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 ☐ | |||
Title of each Class Latest Practicable Date Shares Outstanding Class A Common Stock, $0.001 par value August 13, 2021 10,795,676 Class B Common Stock, $0.001 par value August 13, 2021 31,938 Class C Common Stock, $0.001 par value August 13, 2021 31,938 | ||
Page | ||||
BIMINI CAPITAL MANAGEMENT, INC. | ||||||||
CONDENSED CONSOLIDATED BALANCE SHEETS | ||||||||
(Unaudited) | ||||||||
September 30, 2020 | December 31, 2019 | |||||||
ASSETS: | ||||||||
Mortgage-backed securities, at fair value | ||||||||
Pledged to counterparties | $ | 73,115,844 | $ | 217,793,209 | ||||
Unpledged | 28,685 | 47,744 | ||||||
Total mortgage-backed securities | 73,144,529 | 217,840,953 | ||||||
Cash and cash equivalents | 5,837,067 | 8,070,067 | ||||||
Restricted cash | 1,253,075 | 4,315,050 | ||||||
Orchid Island Capital, Inc. common stock, at fair value | 13,002,739 | 8,892,211 | ||||||
Accrued interest receivable | 234,431 | 750,875 | ||||||
Property and equipment, net | 2,110,752 | 2,162,975 | ||||||
Real property held for sale | 450,000 | 450,000 | ||||||
Deferred tax assets | 24,003,192 | 33,288,536 | ||||||
Other assets | 2,127,592 | 3,718,281 | ||||||
Total Assets | $ | 122,163,377 | $ | 279,488,948 | ||||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||
LIABILITIES: | ||||||||
Repurchase agreements | $ | 70,685,172 | $ | 209,954,000 | ||||
Long-term debt | 27,618,048 | 27,481,121 | ||||||
Accrued interest payable | 83,384 | 645,302 | ||||||
Other liabilities | 1,346,817 | 1,431,534 | ||||||
Total Liabilities | 99,733,421 | 239,511,957 | ||||||
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, 2020 and December 31, 2019 | - | - | ||||||
Class A Common stock, $0.001 par value; 98,000,000 shares designated: 11,608,555 | ||||||||
shares issued and outstanding as of September 30, 2020 and December 31, 2019 | 11,609 | 11,609 | ||||||
Class B Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares | ||||||||
issued and outstanding as of September 30, 2020 and December 31, 2019 | 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, 2020 and December 31, 2019 | 32 | 32 | ||||||
Additional paid-in capital | 332,642,758 | 332,642,758 | ||||||
Accumulated deficit | (310,224,475 | ) | (292,677,440 | ) | ||||
Stockholders’ Equity | 22,429,956 | 39,976,991 | ||||||
Total Liabilities and Stockholders' Equity | $ | 122,163,377 | $ | 279,488,948 | ||||
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, 2020 and 2019 | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Revenues: | ||||||||||||||||
Advisory services | $ | 4,969,143 | $ | 5,052,251 | $ | 1,629,463 | $ | 1,791,135 | ||||||||
Interest income | 3,167,439 | 5,970,482 | 604,158 | 1,646,389 | ||||||||||||
Dividend income from Orchid Island Capital, Inc. common stock | 1,246,636 | 1,094,426 | 493,118 | 364,809 | ||||||||||||
Total revenues | 9,383,218 | 12,117,159 | 2,726,739 | 3,802,333 | ||||||||||||
Interest expense | ||||||||||||||||
Repurchase agreements | (1,030,372 | ) | (3,654,675 | ) | (42,955 | ) | (1,001,781 | ) | ||||||||
Long-term debt | (893,299 | ) | (1,195,690 | ) | (261,341 | ) | (389,543 | ) | ||||||||
Net revenues | 7,459,547 | 7,266,794 | 2,422,443 | 2,411,009 | ||||||||||||
Other income (expense): | ||||||||||||||||
Unrealized gains on mortgage-backed securities | 303,651 | 6,226,586 | 275,796 | 950,334 | ||||||||||||
Realized (losses) gains on mortgage-backed securities | (5,804,656 | ) | 23,078 | - | 23,078 | |||||||||||
Unrealized gains (losses) on Orchid Island Capital, Inc. common stock | 38,935 | (972,823 | ) | 793,727 | (927,222 | ) | ||||||||||
(Losses) gains on derivative instruments | (5,292,346 | ) | (6,105,202 | ) | 75 | (483,446 | ) | |||||||||
Gains on retained interests in securitizations | 58,735 | 314,984 | 58,735 | 39,869 | ||||||||||||
Impairment of real property held for sale | - | (673,438 | ) | - | (673,438 | ) | ||||||||||
Other (expense) income | (8,248 | ) | 32,523 | (8,890 | ) | 32,029 | ||||||||||
Total other (expense) income | (10,703,929 | ) | (1,154,292 | ) | 1,119,443 | (1,038,796 | ) | |||||||||
Expenses: | ||||||||||||||||
Compensation and related benefits | 3,157,074 | 3,074,650 | 1,010,407 | 987,024 | ||||||||||||
Directors' fees and liability insurance | 511,786 | 490,775 | 166,093 | 169,468 | ||||||||||||
Audit, legal and other professional fees | 467,015 | 381,024 | 120,374 | 96,996 | ||||||||||||
Administrative and other expenses | 870,919 | 878,924 | 318,874 | 352,896 | ||||||||||||
Total expenses | 5,006,794 | 4,825,373 | 1,615,748 | 1,606,384 | ||||||||||||
Net (loss) income before income tax provision | (8,251,176 | ) | 1,287,129 | 1,926,138 | (234,171 | ) | ||||||||||
Income tax provision | 9,295,859 | 942,364 | 608,351 | 537,945 | ||||||||||||
Net (loss) income | $ | (17,547,035 | ) | $ | 344,765 | $ | 1,317,787 | $ | (772,116 | ) | ||||||
Basic and Diluted Net (loss) income Per Share of: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | (1.51 | ) | $ | 0.03 | $ | 0.11 | $ | (0.07 | ) | ||||||
CLASS B COMMON STOCK | ||||||||||||||||
Basic and Diluted | $ | (1.51 | ) | $ | 0.03 | $ | 0.11 | $ | (0.07 | ) | ||||||
Weighted Average Shares Outstanding: | ||||||||||||||||
CLASS A COMMON STOCK | ||||||||||||||||
Basic and Diluted | 11,608,555 | 12,370,114 | 11,608,555 | 11,704,207 | ||||||||||||
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 STATEMENTS OF STOCKHOLDERS' EQUITY | ||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||
For the Nine and Three Months Ended September 30, 2020 and 2019 | ||||||||||||||||||||
Stockholders' Equity | ||||||||||||||||||||
