | |||||||||
PT MBS - at fair value | $ | 124,298 | $ | - | $ | 124,298 | ||||||
Structured MBS - at fair value | 5,284 | - | 5,284 | |||||||||
Accrued interest on pledged securities | 489 | - | 489 | |||||||||
Cash | 456 | 766 | 1,222 | |||||||||
Total | $ | 130,527 | $ | 766 | $ | 131,293 |
($ in thousands) | ||||||||
Assets Pledged to Bimini | September 30, 2017 | December 31, 2016 | ||||||
Cash | $ | 8 | $ | - | ||||
Total | $ | 8 | $ | - |
(in thousands) | ||||||||||||||||||||||||
Offsetting of Liabilities | ||||||||||||||||||||||||
Gross Amount Not Offset in the | ||||||||||||||||||||||||
Net Amount | Consolidated Balance Sheet | |||||||||||||||||||||||
Gross Amount | of Liabilities | Financial | ||||||||||||||||||||||
Gross Amount | Offset in the | Presented in the | Instruments | Cash | ||||||||||||||||||||
of Recognized | Consolidated | Consolidated | Posted as | Posted as | Net | |||||||||||||||||||
Liabilities | Balance Sheet | Balance Sheet | Collateral | Collateral | Amount | |||||||||||||||||||
September 30, 2017 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 187,374 | $ | - | $ | 187,374 | $ | (186,983 | ) | $ | (391 | ) | $ | - | ||||||||||
December 31, 2016 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 121,828 | $ | - | $ | 121,828 | $ | (121,372 | ) | $ | (456 | ) | $ | - |
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
Shares Issued Related To: | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Vested incentive plan shares | - | 258,333 | - | - | ||||||||||||
Total shares of Class A Common Stock issued | - | 258,333 | - | - |
($ in thousands, except per share data) | ||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||
2017 | 2016 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Grant Date | Grant Date | |||||||||||||||
Fair Value | Fair Value | |||||||||||||||
Shares | Per Share | Shares | Per Share | |||||||||||||
Unvested, beginning of period | 70,000 | $ | 1.23 | 77,500 | $ | 1.22 | ||||||||||
Granted | - | - | - | - | ||||||||||||
Forfeited | - | - | (1,000 | ) | 0.84 | |||||||||||
Vested and issued | - | - | - | - | ||||||||||||
Unvested, end of period | 70,000 | $ | 1.23 | 76,500 | $ | 1.23 | ||||||||||
Compensation expense during the period | $ | 22 | $ | 23 | ||||||||||||
Unrecognized compensation expense at period end | $ | 17 | $ | 50 | ||||||||||||
Weighted-average remaining vesting term (in years) | 0.8 | 1.8 | ||||||||||||||
Intrinsic value of unvested shares at period end | $ | 195 | $ | 191 |
(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 Class A common share: | ||||||||||||||||
Income attributable to Class A common shares: | ||||||||||||||||
Basic and diluted | $ | 1,931 | $ | 2,221 | $ | 1,497 | $ | 1,176 | ||||||||
Weighted average common shares: | ||||||||||||||||
Class A common shares outstanding at the balance sheet date | 12,632 | 12,632 | 12,632 | 12,632 | ||||||||||||
Unvested dividend-eligible stock incentive plan shares | ||||||||||||||||
outstanding at the balance sheet date | 70 | 77 | 70 | 77 | ||||||||||||
Effect of weighting | - | (14 | ) | - | (1 | ) | ||||||||||
Weighted average shares-basic and diluted | 12,702 | 12,695 | 12,702 | 12,708 | ||||||||||||
Income per Class A common share: | ||||||||||||||||
Basic and diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 |
(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 Class B common share: | ||||||||||||||||
Income attributable to Class B common shares: | ||||||||||||||||
Basic and diluted | $ | 5 | $ | 6 | $ | 4 | $ | 3 | ||||||||
