Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2023 | Oct. 27, 2023 | |
Document Information [Line Items] | ||
Entity Central Index Key | 0001518621 | |
Entity Registrant Name | Orchid Island Capital, Inc. | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Period Focus | Q3 | |
Document Fiscal Year Focus | 2023 | |
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2023 | |
Document Transition Report | false | |
Entity File Number | 001-35236 | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-3269228 | |
Entity Address, Address Line One | 3305 Flamingo Drive | |
Entity Address, City or Town | Vero Beach | |
Entity Address, State or Province | FL | |
Entity Address, Postal Zip Code | 32963 | |
City Area Code | 772 | |
Local Phone Number | 231-1400 | |
Title of 12(b) Security | Common Stock, $0.01 par value | |
Trading Symbol | ORC | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 52,332,306 |
Condensed Balance Sheets (Curre
Condensed Balance Sheets (Current Period Unaudited) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
ASSETS: | ||
Pledged assets | $ 4,520,225 | $ 3,540,002 |
Pledged assets | 0 | 36,382 |
Pledged assets, available for sale | 98,326 | 0 |
Cash and cash equivalents | 158,603 | 205,651 |
Restricted cash | 119,614 | 31,568 |
Accrued interest receivable | 17,316 | 11,519 |
Derivative assets | 20,605 | 40,172 |
Other assets | 2,204 | 442 |
Total Assets | 4,936,893 | 3,865,736 |
LIABILITIES: | ||
Repurchase agreements | 4,426,947 | 3,378,445 |
Dividends payable | 8,398 | 5,908 |
Derivative liabilities | 2,731 | 7,161 |
Accrued interest payable | 15,836 | 9,209 |
Other liabilities | 14,888 | 25,119 |
Total Liabilities | 4,470,052 | 3,426,973 |
COMMITMENTS AND CONTINGENCIES | ||
STOCKHOLDERS' EQUITY: | ||
Preferred stock, $0.01 par value; 20,000,000 shares authorized; no shares issued and outstanding as of September 30, 2023 and December 31, 2022 | 0 | 0 |
Common Stock, $0.01 par value; 100,000,000 shares authorized, 52,332,306 shares issued and outstanding as of September 30, 2023 and 36,764,983 shares issued and outstanding as of December 31, 2022 | 523 | 368 |
Additional paid-in capital | 873,862 | 779,602 |
Accumulated deficit | (407,560) | (341,207) |
Accumulated other comprehensive income | 16 | 0 |
Total Stockholders' Equity | 466,841 | 438,763 |
Total Liabilities and Stockholders' Equity | 4,936,893 | 3,865,736 |
Related Party [Member] | ||
LIABILITIES: | ||
Due to affiliates | $ 1,252 | $ 1,131 |
Condensed Balance Sheets (Cur_2
Condensed Balance Sheets (Current Period Unaudited) (Parentheticals) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Pledged assets | $ 4,520,225 | $ 3,540,002 |
Pledged assets | 0 | 36,382 |
Pledged assets, available for sale | $ 98,326 | $ 0 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, authorized (in shares) | 20,000,000 | 20,000,000 |
Preferred stock, issued (in shares) | 0 | 0 |
Preferred stock, outstanding (in shares) | 0 | 0 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, authorized (in shares) | 100,000,000 | 100,000,000 |
Common stock, issued (in shares) | 52,332,306 | 36,764,983 |
Common stock, outstanding (in shares) | 52,332,306 | 36,764,983 |
Asset Pledged as Collateral [Member] | ||
Pledged assets | $ 4,515,127 | $ 3,512,640 |
Pledged assets | $ 36,382 | |
Pledged assets, available for sale | $ 95,076 |
Condensed Statements of Compreh
Condensed Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Interest income | $ 50,107 | $ 35,610 | $ 128,030 | $ 112,735 |
Interest expense | (58,705) | (21,361) | (149,593) | (32,196) |
Net interest (expense) income | (8,598) | 14,249 | (21,563) | 80,539 |