Common Stock | Additional | Accumulated | ||||||||||||||||||
Shares | Par Value | Paid-in Capital | Deficit | Total | ||||||||||||||||
Balances, January 1, 2019 | 12,773,145 | $ | 12,773 | $ | 334,919,265 | $ | (305,977,417 | ) | $ | 28,954,621 | ||||||||||
Net income | - | - | - | 1,618,603 | 1,618,603 | |||||||||||||||
Class A common shares repurchased and retired | (714 | ) | - | (1,542 | ) | - | (1,542 | ) | ||||||||||||
Balances, March 31, 2019 | 12,772,431 | $ | 12,773 | $ | 334,917,723 | $ | (304,358,814 | ) | $ | 30,571,682 | ||||||||||
Net loss | - | - | - | (501,722 | ) | (501,722 | ) | |||||||||||||
Balances, June 30, 2019 | 12,772,431 | $ | 12,773 | $ | 334,917,723 | $ | (304,860,536 | ) | $ | 30,069,960 | ||||||||||
Net loss | - | - | (772,116 | ) | (772,116 | ) | ||||||||||||||
Class A common shares repurchased and retired | (1,100,000 | ) | (1,100 | ) | (2,274,965 | ) | - | (2,276,065 | ) | |||||||||||
Balances, September 30, 2019 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (305,632,652 | ) | $ | 27,021,779 | ||||||||||
Balances, January 1, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (292,677,440 | ) | $ | 39,976,991 | ||||||||||
Net loss | - | - | - | (22,332,947 | ) | (22,332,947 | ) | |||||||||||||
Balances, March 31, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (315,010,387 | ) | $ | 17,644,044 | ||||||||||
Net income | - | - | - | 3,468,125 | 3,468,125 | |||||||||||||||
Balances, June 30, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (311,542,262 | ) | $ | 21,112,169 | ||||||||||
Net income | - | - | - | 1,317,787 | 1,317,787 | |||||||||||||||
Balances, September 30, 2020 | 11,672,431 | $ | 11,673 | $ | 332,642,758 | $ | (310,224,475 | ) | $ | 22,429,956 | ||||||||||
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, 2020 and 2019 | ||||||||
2020 | 2019 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net (loss) income | $ | (17,547,035 | ) | $ | 344,765 | |||
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities: | ||||||||
Depreciation | 52,223 | 54,886 | ||||||
Deferred income tax provision | 9,285,344 | 1,136,975 | ||||||
Losses (gains) on mortgage-backed securities, net | 5,501,005 | (6,249,664 | ) | |||||
Gains on retained interests in securitizations | (58,735 | ) | (314,984 | ) | ||||
Impairment of real property held for sale | - | 673,438 | ||||||
Unrealized (gains) losses on Orchid Island Capital, Inc. common stock | (38,935 | ) | 972,823 | |||||
Realized and unrealized losses on forward settling TBA securities | 1,441,406 | 2,005,175 | ||||||
Changes in operating assets and liabilities: | ||||||||
Accrued interest receivable | 516,444 | 194,552 | ||||||
Other assets | 1,590,689 | (158,981 | ) | |||||
Accrued interest payable | (561,918 | ) | (365,887 | ) | ||||
Other liabilities | (26,123 | ) | (315,920 | ) | ||||
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES | 154,365 | (2,022,822 | ) | |||||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||||||||
From mortgage-backed securities investments: | ||||||||
Purchases | (43,129,835 | ) | (3,285,372 | ) | ||||
Sales | 171,155,249 | 43,975,274 | ||||||
Principal repayments | 11,170,005 | 14,756,931 | ||||||
Proceeds from termination of retained interests | 58,735 | 314,984 | ||||||
Net settlement of forward settling TBA contracts | (1,500,000 | ) | (2,889,941 | ) | ||||
Purchases of Orchid Island Capital, Inc. common stock | (4,071,593 | ) | - | |||||
NET CASH PROVIDED BY INVESTING ACTIVITIES | 133,682,561 | 52,871,876 | ||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||
Proceeds from repurchase agreements | 501,460,570 | 860,182,000 | ||||||
Principal repayments on repurchase agreements | (640,729,398 | ) | (906,103,000 | ) | ||||
Net proceeds on long-term debt | 136,927 | - | ||||||
Class A common shares repurchased and retired | - | (2,277,607 | ) | |||||
NET CASH USED IN FINANCING ACTIVITIES | (139,131,901 | ) | (48,198,607 | ) | ||||
NET (DECREASE) INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | (5,294,975 | ) | 2,650,447 | |||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 12,385,117 | 6,240,488 | ||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | $ | 7,090,142 | $ | 8,890,935 | ||||
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION: | ||||||||
Cash paid (received) during the period for: | ||||||||
Interest expense | $ | 2,485,589 | $ | 5,216,252 | ||||
Income taxes | $ | (1,568,363 | ) | $ | (46,700 | ) | ||
See Notes to Condensed Consolidated Financial Statements |
(in thousands) | ||||||||
September 30, 2020 | December 31, 2019 | |||||||
Cash and cash equivalents | $ | 5,837,067 | $ | 8,070,067 | ||||
Restricted cash | 1,253,075 | 4,315,050 | ||||||
Total cash, cash equivalents and restricted cash | $ | 7,090,142 | $ | 12,385,117 |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Management fee | $ | 3,897 | $ | 4,051 | $ | 1,252 | $ | 1,440 | ||||||||
Allocated overhead | 1,072 | 1,001 | 377 | 351 | ||||||||||||
Total | $ | 4,969 | $ | 5,052 | $ | 1,629 | $ | 1,791 |
(in thousands) | ||||||||
September 30, 2020 | December 31, 2019 | |||||||
Fixed-rate MBS | $ | 72,782 | $ | 216,231 | ||||
Interest-Only MBS | 334 | 1,024 | ||||||
Inverse Interest-Only MBS | 29 | 586 | ||||||
Total | $ | 73,145 | $ | 217,841 |
($ in thousands) | ||||||||||||||||||||
OVERNIGHT | BETWEEN 2 | BETWEEN 31 | GREATER | |||||||||||||||||
(1 DAY OR | AND | AND | THAN | |||||||||||||||||
LESS) | 30 DAYS | 90 DAYS | 90 DAYS | TOTAL | ||||||||||||||||
September 30, 2020 | ||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||