Weighted average common shares: | ||||||||||||||||
Class B common shares outstanding at the balance sheet date | 32 | 32 | 32 | 32 | ||||||||||||
Weighted average shares-basic and diluted | 32 | 32 | 32 | 32 | ||||||||||||
Income per Class B common share: | ||||||||||||||||
Basic and diluted | $ | 0.15 | $ | 0.17 | $ | 0.12 | $ | 0.09 |
(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 | $ | 197,990 | $ | - | $ | 197,990 | $ | - | ||||||||
Orchid Island Capital, Inc. common stock | 15,489 | 15,489 | - | - | ||||||||||||
Retained interests in securitizations | 558 | - | - | 558 | ||||||||||||
December 31, 2016 | ||||||||||||||||
Mortgage-backed securities | $ | 130,302 | $ | - | $ | 130,302 | $ | - | ||||||||
Orchid Island Capital, Inc. common stock | 15,108 | 15,108 | - | - | ||||||||||||
Retained interests in securitizations | 1,114 | - | - | 1,114 |
(in thousands) | ||||||||
Retained Interests in Secuitizations | ||||||||
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Balances, January 1 | $ | 1,114 | $ | 1,124 | ||||
Gain included in earnings | 390 | 2,100 | ||||||
Collections | (946 | ) | (1,758 | ) | ||||
Balances, September 30 | $ | 558 | $ | 1,466 |
Retained interests in securitzations, at fair value (in thousands) | $ | 558 | ||||||||||
CPR Range | ||||||||||||
Prepayment Assumption | (Weighted Average) | |||||||||||
Constant Prepayment Rate | 10% (10 | %) | ||||||||||
Severity | ||||||||||||
Default Assumptions | Probability of Default | (Weighted Average) | Range Of Loss Timing | |||||||||
Real Estate Owned | 100 | % | 25.5 | % | Next 10 Months | |||||||
Loans in Foreclosure | 100 | % | 25.5 | % | Month 4 - 13 | |||||||
Loans 90 Day Delinquent | 100 | % | 45 | % | Month 11-28 | |||||||
Loans 60 Day Delinquent | 85 | % | 45 | % | Month 11-28 | |||||||
Loans 30 Day Delinquent | 75 | % | 45 | % | Month 11-28 | |||||||
Current Loans | 3.1 | % | 45 | % | Month 29 and Beyond | |||||||
Remaining Life Range | Discount Rate Range | |||||||||||
Cash Flow Recognition | Valuation Technique | (Weighted Average) | (Weighted Average) | |||||||||
Nominal Cash Flows | Discounted Cash Flow | 12.2 - 15.3 | (13.2) | 27.50% (27.50 | %) | |||||||
Discounted Cash Flows | Discounted Cash Flow | 1.3 - 14.2 | (3.8) | 27.50% (27.50 | %) |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Management fee | $ | 4,230 | $ | 2,968 | $ | 1,528 | $ | 1,052 | ||||||||
Allocated overhead | 1,168 | 963 | 412 | 336 | ||||||||||||
Total | $ | 5,398 | $ | 3,931 | $ | 1,940 | $ | 1,388 |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Net portfolio interest | $ | 2,965 | $ | 2,454 | $ | 511 | $ | 1,010 | $ | 913 | $ | 97 | ||||||||||||
Interest expense on junior subordinated notes | (914 | ) | (818 | ) | (96 | ) | (316 | ) | (278 | ) | (38 | ) | ||||||||||||
(Losses) gains on MBS and derivative instruments | (1,126 | ) | (1,683 | ) | 557 | 149 | 163 | (14 | ) | |||||||||||||||
Net portfolio income (loss) | 925 | (47 | ) | 972 | 843 | 798 | 45 | |||||||||||||||||
Other income | 6,846 | 8,473 | (1,627 | ) | 3,166 | 3,176 | (10 | ) | ||||||||||||||||
Expenses, including income taxes | (5,835 | ) | (6,199 | ) | 364 | (2,508 | ) | (2,795 | ) | 287 | ||||||||||||||
Net income | $ | 1,936 | $ | 2,227 | $ | (291 | ) | $ | 1,501 | $ | 1,179 | $ | 322 |
Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Three Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (13 | ) | $ | (6 | ) | $ | (19 | ) | |||
June 30, 2017 | (581 | ) | (251 | ) | (832 | ) | ||||||