Unrealized losses on mortgage-backed securities and U.S. Treasury securities | (208,932) | (212,221) | (224,576) | (692,781) |
Gains on derivative and other hedging instruments | 142,042 | 183,931 | 194,253 | 464,796 |
Net portfolio loss | (75,488) | (80,184) | (51,886) | (280,118) |
Management fees | 2,870 | 2,616 | 8,216 | 7,881 |
Allocated overhead | 557 | 522 | 1,772 | 1,482 |
Incentive compensation | 322 | 212 | 1,110 | 763 |
Directors' fees and liability insurance | 345 | 308 | 986 | 929 |
Audit, legal and other professional fees | 301 | 293 | 1,200 | 899 |
Direct REIT operating expenses | 193 | 175 | 531 | 683 |
Other administrative | 56 | 203 | 652 | 624 |
Total expenses | 4,644 | 4,329 | 14,467 | 13,261 |
Net loss | (80,132) | (84,513) | (66,353) | (293,379) |
Unrealized gains on U.S. Treasury securities measured at fair value through other comprehensive net loss | 16 | 0 | 16 | 0 |
Comprehensive net loss | $ (80,116) | $ (84,513) | $ (66,337) | $ (293,379) |
Basic and diluted net loss per share (in dollars per share) | $ (1.68) | $ (2.40) | $ (1.58) | $ (8.31) |
Weighted Average Shares Outstanding (in shares) | 47,773,409 | 35,205,888 | 42,103,532 | 35,336,702 |
Dividends declared per common share (in dollars per share) | $ 0.480 | $ 0.545 | $ 1.440 | $ 1.995 |
Collateralized Mortgage-Backed Securities [Member] | ||||
Realized losses on mortgage-backed securities | $ 0 | $ (66,143) | $ 0 | $ (132,672) |
Condensed Statements of Stockho
Condensed Statements of Stockholders' Equity (Unaudited) - USD ($) $ in Thousands | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | AOCI Attributable to Parent [Member] | Total | |
Balances (in shares) at Dec. 31, 2021 | 35,399,000 | |||||
Balances at Dec. 31, 2021 | $ 354 | $ 850,497 | $ (82,754) | $ 0 | $ 768,097 | |
Net income (loss) | 0 | 0 | (148,727) | 0 | (148,727) | |
Cash dividends declared | $ 0 | (27,492) | 0 | 0 | (27,492) | |
Stock based awards and amortization (in shares) | 25,000 | |||||
Stock based awards and amortization | $ 0 | 540 | 0 | 0 | 540 | |
Balances (in shares) at Mar. 31, 2022 | 35,424,000 | |||||
Balances at Mar. 31, 2022 | $ 354 | 823,545 | (231,481) | 0 | 592,418 | |
Balances (in shares) at Dec. 31, 2021 | 35,399,000 | |||||
Balances at Dec. 31, 2021 | $ 354 | 850,497 | (82,754) | 0 | 768,097 | |
Net income (loss) | (293,379) | |||||
Unrealized gain on available-for-sale securities | $ 0 | |||||
Balances (in shares) at Sep. 30, 2022 | 35,066,000 | 35,066,000 | ||||
Balances at Sep. 30, 2022 | $ 351 | 776,159 | (376,133) | 0 | $ 400,377 | |
Balances (in shares) at Dec. 31, 2021 | 35,399,000 | |||||
Balances at Dec. 31, 2021 | $ 354 | 850,497 | (82,754) | 0 | $ 768,097 | |
Issuance of common stock pursuant to public offerings, net (in shares) | 3,885,048 | |||||
Issuance of common stock pursuant to public offerings, net | [1] | $ 40,580 | ||||
Balances (in shares) at Dec. 31, 2022 | 36,765,000 | |||||
Balances at Dec. 31, 2022 | $ 368 | 779,602 | (341,207) | 0 | 438,763 | |
Balances (in shares) at Mar. 31, 2022 | 35,424,000 | |||||
Balances at Mar. 31, 2022 | $ 354 | 823,545 | (231,481) | 0 | 592,418 | |
Net income (loss) | 0 | 0 | (60,139) | 0 | (60,139) | |
Cash dividends declared | $ 0 | (23,936) | 0 | 0 | (23,936) | |
Stock based awards and amortization (in shares) | 2,000 | |||||
Stock based awards and amortization | $ 0 | 237 | 0 | 0 | 237 | |
Shares repurchased and retired (in shares) | (175,000) | |||||
Shares repurchased and retired | $ (1) | (2,217) | 0 | 0 | (2,218) | |
Balances (in shares) at Jun. 30, 2022 | 35,251,000 | |||||
Balances at Jun. 30, 2022 | $ 353 | 797,629 | (291,620) | 0 | 506,362 | |