interest receivable | $ | - | $ | 34,229 | $ | 5,182 | $ | 33,938 | $ | 73,349 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 32,960 | $ | 4,913 | $ | 32,812 | $ | 70,685 | ||||||||||
Net weighted average borrowing rate | - | 0.26 | % | 0.22 | % | 0.27 | % | 0.26 | % | |||||||||||
December 31, 2019 | ||||||||||||||||||||
Fair value of securities pledged, including accrued | ||||||||||||||||||||
interest receivable | $ | - | $ | 137,992 | $ | 80,550 | $ | - | $ | 218,542 | ||||||||||
Repurchase agreement liabilities associated with | ||||||||||||||||||||
these securities | $ | - | $ | 132,573 | $ | 77,381 | $ | - | $ | 209,954 | ||||||||||
Net weighted average borrowing rate | - | 2.02 | % | 1.92 | % | - | 1.98 | % |
($ in thousands) | |||
% of | Weighted | ||
Stockholders' | Average | ||
Amount | Equity | Maturity | |
Repurchase Agreement Counterparties | at Risk | at Risk | (in Days) |
September 30, 2020 | |||
Mirae Asset Securities (USA) Inc. | $2,562 | 11.4% | 64 |
(in thousands) | |||||||||
Derivative Instruments and Related Accounts | Balance Sheet Location | September 30, 2020 | December 31, 2019 | ||||||
Liabilities | |||||||||
TBA Securities | Other liabilities | $ | - | $ | 59 | ||||
Total derivative liabilities, at fair value | $ | - | $ | 59 | |||||
Margin Balances Posted To (From) Counterparties | |||||||||
Futures contracts | Restricted cash | $ | 1 | $ | 537 | ||||
Total margin balances on derivative contracts | $ | 1 | $ | 537 |
($ in thousands) | ||||||||||||||||
As of September 30, 2020 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2021 | $ | 1,000 | 1.02 | % | 0.20 | % | $ | (8 | ) | |||||||
Total / Weighted Average | $ | 1,000 | 1.02 | % | 0.20 | % | $ | (8 | ) |
($ in thousands) | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Repurchase Agreement Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2020 | $ | 120,000 | 2.90 | % | 1.67 | % | $ | (1,480 | ) | |||||||
2021 | 80,000 | 2.80 | % | 1.57 | % | (984 | ) | |||||||||
Total / Weighted Average | $ | 100,000 | 2.86 | % | 1.63 | % | $ | (2,464 | ) | |||||||
Treasury Note Futures Contracts | ||||||||||||||||
March 2020- 5-year T-Note futures(2) | ||||||||||||||||
(Mar 2020 - Mar 2025 Hedge Period) | $ | 20,000 | 1.96 | % | 2.06 | % | $ | 88 |
($ in thousands) | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Junior Subordinated Debt Funding Hedges | ||||||||||||||||
Average | Weighted | Weighted | ||||||||||||||
Contract | Average | Average | ||||||||||||||
Notional | Entry | Effective | Open | |||||||||||||
Expiration Year | Amount | Rate | Rate | Equity(1) | ||||||||||||
2020 | $ | 19,500 | 1.92 | % | 1.68 | % | $ | (46 | ) | |||||||
Total / Weighted Average | $ | 19,500 | 1.92 | % | 1.68 | % | $ | (46 | ) |
($ in thousands) | |||||||||
Notional | Net | ||||||||
Amount | Cost | Market | Carrying | ||||||
Long (Short)(1) | Basis(2) | Value(3) | Value(4) | ||||||
December 31, 2019 | |||||||||
30-Year TBA Securities: | |||||||||
3.5% | $ | (50,000) | $ | (51,414) | $ | (51,438) | $ | (24) | |
4.5% | (50,000) | (52,621) | (52,656) | (35) | |||||
$ | (100,000) | $ | (104,035) | $ | (104,094) | $ | (59) |
(in thousands) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Eurodollar futures contracts (short positions) | ||||||||||||||||
Repurchase agreement funding hedges | $ | (2,328 | ) | $ | (2,995 | ) | $ | - | $ | (164 | ) | |||||
Junior subordinated debt funding hedges | (517 | ) | (409 | ) | - | - | ||||||||||
T-Note futures contracts (short positions) | ||||||||||||||||
Repurchase agreement funding hedges | (1,006 | ) | (696 | ) | - | (115 | ) | |||||||||
Net TBA securities | (1,441 | ) | (2,005 | ) | - | (204 | ) | |||||||||
(Losses) gains on derivative instruments | $ | (5,292 | ) | $ | (6,105 | ) | $ | - | $ | (483 | ) |
($ in thousands) | ||||||||||||||||||||||||
September 30, 2020 | December 31, 2019 | |||||||||||||||||||||||
Repurchase | Derivative | Repurchase | Derivative | |||||||||||||||||||||
Assets Pledged to Counterparties | Agreements | Agreements | Total | Agreements | Agreements | Total | ||||||||||||||||||
PT MBS - at fair value | $ | 72,782 | $ | - | $ | 72,782 | $ | 216,231 | $ | - | $ | 216,231 | ||||||||||||
Structured MBS - at fair value | 333 | - | 333 | 1,562 | - | 1,562 | ||||||||||||||||||
Accrued interest on pledged securities | 234 | - | 234 | 749 | - | 749 | ||||||||||||||||||
Restricted cash | 1,252 | 1 | 1,253 | 3,778 | 537 | 4,315 | ||||||||||||||||||
Total | $ | 74,601 | $ | 1 | $ | 74,602 | $ | 222,320 | $ | 537 | $ | 222,857 |
($ in thousands) | ||||||||
Assets Pledged to Bimini | September 30, 2020 | December 31, 2019 | ||||||
Repurchase agreements | $ | 80 | $ | - | ||||
Total | $ | 80 | $ | - |
(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, 2020 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 70,685 | $ | - | $ | 70,685 | $ | (69,433 | ) | $ | (1,252 | ) | $ | - | ||||||||||
$ | 70,685 | $ | - | $ | 70,685 | $ | (69,433 | ) | $ | (1,252 | ) | $ | - | |||||||||||
December 31, 2019 | ||||||||||||||||||||||||
Repurchase Agreements | $ | 209,954 | $ | - | $ | 209,954 | $ | (206,176 | ) | $ | (3,778 | ) | $ | - | ||||||||||
TBA securities | 59 | - | 59 | - | - | 59 | ||||||||||||||||||
$ | 210,013 | $ | - | $ | 210,013 | $ | (206,176 | ) | $ | (3,778 | ) | $ | 59 |
(in thousands) | ||||||||
September 30, 2020 | December 31, 2019 | |||||||
Junior subordinated debt | $ | 26,804 | $ | 26,804 | ||||
Note payable | 662 | 677 | ||||||
Paycheck Protection Plan ("PPP") loan | 152 | - | ||||||
Total | $ | 27,618 | $ | 27,481 |
(in thousands) | ||||
Last three months of 2020 | $ | 5 | ||
2021 | 22 | |||
2022 | 175 | |||
2023 | 24 | |||