March 31, 2017 | 15 | 7 | 22 | |||||||||
December 31, 2016 | 496 | 1,037 | 1,533 | |||||||||
September 30, 2016 | 326 | 182 | 508 | |||||||||
June 30, 2016 | (353 | ) | (404 | ) | (757 | ) | ||||||
March 31, 2016 | (787 | ) | (513 | ) | (1,300 | ) | ||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Nine Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (579 | ) | $ | (250 | ) | $ | (829 | ) | |||
September 30, 2016 | (814 | ) | (735 | ) | (1,549 | ) |
Losses on Derivative Instruments - Attributed to Current Period (Non-GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Three Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (162 | ) | $ | (40 | ) | $ | (202 | ) | |||
June 30, 2017 | (152 | ) | (37 | ) | (189 | ) | ||||||
March 31, 2017 | (116 | ) | (60 | ) | (176 | ) | ||||||
December 31, 2016 | (122 | ) | (57 | ) | (179 | ) | ||||||
September 30, 2016 | (92 | ) | (55 | ) | (147 | ) | ||||||
June 30, 2016 | (60 | ) | (77 | ) | (137 | ) | ||||||
March 31, 2016 | (45 | ) | (80 | ) | (125 | ) | ||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Nine Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (430 | ) | $ | (137 | ) | $ | (567 | ) | |||
September 30, 2016 | (197 | ) | (212 | ) | (409 | ) |
Gains (Losses) on Derivative Instruments - Attributed to Future Periods (Non-GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Three Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | 149 | $ | 34 | $ | 183 | ||||||
June 30, 2017 | (429 | ) | (214 | ) | (643 | ) | ||||||
March 31, 2017 | 131 | 67 | 198 | |||||||||
December 31, 2016 | 618 | 1,094 | 1,712 | |||||||||
September 30, 2016 | 418 | 237 | 655 | |||||||||
June 30, 2016 | (293 | ) | (327 | ) | (620 | ) | ||||||
March 31, 2016 | (742 | ) | (433 | ) | (1,175 | ) | ||||||
(in thousands) | ||||||||||||
Junior | ||||||||||||
Repurchase | Subordinated | |||||||||||
Nine Months Ended | Agreements | Debt | Total | |||||||||
September 30, 2017 | $ | (149 | ) | $ | (113 | ) | $ | (262 | ) | |||
September 30, 2016 | (617 | ) | (523 | ) | (1,140 | ) |
Economic Net Portfolio Interest Income | ||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Interest Expense on Repurchase Agreements | Net Portfolio | |||||||||||||||||||||||
Effect of | Interest Income | |||||||||||||||||||||||
Interest | GAAP | Non-GAAP | Economic | GAAP | Economic | |||||||||||||||||||
Three Months Ended | Income | Basis | Hedges(1) | Basis(2) | Basis | Basis(3) | ||||||||||||||||||
September 30, 2017 | $ | 1,514 | $ | 504 | $ | (162 | ) | $ | 666 | $ | 1,010 | $ | 848 | |||||||||||
June 30, 2017 | 1,269 | 324 | (152 | ) | 476 | 945 | 793 | |||||||||||||||||
March 31, 2017 | 1,293 | 283 | (116 | ) | 399 | 1,010 | 894 | |||||||||||||||||
December 31, 2016 | 1,285 | 251 | (122 | ) | 373 | 1,034 | 912 | |||||||||||||||||
September 30, 2016 | 1,108 | 195 | (92 | ) | 287 | 913 | 821 | |||||||||||||||||
June 30, 2016 | 1,025 | 174 | (60 | ) | 234 | 851 | 791 | |||||||||||||||||
March 31, 2016 | 817 | 127 | (45 | ) | 172 | 690 | 645 | |||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Interest Expense on Repurchase Agreements | Net Portfolio | |||||||||||||||||||||||
Effect of | Interest Income | |||||||||||||||||||||||
Interest | GAAP | Non-GAAP | Economic | GAAP | Economic | |||||||||||||||||||
Nine Months Ended | Income | Basis | Hedges(1) | Basis(2) | Basis | Basis(3) | ||||||||||||||||||
September 30, 2017 | $ | 4,076 | $ | 1,111 | $ | (430 | ) | $ | 1,541 | $ | 2,965 | $ | 2,535 | |||||||||||
September 30, 2016 | 2,950 | 496 | (197 | ) | 693 | 2,454 | 2,257 |