Net income (loss) | 0 | 0 | (84,513) | 0 | (84,513) | |
Cash dividends declared | $ 0 | (19,231) | 0 | 0 | (19,231) | |
Stock based awards and amortization (in shares) | 1,000 | |||||
Stock based awards and amortization | $ 0 | 143 | 0 | 0 | 143 | |
Shares repurchased and retired (in shares) | (186,000) | |||||
Shares repurchased and retired | $ (2) | (2,382) | 0 | 0 | (2,384) | |
Unrealized gain on available-for-sale securities | $ 0 | |||||
Balances (in shares) at Sep. 30, 2022 | 35,066,000 | 35,066,000 | ||||
Balances at Sep. 30, 2022 | $ 351 | 776,159 | (376,133) | 0 | $ 400,377 | |
Balances (in shares) at Dec. 31, 2022 | 36,765,000 | |||||
Balances at Dec. 31, 2022 | $ 368 | 779,602 | (341,207) | 0 | 438,763 | |
Net income (loss) | 0 | 0 | 3,530 | 0 | 3,530 | |
Cash dividends declared | $ 0 | (18,807) | 0 | 0 | (18,807) | |
Stock based awards and amortization (in shares) | 4,000 | |||||
Stock based awards and amortization | $ 0 | 181 | 0 | 0 | 181 | |
Issuance of common stock pursuant to public offerings, net (in shares) | 2,690,000 | |||||
Issuance of common stock pursuant to public offerings, net | $ 26 | 31,631 | 0 | 0 | 31,657 | |
Shares repurchased and retired (in shares) | (373,000) | |||||
Shares repurchased and retired | $ (3) | (3,960) | 0 | 0 | (3,963) | |
Balances (in shares) at Mar. 31, 2023 | 39,086,000 | |||||
Balances at Mar. 31, 2023 | $ 391 | 788,647 | (337,677) | 0 | 451,361 | |
Balances (in shares) at Dec. 31, 2022 | 36,765,000 | |||||
Balances at Dec. 31, 2022 | $ 368 | 779,602 | (341,207) | 0 | 438,763 | |
Net income (loss) | $ (66,353) | |||||
Issuance of common stock pursuant to public offerings, net (in shares) | 15,880,039 | |||||
Issuance of common stock pursuant to public offerings, net | [1] | $ 159,438 | ||||
Unrealized gain on available-for-sale securities | $ 16 | |||||
Balances (in shares) at Sep. 30, 2023 | 52,332,000 | 52,332,000 | ||||
Balances at Sep. 30, 2023 | $ 523 | 873,862 | (407,560) | 16 | $ 466,841 | |
Balances (in shares) at Mar. 31, 2023 | 39,086,000 | |||||
Balances at Mar. 31, 2023 | $ 391 | 788,647 | (337,677) | 0 | 451,361 | |
Net income (loss) | 0 | 0 | 10,249 | 0 | 10,249 | |
Cash dividends declared | $ 0 | (19,671) | 0 | 0 | (19,671) | |
Stock based awards and amortization (in shares) | 53,000 | |||||
Stock based awards and amortization | $ 1 | 790 | 0 | 0 | 791 | |
Issuance of common stock pursuant to public offerings, net (in shares) | 4,758,000 | |||||
Issuance of common stock pursuant to public offerings, net | $ 47 | 47,308 | 0 | 0 | 47,355 | |
Balances (in shares) at Jun. 30, 2023 | 43,897,000 | |||||
Balances at Jun. 30, 2023 | $ 439 | 817,074 | (327,428) | 0 | 490,085 | |
Net income (loss) | 0 | 0 | (80,132) | 0 | (80,132) | |
Cash dividends declared | $ 0 | (23,823) | 0 | 0 | (23,823) | |
Stock based awards and amortization (in shares) | 3,000 | |||||
Stock based awards and amortization | $ 0 | 269 | 0 | 0 | 269 | |
Issuance of common stock pursuant to public offerings, net (in shares) | 8,432,000 | |||||
Issuance of common stock pursuant to public offerings, net | $ 84 | 80,342 | 0 | 0 | 80,426 | |
Unrealized gain on available-for-sale securities | $ 0 | 0 | 0 | 16 | $ 16 | |
Balances (in shares) at Sep. 30, 2023 | 52,332,000 | 52,332,000 | ||||
Balances at Sep. 30, 2023 | $ 523 | $ 873,862 | $ (407,560) | $ 16 | $ 466,841 | |
[1]Net proceeds are net of the underwriters' discount, if applicable, and other offering costs. |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 | Sep. 30, 2022 | |
CASH FLOWS FROM OPERATING ACTIVITIES: | ||
Net loss | $ (66,353) | $ (293,379) |
Adjustments to reconcile net loss to net cash provided by operating activities: | ||