2024 | 25 | |||
After 2024 | 27,367 | |||
Total | $ | 27,618 |
(in thousands, except per-share information) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Basic and diluted EPS per Class A common share: | ||||||||||||||||
(Loss) income attributable to Class A common shares: | ||||||||||||||||
Basic and diluted | $ | (17,499 | ) | $ | 344 | $ | 1,314 | $ | (770 | ) | ||||||
Weighted average common shares: | ||||||||||||||||
Class A common shares outstanding at the balance sheet date | 11,609 | 11,609 | 11,609 | 11,609 | ||||||||||||
Effect of weighting | - | 761 | - | 95 | ||||||||||||
Weighted average shares-basic and diluted | 11,609 | 12,370 | 11,609 | 11,704 | ||||||||||||
(Loss) income per Class A common share: | ||||||||||||||||
Basic and diluted | $ | (1.51 | ) | $ | 0.03 | $ | 0.11 | $ | (0.07 | ) |
(in thousands, except per-share information) | ||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Basic and diluted EPS per Class B common share: | ||||||||||||||||
(Loss) income attributable to Class B common shares: | ||||||||||||||||
Basic and diluted | $ | (48 | ) | $ | 1 | $ | 4 | $ | (2 | ) | ||||||
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 | ||||||||||||
(Loss) income per Class B common share: | ||||||||||||||||
Basic and diluted | $ | (1.51 | ) | $ | 0.03 | $ | 0.11 | $ | (0.07 | ) |
(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, 2020 | ||||||||||||||||
Mortgage-backed securities | $ | 73,145 | $ | - | $ | 73,145 | $ | - | ||||||||
Orchid Island Capital, Inc. common stock | 13,003 | 13,003 | - | - | ||||||||||||
December 31, 2019 | ||||||||||||||||
Mortgage-backed securities | $ | 217,841 | $ | - | $ | 217,841 | $ | - | ||||||||
Orchid Island Capital, Inc. common stock | 8,892 | 8,892 | - | - | ||||||||||||
TBA securities | (59 | ) | - | (59 | ) | - |
(in thousands) | ||||||||
Retained Interests in Securitizations | ||||||||
Nine Months Ended September 30, | ||||||||
2020 | 2019 | |||||||
Balances, January 1 | $ | - | $ | - | ||||
Gain included in earnings | 59 | 315 | ||||||
Collections | (59 | ) | (315 | ) | ||||
Balances, September 30 | $ | - | $ | - |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 4,969 | $ | - | $ | - | $ | - | $ | 4,969 |
Advisory services, other operating segments(1) | 116 | - | - | (116) | - | |||||
Interest and dividend income | - | 4,414 | - | - | 4,414 | |||||
Interest expense | - | (1,030) | (893)(2) | - | (1,923) | |||||
Net revenues | 5,085 | 3,384 | (893) | (116) | 7,460 | |||||
Other | - | (10,238) | (466)(3) | - | (10,704) | |||||
Operating expenses(4) | (2,632) | (2,375) | - | - | (5,007) | |||||
Intercompany expenses(1) | - | (116) | - | 116 | - | |||||
Income (loss) before income taxes | $ | 2,453 | $ | (9,345) | $ | (1,359) | $ | - | $ | (8,251) |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 5,052 | $ | - | $ | - | $ | - | $ | 5,052 |
Advisory services, other operating segments(1) | 200 | - | - | (200) | - | |||||
Interest and dividend income | - | 7,064 | 1 | - | 7,065 | |||||
Interest expense | - | (3,655) | (1,195)(2) | - | (4,850) | |||||
Net revenues | 5,252 | 3,409 | (1,194) | (200) | 7,267 | |||||
Other | - | (419) | (736)(3) | - | (1,155) | |||||
Operating expenses(4) | (2,019) | (2,806) | - | - | (4,825) | |||||
Intercompany expenses(1) | - | (200) | - | 200 | - | |||||
Income (loss) before income taxes | $ | 3,233 | $ | (16) | $ | (1,930) | $ | - | $ | 1,287 |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 1,629 | $ | - | $ | - | $ | - | $ | 1,629 |
Advisory services, other operating segments(1) | 32 | - | - | (32) | - | |||||
Interest and dividend income | - | 1,097 | - | - | 1,097 | |||||
Interest expense | - | (43) | (261)(2) | - | (304) | |||||
Net revenues | 1,661 | 1,054 | (261) | (32) | 2,422 | |||||
Other | - | 1,070 | 49 (3) | - | 1,119 | |||||
Operating expenses(4) | (956) | (659) | - | - | (1,615) | |||||
Intercompany expenses(1) | - | (32) | - | 32 | - | |||||
Income (loss) before income taxes | $ | 705 | $ | 1,433 | $ | (212) | $ | - | $ | 1,926 |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 1,791 | $ | - | $ | - | $ | - | $ | 1,791 |
Advisory services, other operating segments(1) | 63 | - | - | (63) | - | |||||
Interest and dividend income | - | 2,011 | - | - | 2,011 | |||||
Interest expense | - | (1,002) | (389)(2) | - | (1,391) | |||||
Net revenues | 1,854 | 1,009 | (389) | (63) | 2,411 | |||||
Other | - | (438) | (601)(3) | - | (1,039) | |||||
Operating expenses(4) | (754) | (852) | - | - | (1,606) | |||||
Intercompany expenses(1) | - | (63) | - | 63 | - | |||||
Income (loss) before income taxes | $ | 1,100 | $ | (344) | $ | (990) | $ | - | $ | (234) |
(in thousands) | ||||||||||||||||
Asset | Investment | |||||||||||||||
Management | Portfolio | Corporate | Total | |||||||||||||
September 30, 2020 | $ | 1,474 | $ | 107,414 | 13,275 | $ | 122,163 | |||||||||
December 31, 2019 | 1,457 | 263,223 | 14,809 | 279,489 |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2020 | 2019 | Change | 2020 | 2019 | Change | |||||||||||||||||||
Advisory services revenues | $ | 4,969 | $ | 5,052 | $ | (83 | ) | $ | 1,629 | $ | 1,791 | $ | (162 | ) | ||||||||||
Interest and dividend income | 4,414 | 7,065 | (2,651 | ) | 1,097 | 2,011 | (914 | ) | ||||||||||||||||
Interest expense | (1,924 | ) | (4,850 | ) | 2,926 | (304 | ) | (1,391 | ) | 1,087 | ||||||||||||||
Net revenues | 7,459 | 7,267 | 192 | 2,422 | 2,411 | 11 | ||||||||||||||||||
Other (expense) income | (10,703 | ) | (1,155 | ) | (9,548 | ) | 1,119 | (1,039 | ) | 2,158 | ||||||||||||||
Expenses | (5,007 | ) | (4,825 | ) | (182 | ) | (1,615 | ) | (1,606 | ) | (9 | ) | ||||||||||||