- 26 - Economic Net Portfolio Interest Income (in thousands) Interest Expense on Repurchase Agreements Net Portfolio Effect of Interest Income Interest GAAP Non-GAAP Economic GAAP Economic Three Months Ended Income Basis Hedges (1) Basis (2) Basis Basis (3) September 30, 2022 $ 445 $ 210 $ (184) $ 394 $ 235 $ 51 June 30, 2022 392 73 (186) 259 319 133 March 31, 2022 491 31 (185) 216 460 275 December 31, 2021 511 21 (707) 728 490 (217) September 30, 2021 537 24 (709) 733 513 (196) June 30, 2021 578 31 (708) 739 547 (161) March 31, 2021 611 40 (708) 748 571 (137) Nine Months Ended September 30, 2022 $ 1,328 $ 314 $ (555) $ 869 $ 1,014 $ 459 September 30, 2021 1,726 95 (2,125) 2,220 1,631 (494) (1) Reflects the effect of derivative instrument hedges for only the periodpresented. (2) Calculated by subtracting the effect of derivative instrument hedgesattributed to the period presented from GAAP interest expense. (3) Calculated by adding the effect of derivative instrument hedges attributedto the period presented to GAAP |
Economic Net Interest Income | ||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Junior Subordinated Notes | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Three Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
September 30, 2017 | $ | 1,010 | $ | 847 | $ | 316 | $ | (40 | ) | $ | 356 | $ | 694 | $ | 491 | |||||||||||||
June 30, 2017 | 945 | 793 | 306 | (37 | ) | 343 | 639 | 450 | ||||||||||||||||||||
March 31, 2017 | 1,010 | 894 | 292 | (60 | ) | 352 | 718 | 542 | ||||||||||||||||||||
December 31, 2016 | 1,034 | 912 | 291 | (57 | ) | 348 | 743 | 564 | ||||||||||||||||||||
September 30, 2016 | 913 | 821 | 278 | (55 | ) | 333 | 635 | 488 | ||||||||||||||||||||
June 30, 2016 | 851 | 791 | 276 | (77 | ) | 353 | 575 | 438 | ||||||||||||||||||||
March 31, 2016 | 690 | 645 | 264 | (80 | ) | 344 | 426 | 301 | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Junior Subordinated Notes | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Nine Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
September 30, 2017 | $ | 2,965 | $ | 2,534 | $ | 914 | $ | (137 | ) | $ | 1,051 | $ | 2,051 | $ | 1,483 | |||||||||||||
September 30, 2016 | 2,454 | 2,257 | 818 | (212 | ) | 1,030 | 1,636 | 1,227 |
($ in thousands) | ||||||||||||||||||||||||||||||||
Average | Yield on | Average | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||
MBS | Interest | Average | Repurchase | GAAP | Economic | GAAP | Economic | |||||||||||||||||||||||||
Three Months Ended | Held(1) | Income(2) | MBS | Agreements(1) | Basis | Basis(2) | Basis | Basis(3) | ||||||||||||||||||||||||
September 30, 2017 | $ | 170,237 | $ | 1,514 | 3.56 | % | $ | 161,003 | $ | 504 | $ | 666 | 1.25 | % | 1.66 | % | ||||||||||||||||
June 30, 2017 | 134,188 | 1,269 | 3.78 | % | 126,341 | 324 | 476 | 1.02 | % | 1.51 | % | |||||||||||||||||||||
March 31, 2017 | 128,098 | 1,293 | 4.04 | % | 119,938 | 283 | 399 | 0.94 | % | 1.33 | % | |||||||||||||||||||||
December 31, 2016 | 131,952 | 1,285 | 3.89 | % | 123,909 | 251 | 373 | 0.81 | % | 1.20 | % | |||||||||||||||||||||
September 30, 2016 | 122,220 | 1,108 | 3.63 | % | 114,858 | 195 | 287 | 0.68 | % | 1.00 | % | |||||||||||||||||||||
June 30, 2016 | 110,017 | 1,025 | 3.73 | % | 103,259 | 174 | 234 | 0.67 | % | 0.91 | % | |||||||||||||||||||||
March 31, 2016 | 96,592 | 817 | 3.39 | % | 90,014 | 127 | 172 | 0.57 | % | 0.77 | % | |||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||
Average | Yield on | Average | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||