Net (loss) income before income tax provision | (8,251 | ) | 1,287 | (9,538 | ) | 1,926 | (234 | ) | 2,160 | |||||||||||||||
Income tax provision | 9,296 | 942 | 8,354 | 608 | 538 | 70 | ||||||||||||||||||
Net (loss) income | $ | (17,547 | ) | $ | 345 | $ | (17,892 | ) | $ | 1,318 | $ | (772 | ) | $ | 2,090 |
Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP) | ||||||||||||
(in thousands) | ||||||||||||
Recognized in | ||||||||||||
Statement of | TBA | |||||||||||
Operations | Securities | Futures | ||||||||||
Three Months Ended | (GAAP) | Loss | Contracts | |||||||||
September 30, 2020 | $ | - | $ | - | $ | - | ||||||
June 30, 2020 | (2 | ) | - | (2 | ) | |||||||
March 31, 2020 | (5,291 | ) | (1,441 | ) | (3,850 | ) | ||||||
December 31, 2019 | 287 | (192 | ) | 479 | ||||||||
September 30, 2019 | (483 | ) | (204 | ) | (279 | ) | ||||||
June 30, 2019 | (3,364 | ) | (734 | ) | (2,630 | ) | ||||||
March 31, 2019 | (2,258 | ) | (1,067 | ) | (1,191 | ) | ||||||
(in thousands) | ||||||||||||
Recognized in | ||||||||||||
Statement of | TBA | |||||||||||
Operations | Securities | Futures | ||||||||||
Nine Months Ended | (GAAP) | Loss | Contracts | |||||||||
September 30, 2020 | $ | (5,292 | ) | $ | (1,441 | ) | $ | (3,851 | ) | |||
September 30, 2019 | (6,105 | ) | (2,005 | ) | (4,100 | ) |
Gains (Losses) on Derivative Instruments - Attributed to Current Period (Non-GAAP) | ||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Attributed to Current Period (Non-GAAP) | Attributed to Future Periods (Non-GAAP) | |||||||||||||||||||||||||||
Repurchase | Long-Term | Repurchase | Long-Term | Statement of | ||||||||||||||||||||||||
Three Months Ended | Agreements | Debt | Total | Agreements | Debt | Total | Operations | |||||||||||||||||||||
September 30, 2020 | $ | (1,065 | ) | $ | (40 | ) | $ | (1,105 | ) | $ | 1,065 | $ | 40 | $ | 1,105 | $ | - | |||||||||||
June 30, 2020 | (456 | ) | (40 | ) | (496 | ) | 456 | 38 | 494 | (2 | ) | |||||||||||||||||
March 31, 2020 | (456 | ) | (40 | ) | (496 | ) | (2,879 | ) | (475 | ) | (3,354 | ) | (3,850 | ) | ||||||||||||||
December 31, 2019 | 510 | 56 | 566 | (50 | ) | (37 | ) | (87 | ) | 479 | ||||||||||||||||||
September 30, 2019 | (124 | ) | 61 | (63 | ) | (155 | ) | (61 | ) | (216 | ) | (279 | ) | |||||||||||||||
June 30, 2019 | (226 | ) | 43 | (183 | ) | (2,215 | ) | (232 | ) | (2,447 | ) | (2,630 | ) | |||||||||||||||
March 31, 2019 | 5 | 65 | 70 | (976 | ) | (285 | ) | (1,261 | ) | (1,191 | ) | |||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Junior | Junior | |||||||||||||||||||||||||||
Repurchase | Subordinated | Repurchase | Subordinated | Statement of | ||||||||||||||||||||||||
Nine Months Ended | Agreements | Debt | Total | Agreements | Debt | Total | Operations | |||||||||||||||||||||
September 30, 2020 | $ | (1,977 | ) | $ | (120 | ) | $ | (2,097 | ) | $ | (1,358 | ) | $ | (396 | ) | $ | (1,754 | ) | $ | (3,851 | ) | |||||||
September 30, 2019 | (345 | ) | 169 | (176 | ) | (3,346 | ) | (578 | ) | (3,924 | ) | $ | (4,100 | ) |
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, 2020 | $ | 604 | $ | 43 | $ | (1,065 | ) | $ | 1,108 | $ | 561 | $ | (504 | ) | ||||||||||
June 30, 2020 | 523 | 60 | (456 | ) | 516 | 463 | 7 | |||||||||||||||||
March 31, 2020 | 2,040 | 928 | (456 | ) | 1,384 | 1,112 | 656 | |||||||||||||||||
December 31, 2019 | 1,899 | 948 | 510 | 438 | 951 | 1,461 | ||||||||||||||||||
September 30, 2019 | 1,646 | 1,002 | (124 | ) | 1,126 | 644 | 520 | |||||||||||||||||
June 30, 2019 | 2,134 | 1,340 | (226 | ) | 1,566 | 794 | 568 | |||||||||||||||||
March 31, 2019 | 2,190 | 1,313 | 5 | 1,308 | 877 | 882 | ||||||||||||||||||
(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, 2020 | $ | 3,167 | $ | 1,030 | $ | (1,978 | ) | $ | 3,008 | $ | 2,137 | $ | 159 | |||||||||||
September 30, 2019 | 5,970 | 3,655 | (345 | ) | 4,000 | 2,315 | 1,970 |
Economic Net Interest Income | ||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Long-Term Debt | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income (Loss) | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Three Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
September 30, 2020 | $ | 561 | $ | (504 | ) | $ | 261 | $ | (40 | ) | $ | 301 | $ | 300 | $ | (805 | ) | |||||||||||
June 30, 2020 | 463 | 7 | 282 | (40 | ) | 322 | 181 | (315 | ) | |||||||||||||||||||
March 31, 2020 | 1,112 | 656 | 350 | (40 | ) | 390 | 762 | 266 | ||||||||||||||||||||
December 31, 2019 | 951 | 1,461 | 376 | 56 | 320 | 575 | 1,141 | |||||||||||||||||||||
September 30, 2019 | 644 | 520 | 390 | 61 | 329 | 254 | 191 | |||||||||||||||||||||
June 30, 2019 | 794 | 568 | 400 | 43 | 357 | 394 | 211 | |||||||||||||||||||||
March 31, 2019 | 877 | 882 | 406 | 65 | 341 | 471 | 541 | |||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||
Net Portfolio | Interest Expense on Junior Subordinated Notes | |||||||||||||||||||||||||||
Interest Income | Effect of | Net Interest Income (Loss) | ||||||||||||||||||||||||||
GAAP | Economic | GAAP | Non-GAAP | Economic | GAAP | Economic | ||||||||||||||||||||||
Nine Months Ended | Basis | Basis(1) | Basis | Hedges(2) | Basis(3) | Basis | Basis(4) | |||||||||||||||||||||
September 30, 2020 | $ | 2,137 | $ | 159 | $ | 893 | $ | (120 | ) | $ | 1,013 | $ | 1,244 | $ | (854 | ) | ||||||||||||
September 30, 2019 | 2,315 | 1,970 | 1,196 | 169 | 1,027 | 1,119 | 943 |
(in thousands) | ||||||||||||||||||||
Asset | Investment | |||||||||||||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||||||||||||
2020 | ||||||||||||||||||||
Advisory services, external customers | $ | 4,969 | $ | - | $ | - | $ | - | $ | 4,969 | ||||||||||