MBS | Interest | Average | Repurchase | GAAP | Economic | GAAP | Economic | |||||||||||||||||||||||||
Nine Months Ended | Held(1) | Income(2) | MBS | Agreements(1) | Basis | Basis(2) | Basis | Basis(3) | ||||||||||||||||||||||||
September 30, 2017 | $ | 144,174 | $ | 4,076 | 3.77 | % | $ | 135,761 | $ | 1,111 | $ | 1,541 | 1.09 | % | 1.51 | % | ||||||||||||||||
September 30, 2016 | 109,610 | 2,950 | 3.59 | % | 102,710 | 496 | 693 | 0.64 | % | 0.90 | % |
($ in thousands) | ||||||||||||||||
Net Portfolio | Net Portfolio | |||||||||||||||
Interest Income | Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Three Months Ended | Basis | Basis(2) | Basis | Basis(4) | ||||||||||||
September 30, 2017 | $ | 1,010 | $ | 847 | 2.31 | % | 1.90 | % | ||||||||
June 30, 2017 | 945 | 793 | 2.76 | % | 2.27 | % | ||||||||||
March 31, 2017 | 1,010 | 894 | 3.10 | % | 2.71 | % | ||||||||||
December 31, 2016 | 1,034 | 912 | 3.08 | % | 2.69 | % | ||||||||||
September 30, 2016 | 913 | 821 | 2.95 | % | 2.63 | % | ||||||||||
June 30, 2016 | 851 | 791 | 3.06 | % | 2.82 | % | ||||||||||
March 31, 2016 | 690 | 645 | 2.82 | % | 2.62 | % | ||||||||||
($ in thousands) | ||||||||||||||||
Net Portfolio | Net Portfolio | |||||||||||||||
Interest Income | Interest Spread | |||||||||||||||
GAAP | Economic | GAAP | Economic | |||||||||||||
Nine Months Ended | Basis | Basis(2) | Basis | Basis(4) | ||||||||||||
September 30, 2017 | $ | 2,965 | $ | 2,534 | 2.68 | % | 2.26 | % | ||||||||
September 30, 2016 | 2,454 | 2,257 | 2.95 | % | 2.69 | % |
($ in thousands) | ||||||||||||||||||||||||||||||||||||
Average MBS Held | Interest Income | Realized Yield on Average MBS | ||||||||||||||||||||||||||||||||||
PT | Structured | PT | Structured | PT | Structured | |||||||||||||||||||||||||||||||
Three Months Ended | MBS | MBS | Total | MBS | MBS | Total | MBS | MBS | Total | |||||||||||||||||||||||||||
September 30, 2017 | $ | 167,081 | $ | 3,156 | $ | 170,237 | $ | 1,524 | $ | (10 | ) | $ | 1,514 | 3.65 | % | (1.28 | )% | 3.56 | % | |||||||||||||||||
June 30, 2017 | 130,519 | 3,669 | 134,188 | 1,220 | 49 | 1,269 | 3.74 | % | 5.33 | % | 3.78 | % | ||||||||||||||||||||||||
March 31, 2017 | 123,163 | 4,935 | 128,098 | 1,210 | 83 | 1,293 | 3.93 | % | 6.67 | % | 4.04 | % | ||||||||||||||||||||||||
December 31, 2016 | 127,627 | 4,325 | 131,952 | 1,238 | 47 | 1,285 | 3.88 | % | 4.32 | % | 3.89 | % | ||||||||||||||||||||||||
September 30, 2016 | 119,411 | 2,809 | 122,220 | 1,092 | 16 | 1,108 | 3.66 | % | 2.19 | % | 3.63 | % | ||||||||||||||||||||||||
June 30, 2016 | 106,653 | 3,364 | 110,017 | 1,008 | 17 | 1,025 | 3.78 | % | 2.05 | % | 3.73 | % | ||||||||||||||||||||||||
March 31, 2016 | 92,365 | 4,227 | 96,592 | 783 | 34 | 817 | 3.39 | % | 3.25 | % | 3.39 | % | ||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||
Average MBS Held | Interest Income | Realized Yield on Average MBS | ||||||||||||||||||||||||||||||||||
PT | Structured | PT | Structured | PT | Structured | |||||||||||||||||||||||||||||||
Nine Months Ended | MBS | MBS | Total | MBS | MBS | Total | MBS | MBS | Total | |||||||||||||||||||||||||||
September 30, 2017 | $ | 140,254 | $ | 3,920 | $ | 144,174 | $ | 3,954 | $ | 122 | $ | 4,076 | 3.76 | % | 4.12 | % | 3.77 | % | ||||||||||||||||||
September 30, 2016 | 106,143 | 3,467 | 109,610 | 2,883 | 67 | 2,950 | 3.62 | % | 2.58 | % | 3.59 | % |
($ in thousands) | ||||||||||||||||||||
Average | ||||||||||||||||||||
Balance of | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Repurchase | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Three Months Ended | Agreements | Basis | Basis | Basis | Basis | |||||||||||||||
September 30, 2017 | $ | 161,003 | $ | 504 | $ | 666 | 1.25 | % | 1.66 | % | ||||||||||
June 30, 2017 | 126,341 | 324 | 476 | 1.02 | % | 1.51 | % | |||||||||||||
March 31, 2017 | 119,938 | 283 | 399 | 0.94 | % | 1.33 | % | |||||||||||||
December 31, 2016 | 123,909 | 251 | 373 | 0.81 | % | 1.20 | % | |||||||||||||
September 30, 2016 | 114,858 | 195 | 287 | 0.68 | % | 1.00 | % | |||||||||||||
June 30, 2016 | 103,259 | 174 | 234 | 0.67 | % | 0.91 | % | |||||||||||||
March 31, 2016 | 90,014 | 127 | 172 | 0.57 | % | 0.77 | % | |||||||||||||
($ in thousands) | ||||||||||||||||||||
Average | ||||||||||||||||||||
Balance of | Interest Expense | Average Cost of Funds | ||||||||||||||||||
Repurchase | GAAP | Economic | GAAP | Economic | ||||||||||||||||
Nine Months Ended | Agreements | Basis | Basis | Basis | Basis | |||||||||||||||
September 30, 2017 | $ | 135,761 | $ | 1,111 | $ | 1,541 | 1.09 | % | 1.51 | % | ||||||||||
September 30, 2016 | 102,710 | 496 | 693 | 0.64 | % | 0.90 | % |
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 | ||||||||||||||||||||
Three Months Ended | One-Month | Six-Month | LIBOR | LIBOR | LIBOR | LIBOR | ||||||||||||||||||
September 30, 2017 | 1.20 | % | 1.45 | % | 0.05 | % | (0.20 | )% | 0.46 | % | 0.21 | % | ||||||||||||
June 30, 2017 | 1.05 | % | 1.43 | % | (0.03 | )% | (0.41 | )% | 0.46 | % | 0.08 | % | ||||||||||||
March 31, 2017 | 0.82 | % | 1.37 | % | 0.12 | % | (0.43 | )% | 0.51 | % | (0.04 | )% | ||||||||||||
December 31, 2016 | 0.62 | % | 1.28 | % | 0.19 | % | (0.47 | )% | 0.58 | % | (0.08 | )% | ||||||||||||
September 30, 2016 | 0.49 | % | 1.09 | % | 0.19 | % | (0.41 | )% | 0.51 | % | (0.09 | )% | ||||||||||||
June 30, 2016 | 0.44 | % | 0.92 | % | 0.23 | % | (0.25 | )% | 0.47 | % | (0.01 | )% | ||||||||||||
March 31, 2016 | 0.40 | % | 0.84 | % | 0.17 | % | (0.27 | )% | 0.37 | % | (0.07 | )% | ||||||||||||
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 | ||||||||||||||||||||
Nine Months Ended | One-Month | Six-Month | LIBOR | LIBOR | LIBOR | LIBOR | ||||||||||||||||||
September 30, 2017 | 1.03 | % | 1.42 | % | 0.06 | % | (0.33 | )% | 0.48 | % | 0.09 | % | ||||||||||||
September 30, 2016 | 0.44 | % | 0.95 | % | 0.20 | % | (0.31 | )% | 0.46 | % | (0.05 | )% |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Realized (losses) gains on sales of MBS | $ | (1 | ) | $ | 180 | $ | (181 | ) | $ | - | $ | (71 | ) | $ | 71 | |||||||||
Unrealized (losses) gains on MBS | (296 | ) | (313 | ) | 17 | 168 | (274 | ) | 442 | |||||||||||||||
Total (losses) gains on MBS | (297 | ) | (133 | ) | (164 | ) | 168 | (345 | ) | 513 | ||||||||||||||
(Losses) gains on derivative instruments | (829 | ) | (1,550 | ) | 721 | (19 | ) | 508 | (527 | ) | ||||||||||||||
Advisory services | 5,398 | 3,931 | 1,467 | 1,940 | 1,388 | 552 | ||||||||||||||||||
Gains on retained interests in securitizations | 390 | 2,100 | (1,710 | ) | 85 | 1,021 | (936 | ) | ||||||||||||||||
Unrealized (losses) gains on | ||||||||||||||||||||||||
Orchid Island Capital, Inc. common stock | (823 | ) | 684 | (1,507 | ) | 502 | 181 | 321 | ||||||||||||||||
Orchid Island Capital, Inc. dividends | 1,880 | 1,758 | 122 | 638 | 586 | 52 | ||||||||||||||||||
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 | |||||||||||||||||||
Compensation and related benefits | $ | 2,684 | $ | 2,274 | $ | 410 | $ | 869 | $ | 723 | $ | 146 | ||||||||||||