Advisory services, other operating segments(1) | 116 | - | - | (116 | ) | - | ||||||||||||||
Interest and dividend income | - | 4,414 | - | - | 4,414 | |||||||||||||||
Interest expense | - | (1,030 | ) | (893 | )(2) | - | (1,923 | ) | ||||||||||||
Net revenues | 5,085 | 3,384 | (893 | ) | (116 | ) | 7,460 | |||||||||||||
Other | - | (10,238 | ) | (466 | )(3) | - | (10,704 | ) | ||||||||||||
Operating expenses(4) | (2,632 | ) | (2,375 | ) | - | - | (5,007 | ) | ||||||||||||
Intercompany expenses(1) | - | (116 | ) | - | 116 | - | ||||||||||||||
Income (loss) before income taxes | $ | 2,453 | $ | (9,345 | ) | $ | (1,359 | ) | $ | - | $ | (8,251 | ) |
Asset | Investment | |||||||||||||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||||||||||||
2019 | ||||||||||||||||||||
Advisory services, external customers | $ | 5,052 | $ | - | $ | - | $ | - | $ | 5,052 | ||||||||||
Advisory services, other operating segments(1) | 200 | - | - | (200 | ) | - | ||||||||||||||
Interest and dividend income | - | 7,064 | 1 | - | 7,065 | |||||||||||||||
Interest expense | - | (3,655 | ) | (1,195 | )(2) | - | (4,850 | ) | ||||||||||||
Net revenues | 5,252 | 3,409 | (1,194 | ) | (200 | ) | 7,267 | |||||||||||||
Other | - | (419 | ) | (736 | )(3) | - | (1,155 | ) | ||||||||||||
Operating expenses(4) | (2,019 | ) | (2,806 | ) | - | - | (4,825 | ) | ||||||||||||
Intercompany expenses(1) | - | (200 | ) | - | 200 | - | ||||||||||||||
Income (loss) before income taxes | $ | 3,233 | $ | (16 | ) | $ | (1,930 | ) | $ | - | $ | 1,287 |
(in thousands) | ||||||||||
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2020 | ||||||||||
Advisory services, external customers | $ | 1,629 | $ | - | $ | - | $ | - | $ | 1,629 |
Advisory services, other operating segments(1) | 32 | - | - | (32) | - | |||||
Interest and dividend income | - | 1,097 | - | - | 1,097 | |||||
Interest expense | - | (43) | (261)(2) | - | (304) | |||||
Net revenues | 1,661 | 1,054 | (261) | (32) | 2,422 | |||||
Other | - | 1,070 | 49 (3) | - | 1,119 | |||||
Operating expenses(4) | (956) | (659) | - | - | (1,615) | |||||
Intercompany expenses(1) | - | (32) | - | 32 | - | |||||
Income (loss) before income taxes | $ | 705 | $ | 1,433 | $ | (212) | $ | - | $ | 1,926 |
Asset | Investment | |||||||||
Management | Portfolio | Corporate | Eliminations | Total | ||||||
2019 | ||||||||||
Advisory services, external customers | $ | 1,791 | $ | - | $ | - | $ | - | $ | 1,791 |
Advisory services, other operating segments(1) | 63 | - | - | (63) | - | |||||
Interest and dividend income | - | 2,011 | - | - | 2,011 | |||||
Interest expense | - | (1,002) | (389)(2) | - | (1,391) | |||||
Net revenues | 1,854 | 1,009 | (389) | (63) | 2,411 | |||||
Other | - | (438) | (601)(3) | - | (1,039) | |||||
Operating expenses(4) | (754) | (852) | - | - | (1,606) | |||||
Intercompany expenses(1) | - | (63) | - | 63 | - | |||||
Income (loss) before income taxes | $ | 1,100 | $ | (344) | $ | (990) | $ | - | $ | (234) |
(in thousands) | ||||||||||||||||
Asset | Investment | |||||||||||||||
Management | Portfolio | Corporate | Total | |||||||||||||
September 30, 2020 | $ | 1,474 | $ | 107,414 | $ | 13,275 | $ | 122,163 | ||||||||
December 31, 2019 | 1,457 | 263,223 | 14,809 | 279,489 |
(in thousands) | ||||||||||||||||||||
Average | Average | Advisory Services | ||||||||||||||||||
Orchid | Orchid | Management | Overhead | |||||||||||||||||
Three Months Ended | MBS | Equity | Fee | Allocation | Total | |||||||||||||||
September 30, 2020 | $ | 3,422,564 | $ | 368,588 | $ | 1,252 | $ | 377 | $ | 1,629 | ||||||||||
June 30, 2020 | 3,126,779 | 361,093 | 1,268 | 347 | 1,615 | |||||||||||||||
March 31, 2020 | 3,269,859 | 376,673 | 1,377 | 348 | 1,725 | |||||||||||||||
December 31, 2019 | 3,705,920 | 414,018 | 1,477 | 379 | 1,856 | |||||||||||||||
September 30, 2019 | 3,674,087 | 394,788 | 1,440 | 351 | 1,791 | |||||||||||||||
June 30, 2019 | 3,307,885 | 363,961 | 1,326 | 328 | 1,654 | |||||||||||||||
March 31, 2019 | 3,051,509 | 363,204 | 1,285 | 322 | 1,607 | |||||||||||||||
(in thousands) | ||||||||||||||||||||
Average | Average | Advisory Services | ||||||||||||||||||
Orchid | Orchid | Management | Overhead | |||||||||||||||||
Nine Months Ended | MBS | Equity | Fee | Allocation | Total | |||||||||||||||
September 30, 2020 | $ | 3,273,068 | $ | 368,785 | $ | 3,897 | $ | 1,072 | $ | 4,969 | ||||||||||
September 30, 2019 | 3,344,494 | 373,984 | 4,051 | 1,001 | 5,052 |
($ 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, 2020 | $ | 62,981 | $ | 604 | 3.84 | % | $ | 61,151 | $ | 43 | $ | 1,108 | 0.28 | % | 7.24 | % | ||||||||||||||||
June 30, 2020 | 53,630 | 523 | 3.90 | % | 51,987 | 60 | 516 | 0.46 | % | 3.97 | % | |||||||||||||||||||||
March 31, 2020 | 136,142 | 2,040 | 5.99 | % | 131,156 | 928 | 1,384 | 2.83 | % | 4.22 | % | |||||||||||||||||||||
December 31, 2019 | 190,534 | 1,898 | 3.99 | % | 182,215 | 948 | 438 | 2.08 | % | 0.96 | % | |||||||||||||||||||||
September 30, 2019 | 187,199 | 1,646 | 3.52 | % | 177,566 | 1,002 | 1,126 | 2.26 | % | 2.54 | % | |||||||||||||||||||||
June 30, 2019 | 211,406 | 2,134 | 4.04 | % | 199,901 | 1,340 | 1,566 | 2.68 | % | 3.13 | % | |||||||||||||||||||||
March 31, 2019 | 212,033 | 2,190 | 4.13 | % | 199,771 | 1,313 | 1,308 | 2.63 | % | 2.62 | % | |||||||||||||||||||||
($ 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, 2020 | $ | 84,251 | $ | 3,167 | 5.01 | % | $ | 81,431 | $ | 1,030 | $ | 3,008 | 1.69 | % | 4.92 | % | ||||||||||||||||
September 30, 2019 | 203,546 | 5,970 | 3.91 | % | 192,413 | 3,655 | 4,000 | 2.53 | % | 2.77 | % |
($ 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, 2020 | $ | 561 | $ | (504 | ) | 3.56 | % | (3.40 | )% | |||||||
June 30, 2020 | 463 | 7 | 3.44 | % | 3.44 | % | ||||||||||
March 31, 2020 | 1,112 | 656 | 3.16 | % | 1.77 | % | ||||||||||
December 31, 2019 | 951 | 1,461 | 1.91 | % | 3.03 | % | ||||||||||
September 30, 2019 | 644 | 520 | 1.26 | % | 0.98 | % | ||||||||||
June 30, 2019 | 794 | 568 | 1.36 | % | 0.91 | % | ||||||||||
March 31, 2019 | 877 | 882 | 1.50 | % | 1.51 | % | ||||||||||
($ 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, 2020 | $ | 2,137 | $ | 159 | 3.32 | % | 0.09 | % | ||||||||
September 30, 2019 | 2,315 | 1,970 | 1.38 | % | 1.14 | % |
($ 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, 2020 | $ | 62,564 | $ | 417 | $ | 62,981 | $ | 588 | $ | 16 | $ | 604 | 3.76 | % | 15.35 | % | 3.84 | % | ||||||||||||||||||
June 30, 2020 | 53,101 | 529 | 53,630 | 502 | 21 | 523 | 3.78 | % | 16.12 | % | 3.90 | % | ||||||||||||||||||||||||
March 31, 2020 | 135,044 | 1,098 | 136,142 | 2,029 | 11 | 2,040 | 6.01 | % | 3.93 | % | 5.99 | % | ||||||||||||||||||||||||
December 31, 2019 | 188,884 | 1,650 | 190,534 | 1,870 | 28 | 1,898 | 3.96 | % | 6.90 | % | 3.99 | % | ||||||||||||||||||||||||
September 30, 2019 | 185,309 | 1,890 | 187,199 | 1,652 | (6 | ) | 1,646 | 3.57 | % | (1.15 | )% | 3.52 | % | |||||||||||||||||||||||
June 30, 2019 | 209,171 | 2,235 | 211,406 | 2,111 | 23 | 2,134 | 4.04 | % | 4.01 | % | 4.04 | % | ||||||||||||||||||||||||
March 31, 2019 | 209,469 | 2,564 | 212,033 | 2,143 | 47 | 2,190 | 4.09 | % | 7.42 | % | 4.13 | % | ||||||||||||||||||||||||
($ 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, 2020 | $ | 83,570 | $ | 681 | $ | 84,251 | $ | 3,119 | $ | 48 | $ | 3,167 | 4.98 | % | 9.42 | % | 5.01 | % | ||||||||||||||||||
September 30, 2019 | 201,316 | 2,230 | 203,546 | 5,906 | 64 | 5,970 | 3.91 | % | 3.86 | % | 3.91 | % |
($ 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, 2020 | $ | 61,151 | $ | 43 | $ | 1,108 | 0.28 | % | 7.24 | % | ||||||||||
June 30, 2020 | 51,987 | 60 | 516 | 0.46 | % | 3.97 | % | |||||||||||||
March 31, 2020 | 131,156 | 928 | 1,384 | 2.83 | % | 4.22 | % | |||||||||||||
December 31, 2019 | 182,215 | 948 | 438 | 2.08 | % | 0.96 | % | |||||||||||||
September 30, 2019 | 177,566 | 1,002 | 1,126 | 2.26 | % | 2.54 | % | |||||||||||||
June 30, 2019 | 199,901 | 1,340 | 1,566 | 2.68 | % | 3.13 | % | |||||||||||||
March 31, 2019 | 199,771 | 1,313 | 1,308 | 2.63 | % | 2.62 | % | |||||||||||||
($ 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, 2020 | $ | 81,431 | $ | 1,030 | $ | 3,008 | 1.69 | % | 4.92 | % | ||||||||||
September 30, 2019 | 192,413 | 3,655 | 4,000 | 2.53 | % | 2.77 | % |
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, 2020 | 0.17 | % | 0.35 | % | 0.11 | % | (0.07 | )% | 7.07 | % | 6.89 | % | ||||||||||||
June 30, 2020 | 0.55 | % | 0.70 | % | (0.09 | )% | (0.24 | )% | 3.42 | )% | 3.27 | % | ||||||||||||
March 31, 2020 | 1.34 | % | 1.43 | % | 1.49 | % | 1.40 | % | 2.88 | % | 2.79 | % | ||||||||||||
December 31, 2019 | 1.90 | % | 1.98 | % | 0.18 | % | 0.10 | % | (0.94 | )% | (1.02 | )% | ||||||||||||
September 30, 2019 | 2.22 | % | 2.18 | % | 0.04 | % | 0.08 | % | 0.32 | % | 0.36 | % | ||||||||||||
June 30, 2019 | 2.45 | % | 2.49 | % | 0.23 | % | 0.19 | % | 0.68 | % | 0.64 | % | ||||||||||||
March 31, 2019 | 2.50 | % | 2.77 | % | 0.13 | % | (0.14 | )% | 0.12 | % | (0.15 | )% | ||||||||||||
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, 2020 | 0.68 | % | 0.83 | % | 1.01 | % | 0.86 | % | 4.24 | % | 4.09 | % | ||||||||||||
September 30, 2019 | 2.39 | % | 2.48 | % | 0.14 | % | 0.05 | % | 0.38 | % | 0.29 | % |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2020 | 2019 | Change | 2020 | 2019 | Change | |||||||||||||||||||
Realized (losses) gains on sales of MBS | $ | (5,805 | ) | $ | 23 | $ | (5,828 | ) | $ | - | $ | 23 | $ | (23 | ) | |||||||||
Unrealized gains on MBS | 304 | 6,227 | (5,923 | ) | 276 | 950 | (674 | ) | ||||||||||||||||
Total (losses) gains on MBS | (5,501 | ) | 6,250 | (11,751 | ) | 276 | 973 | (697 | ) | |||||||||||||||
(Losses) gains on derivative instruments | (5,292 | ) | (6,105 | ) | 813 | - | (483 | ) | 483 | |||||||||||||||
Gains on retained interests in securitizations | 59 | 315 | (256 | ) | 59 | 40 | 19 | |||||||||||||||||
Unrealized gains (losses) on | ||||||||||||||||||||||||
Orchid Island Capital, Inc. common stock | 39 | (973 | ) | 1,012 | 794 | (927 | ) | 1,721 |
5 Year | 10 Year | 15 Year | 30 Year | Three | ||||||||||||||||
U.S. Treasury | U.S. Treasury | Fixed-Rate | Fixed-Rate | Month | ||||||||||||||||
Rate(1) | Rate(1) | Mortgage Rate(2) | Mortgage Rate(2) | Libor(3) | ||||||||||||||||
September 30, 2020 | 0.27 | % | 0.68 | % | 2.39 | % | 2.89 | % | 0.24 | % | ||||||||||
June 30, 2020 | 0.29 | % | 0.65 | % | 2.60 | % | 3.16 | % | 0.31 | % | ||||||||||
March 31, 2020 | 0.38 | % | 0.70 | % | 2.89 | % | 3.45 | % | 1.10 | % | ||||||||||
December 31, 2019 | 1.69 | % | 1.92 | % | 3.18 | % | 3.72 | % | 1.91 | % | ||||||||||
September 30, 2019 | 1.55 | % | 1.68 | % | 3.12 | % | 3.61 | % | 2.13 | % | ||||||||||
June 30, 2019 | 1.76 | % | 2.00 | % | 3.24 | % | 3.80 | % | 2.40 | % | ||||||||||
March 31, 2019 | 2.24 | % | 2.41 | % | 3.72 | % | 4.27 | % | 2.61 | % |
(in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||
2020 | 2019 | Change | 2020 | 2019 | Change | |||||||||||||||||||
Compensation and related benefits | $ | 3,157 | $ | 3,075 | $ | 82 | $ | 1,010 | $ | 987 | $ | 23 | ||||||||||||
Legal fees | 122 | 120 | 2 | 27 | 24 | 3 | ||||||||||||||||||
Accounting, auditing and other professional fees | 345 | 261 | 84 | 94 | 73 | 21 | ||||||||||||||||||