Legal fees | 81 | 144 | (63 | ) | 40 | 40 | - | |||||||||||||||||
Accounting, auditing and other professional fees | 266 | 308 | (42 | ) | 80 | 118 | (38 | ) | ||||||||||||||||
Directors' fees and liability insurance | 498 | 467 | 31 | 165 | 155 | 10 | ||||||||||||||||||
Administrative and other expenses | 1,022 | 888 | 134 | 364 | 321 | 43 | ||||||||||||||||||
$ | 4,551 | $ | 4,081 | $ | 470 | $ | 1,518 | $ | 1,357 | $ | 161 |
Structured | ||||||||||||
PT MBS | MBS | Total | ||||||||||
Three Months Ended | Portfolio (%) | Portfolio (%) | Portfolio (%) | |||||||||
September 30, 2017 | 5.2 | 18.8 | 8.3 | |||||||||
June 30, 2017 | 5.9 | 20.4 | 9.9 | |||||||||
March 31, 2017 | 4.8 | 18.8 | 8.8 | |||||||||
December 31, 2016 | 5.5 | 27.3 | 11.1 | |||||||||
September 30, 2016 | 9.4 | 19.7 | 13.6 | |||||||||
June 30, 2016 | 7.8 | 20.4 | 12.6 | |||||||||
March 31, 2016 | 11.8 | 16.6 | 14.3 |
($ in thousands) | ||||||
Weighted | ||||||
Percentage | Average | |||||
of | Weighted | Maturity | ||||
Fair | Entire | Average | in | Longest | ||
Asset Category | Value | Portfolio | Coupon | Months | Maturity | |
September 30, 2017 | ||||||
Fixed Rate MBS | $ | 195,151 | 98.6% | 4.23% | 326 | 1-Sep-47 |
Total PT MBS | 195,151 | 98.6% | 4.23% | 326 | 1-Sep-47 | |
Interest-Only Securities | 1,643 | 0.8% | 3.44% | 232 | 25-Dec-39 | |
Inverse Interest-Only Securities | 1,196 | 0.6% | 5.32% | 281 | 25-Apr-41 | |
Total Structured MBS | 2,839 | 1.4% | 4.23% | 253 | 25-Apr-41 | |
Total MBS | $ | 197,990 | 100.0% | 4.23% | 325 | 1-Sep-47 |
December 31, 2016 | ||||||
Fixed Rate MBS | $ | 124,299 | 95.4% | 4.24% | 347 | 1-Oct-46 |
Total PT MBS | 124,299 | 95.4% | 4.24% | 347 | 1-Oct-46 | |
Interest-Only Securities | 2,654 | 2.0% | 3.48% | 245 | 25-Dec-39 | |
Inverse Interest-Only Securities | 3,349 | 2.6% | 5.52% | 325 | 25-Dec-46 | |
Total Structured MBS | 6,003 | 4.6% | 4.62% | 290 | 25-Dec-46 | |
Total MBS | $ | 130,302 | 100.0% | 4.26% | 344 | 25-Dec-46 |
($ in thousands) | ||||||||||||||||
September 30, 2017 | December 31, 2016 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Agency | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | ||||||||||||
Fannie Mae | $ | 171,565 | 86.7 | % | $ | 120,961 | 92.8 | % | ||||||||
Freddie Mac | 26,201 | 13.2 | % | 8,870 | 6.8 | % | ||||||||||
Ginnie Mae | 224 | 0.1 | % | 471 | 0.4 | % | ||||||||||
Total Portfolio | $ | 197,990 | 100.0 | % | $ | 130,302 | 100.0 | % |
September 30, 2017 | December 31, 2016 | |||||||
Weighted Average Pass-through Purchase Price | $ | 109.33 | $ | 110.31 | ||||
Weighted Average Structured Purchase Price | $ | 6.02 | $ | 6.74 | ||||
Weighted Average Pass-through Current Price | $ | 108.00 | $ | 107.54 | ||||
Weighted Average Structured Current Price | $ | 7.38 | $ | 10.40 | ||||
Effective Duration (1) | 3.867 | 4.769 |
($ in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
Total Cost | Average Price | Weighted Average Yield | Total Cost | Average Price | Weighted Average Yield | |||||||||||||||||||
PT MBS | $ | 77,295 | $ | 107.68 | 2.70 | % | $ | 133,100 | $ | 110.31 | 2.42 | % |
($ in thousands) | ||||||||||||||||||||||||||||
Fair | $ Change in Fair Value | % Change in Fair Value | ||||||||||||||||||||||||||
MBS Portfolio | Value | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | |||||||||||||||||||||
Fixed Rate MBS | $ | 195,151 | $ | 6,177 | $ | (10,066 | ) | $ | (22,189 | ) | 3.17 | % | (5.16 | )% | (11.37 | )% | ||||||||||||
Interest-Only MBS | 1,643 | (621 | ) | 465 | 735 | (37.77 | )% | 28.31 | % | 44.75 | % | |||||||||||||||||