Directors’ fees and liability insurance | 512 | 491 | 21 | 166 | 169 | (3 | ) | |||||||||||||||||
Administrative and other expenses | 871 | 878 | (7 | ) | 319 | 353 | (34 | ) | ||||||||||||||||
$ | 5,007 | $ | 4,825 | $ | 182 | $ | 1,616 | $ | 1,606 | $ | 10 |
Structured | ||||||||||||
PT MBS | MBS | Total | ||||||||||
Three Months Ended | Portfolio (%) | Portfolio (%) | Portfolio (%) | |||||||||
September 30, 2020 | 13.0 | 32.0 | 15.8 | |||||||||
June 30, 2020 | 12.4 | 25.0 | 15.3 | |||||||||
March 31, 2020 | 11.6 | 18.1 | 13.7 | |||||||||
December 31, 2019 | 15.6 | 15.6 | 15.6 | |||||||||
September 30, 2019 | 9.5 | 16.2 | 10.5 | |||||||||
June 30, 2019 | 9.9 | 14.6 | 10.5 | |||||||||
March 31, 2019 | 5.7 | 13.4 | 6.8 |
($ in thousands) | ||||||
Weighted | ||||||
Percentage | Average | |||||
of | Weighted | Maturity | ||||
Fair | Entire | Average | in | Longest | ||
Asset Category | Value | Portfolio | Coupon | Months | Maturity | |
September 30, 2020 | ||||||
Fixed Rate MBS | $ | 72,782 | 99.5% | 3.97% | 337 | 15-Aug-50 |
Interest-Only MBS | 334 | 0.5% | 3.54% | 289 | 15-Jul-48 | |
Inverse Interest-Only MBS | 29 | 0.0% | 5.85% | 224 | 15-May-39 | |
Total MBS Portfolio | $ | 73,145 | 100.0% | 3.97% | 337 | 15-Aug-50 |
December 31, 2019 | ||||||
Fixed Rate MBS | $ | 216,231 | 99.3% | 4.25% | 316 | 1-Nov-49 |
Interest-Only MBS | 1,024 | 0.4% | 3.65% | 281 | 15-Jul-48 | |
Inverse Interest-Only MBS | 586 | 0.3% | 4.77% | 254 | 25-Apr-41 | |
Total MBS Portfolio | $ | 217,841 | 100.0% | 4.25% | 316 | 1-Nov-49 |
($ in thousands) | ||||||||||||||||
September 30, 2020 | December 31, 2019 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Agency | Fair Value | Entire Portfolio | Fair Value | Entire Portfolio | ||||||||||||
Fannie Mae | $ | 40,579 | 55.5 | % | $ | 203,321 | 93.3 | % | ||||||||
Freddie Mac | 32,566 | 44.5 | % | 14,499 | 6.7 | % | ||||||||||
Ginnie Mae | - | 0.0 | % | 21 | 0.0 | % | ||||||||||
Total Portfolio | $ | 73,145 | 100.0 | % | $ | 217,841 | 100.0 | % |
September 30, 2020 | December 31, 2019 | |||||||
Weighted Average Pass-through Purchase Price | $ | 109.74 | $ | 107.12 | ||||
Weighted Average Structured Purchase Price | $ | 4.96 | $ | 6.39 | ||||
Weighted Average Pass-through Current Price | $ | 112.59 | $ | 108.77 | ||||
Weighted Average Structured Current Price | $ | 3.50 | $ | 6.91 | ||||
Effective Duration (1) | 3.184 | 3.196 |
($ in thousands) | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||||
Total Cost | Average Price | Weighted Average Yield | Total Cost | Average Price | Weighted Average Yield | |||||||||||||||||||
PT MBS | $ | 43,130 | $ | 111.44 | 1.99 | % | $ | 3,285 | $ | 104.12 | 3.35 | % |
($ in thousands) | ||||||||||||||||||||||||||||
Fair | $ Change in Fair Value | % Change in Fair Value | ||||||||||||||||||||||||||
MBS Portfolio | Value | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | |||||||||||||||||||||
Fixed Rate MBS | $ | 72,782 | $ | 2,205 | $ | (2,767 | ) | $ | (6,264 | ) | 3.03 | % | (3.80 | )% | (8.61 | )% | ||||||||||||
Interest-Only MBS | 334 | (60 | ) | 142 | 257 | (18.00 | )% | 42.58 | % | 76.95 | % | |||||||||||||||||
Inverse Interest-Only MBS | 29 | 1 | (4 | ) | (8 | ) | 3.20 | % | (13.46 | )% | (28.63 | )% | ||||||||||||||||
Total MBS Portfolio | $ | 73,145 | $ | 2,146 | $ | (2,629 | ) | $ | (6,015 | ) | 2.93 | % | (3.59 | )% | (8.22 | )% |
($ in thousands) | ||||||||||||||||||||||||||||
Notional | $ Change in Fair Value | % Change in Fair Value | ||||||||||||||||||||||||||
Amount(1) | -100BPS | +100BPS | +200BPS | -100BPS | +100BPS | +200BPS | ||||||||||||||||||||||
Eurodollar Futures Contracts | ||||||||||||||||||||||||||||
Junior Subordinated Debt Hedges | $ | 1,000 | $ | (10 | ) | $ | 10 | $ | 20 | (1.00 | )% | 1.00 | % | 2.00 | % | |||||||||||||
$ | 1,000 | $ | (10 | ) | $ | 10 | $ | 20 | ||||||||||||||||||||
Gross Totals | $ | 2,136 | $ | (2,619 | ) | $ | (5,995 | ) |
($ in thousands) | ||||||||||||||||||||
Ending | Maximum | Average | Difference Between Ending | |||||||||||||||||
Balance | Balance | Balance | Repurchase Agreements and | |||||||||||||||||
of Repurchase | of Repurchase | of Repurchase | Average Repurchase Agreements | |||||||||||||||||
Three Months Ended | Agreements | Agreements | Agreements | Amount | Percent | |||||||||||||||
September 30, 2020 | $ | 70,685 | $ | 70,794 | $ | 61,151 | $ | 9,534 | 15.59 | %(1) | ||||||||||
June 30, 2020 | 51,617 | 52,068 | 51,987 | (370 | ) | (0.71 | )% | |||||||||||||
March 31, 2020 | 52,357 | 214,921 | 131,156 | (78,799 | ) | (60.08 | )%(2) | |||||||||||||
December 31, 2019 | 209,954 | 239,243 | 182,215 | 27,739 | 15.22 | %(3) | ||||||||||||||
September 30, 2019 | 154,475 | 200,552 | 177,566 | (23,091 | ) | (13.00 | )%(4) | |||||||||||||
June 30, 2019 | 200,656 | 200,776 | 199,901 | 755 | 0.38 | % | ||||||||||||||
March 31, 2019 | 199,146 | 200,113 | 199,771 | (625 | ) | (0.31 | )% |
(in thousands) | ||||||||||||||||||||
Obligations Maturing | ||||||||||||||||||||
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | ||||||||||||||||
Repurchase agreements | $ | 70,684 | $ | - | $ | - | $ | - | $ | 70,684 | ||||||||||
Interest expense on repurchase agreements(1) | 77 | - | - | - | 77 | |||||||||||||||
Junior subordinated notes(2) | - | - | - | 26,000 | 26,000 | |||||||||||||||
Interest expense on junior subordinated notes(1) | 1,032 | 1,977 | 1,980 | 10,098 | 15,087 | |||||||||||||||
Principal and interest on mortgage loan(1) | 54 | 107 | 107 | 757 | 1,025 | |||||||||||||||
Totals | $ | 71,847 | $ | 2,084 | $ | 2,087 | $ | 36,855 | $ | 112,873 |
3.2 3.3 | ||
By: | ||||