Inverse Interest-Only MBS | 1,196 | (134 | ) | (51 | ) | (256 | ) | (11.17 | )% | (4.27 | )% | (21.37 | )% | |||||||||||||||
Total MBS Portfolio | $ | 197,990 | $ | 5,422 | $ | (9,652 | ) | $ | (21,710 | ) | 2.74 | % | (4.88 | )% | (10.96 | )% |
($ in thousands) | ||||||||||||||||||||||||||||
Notional | $ Change in Fair Value | % Change in Fair Value | ||||||||||||||||||||||||||
Amount(1) | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | ||||||||||||||||||||||
Eurodollar Futures Contracts | ||||||||||||||||||||||||||||
Repurchase Agreement Hedges | $ | 1,020,000 | $ | (1,701 | ) | $ | 2,550 | $ | 5,100 | (0.68 | )% | 1.02 | % | 2.04 | % | |||||||||||||
Junior Subordinated Debt Hedges | 442,000 | (737 | ) | 1,105 | 2,210 | (0.68 | )% | 1.02 | % | 2.04 | % | |||||||||||||||||
$ | 1,462,000 | $ | (2,438 | ) | $ | 3,655 | $ | 7,310 | (0.68 | )% | 1.02 | % | 2.04 | % | ||||||||||||||
Gross Totals | $ | 2,984 | $ | (5,997 | ) | $ | (14,400 | ) |
($ in thousands) | ||||||||||||||||
Difference Between Ending | ||||||||||||||||
Ending Balance | Average Balance | Repurchase Agreements and | ||||||||||||||
of Repurchase | of Repurchase | Average Repurchase Agreements | ||||||||||||||
Three Months Ended | Agreements | Agreements | Amount | Percent | ||||||||||||
September 30, 2017 | $ | 187,374 | $ | 161,003 | $ | 26,371 | 16.38 | %(1) | ||||||||
June 30, 2017 | 134,633 | 126,341 | 8,292 | 6.56 | % | |||||||||||
March 31, 2017 | 118,049 | 119,938 | (1,889 | ) | (1.57 | )% | ||||||||||
December 31, 2016 | 121,828 | 123,909 | (2,081 | ) | (1.68 | )% | ||||||||||
September 30, 2016 | 125,991 | 114,858 | 11,133 | 9.69 | % | |||||||||||
June 30, 2016 | 103,725 | 103,259 | 466 | 0.45 | % | |||||||||||
March 31, 2016 | 102,794 | 90,014 | 12,780 | 14.20 | %(2) |
(in thousands) | ||||||||||||||||||||
Obligations Maturing | ||||||||||||||||||||
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | ||||||||||||||||
Repurchase agreements | $ | 187,374 | $ | - | $ | - | $ | - | $ | 187,374 | ||||||||||
Interest expense on repurchase agreements(1) | 521 | - | - | - | 521 | |||||||||||||||
Junior subordinated notes(2) | - | - | - | 26,000 | 26,000 | |||||||||||||||
Interest expense on junior subordinated notes(1) | 1,326 | 2,545 | 2,541 | 16,793 | 23,205 | |||||||||||||||
Litigation settlement | 250 | 250 | - | - | 500 | |||||||||||||||
Totals | $ | 189,471 | $ | 2,795 | $ | 2,541 | $ | 42,793 | $ | 237,600 |
Articles of Amendment and Restatement, incorporated by reference to Exhibit 3.1 to theCompany’s Form 3.2 Articles Supplementary, incorporated byreference to Exhibit3.1 to theCompany’s CurrentReport on Form 3.3 Articles of Amendment, incorporatedby reference to Exhibit3.1 to the Company’s CurrentReport on Form 3.4 Articles of Amendment, incorporatedby reference to Exhibit3.1 to the Company’s CurrentReport on Form 3.5 31.1 | ||
31.2 Certification ofthe PrincipalFinancial Officer,pursuant toRule 13a-14(a)or 15d-14(a)of theSecurities 32.1 32.2 101.INS Instance Document*** 101.SCH Taxonomy Extension Schema Document*** 101.CAL Taxonomy Extension Calculation Linkbase Document*** 101.DEF Additional Taxonomy Extension Definition Linkbase Document*** 101.LAB Taxonomy Extension Label Linkbase Document*** 101.PRE Taxonomy Extension Presentation Linkbase Document*** * | ||
By: | ||||
Chairman and Chief Executive Officer Date:November 14, 2022 By: /s/ G. Hunter Haas, IV G. Hunter Haas,IV President, Chief Financial Officer, Chief Investment Officer and Treasurer (Principal |