Stock based compensation | 939 | 552 |
Discount accretion on U.S. Treasury Bills | (521) | 0 |
Realized losses on mortgage-backed securities | 0 | 132,672 |
Unrealized losses on mortgage-backed securities and U.S. Treasury securities | 224,576 | 692,781 |
Realized and unrealized gains on derivative instruments | (111,100) | (261,364) |
Changes in operating assets and liabilities: | ||
Accrued interest receivable | (5,797) | 8,332 |
Other assets | (108) | (353) |
Accrued interest payable | 6,627 | 3,636 |
Other liabilities | 441 | 7,770 |
Due to affiliates | 121 | 13 |
NET CASH PROVIDED BY OPERATING ACTIVITIES | 48,825 | 290,660 |
CASH FLOWS FROM INVESTING ACTIVITIES: | ||
Net proceeds from derivative instruments | 114,494 | 246,321 |
NET CASH (USED IN) PROVIDED BY INVESTING ACTIVITIES | (1,151,718) | 2,731,452 |
CASH FLOWS FROM FINANCING ACTIVITIES: | ||
Proceeds from repurchase agreements | 27,780,008 | 32,427,448 |
Principal payments on repurchase agreements | (26,731,506) | (35,537,693) |
Cash dividends | (59,762) | (76,527) |
Proceeds from issuance of common stock, net of issuance costs | 159,438 | 0 |
Common stock repurchases, including shares withheld from employee stock awards for payment of taxes | (4,287) | (4,830) |
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES | 1,143,891 | (3,191,602) |
NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 40,998 | (169,490) |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period | 237,219 | 450,442 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period | 278,217 | 280,952 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: | ||
Interest | 142,965 | 28,560 |
Collateralized Mortgage-Backed Securities [Member] | ||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||
Purchases | (1,443,827) | (622,535) |
Sales and maturities | 0 | 2,731,497 |
Principal repayments | 237,904 | 376,169 |
US Treasury Securities [Member] | ||
CASH FLOWS FROM INVESTING ACTIVITIES: | ||
Purchases | (97,789) | 0 |
Proceeds from maturity of U.S. Treasury securities | $ 37,500 | $ 0 |
Note 1 - Organization and Signi
Note 1 - Organization and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Organization, Consolidation and Presentation of Financial Statements Disclosure and Significant Accounting Policies [Text Block] | NOTE 1. Organization and Business Description Orchid Island Capital, Inc. (“Orchid” or the “Company”) was incorporated in Maryland on August 17, 2010 February 20, 2013, November 24, 2010 ( November 24, 2010, On October 29, 2021, “October 2021 four October 2021 March 2023. On March 7, 2023, “March 2023 three may September 30, 2023 , the Company issued a total of 13,190,039 shares under the March 2023 Basis of Presentation and Use of Estimates The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10 8 X. not nine three September 30, 2023 not may December 31, 2023 The balance sheet at December 31, 2022 not 10 December 31, 2022 The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of September 30, 2023 Reclassification of Comparative Period Information The Company previously reported $1.6 million and $0.9 million of commissions, fees and other expenses associated with its derivative holdings for the nine three September 30, 2022, Common Stock Reverse Split On August 30, 2022, 1 5 Variable Interest Entities ( VIEs ) The Company obtains interests in VIEs through its investments in mortgage-backed securities. The Company’s interests in these VIEs are passive in nature and are not not 2 Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) September 30, 2023 December 31, 2022 Cash and cash equivalents $ 158,603 $ 205,651 Restricted cash 119,614 31,568 Total cash, cash equivalents and restricted cash $ 278,217 $ 237,219 The Company maintains cash balances at three three may not $250,000 not Mortgage-Backed Securities and U.S. Treasury Securities The Company invests primarily in mortgage pass-through (“PT”) residential mortgage backed securities (“RMBS”) and collateralized mortgage obligations (“CMOs”) issued by Freddie Mac, Fannie Mae or Ginnie Mae, interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company refers to RMBS and CMOs as PT RMBS. The Company refers to IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes and U.S. Treasury Bills, primarily to satisfy collateral requirements of derivative counterparties. The Company has elected to account for its investment in RMBS and U.S. Treasury Notes under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the statements of comprehensive income, which, in management’s view, more appropriately reflects the results of the Company’s operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company has designated its U.S. Treasury Bills as available-for-sale. The Company records securities transactions on the trade date. Security purchases that have not not Fair value is defined as the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third Income on PT RMBS and U.S. Treasury Notes is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not U.S. Treasury Bills are zero not Derivative and Other Hedging Instruments The Company uses derivative and other hedging instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may may The Company accounts for TBA securities as derivative instruments. Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of comprehensive income. Derivative and other hedging instruments are carried at fair value, and changes in fair value are recorded in statements of comprehensive income as gains or losses on derivative and other hedging instruments for each period. The Company’s derivative financial instruments are not Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In the event of default by a counterparty, the Company may may not Financial Instruments The fair value of financial instruments for which it is practicable to estimate that value is disclosed either in the body of the financial statements or in the accompanying notes. RMBS, Fed Funds and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 13 Repurchase Agreements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Repurchase agreements are accounted for as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. Manager Compensation The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 14 Earnings Per Share Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted EPS is calculated using the treasury stock or two not Stock-Based Compensation The Company may not Income Taxes Orchid has elected and is organized and operated so as to qualify to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, not 90% Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no Recent Accounting Pronouncements In March 2020, 2020 04 Reference Rate Reform (Topic 848 2020 04 2020 04 not 2020 04 may December 31, 2022, December 2022, 2022 06 848 2020 04 December 31, 2022 December 31, 2024. second 2023 not In January 2021, 2021 01 Reference Rate Reform (Topic 848 2021 01 848 2021 01 2021 01 December 31, 2024, second 2023 not |
Note 2 - Mortgage-backed Securi
Note 2 - Mortgage-backed Securities and U.S. Treasury Securities, At Fair Value | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | NOTE 2. The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of September 30, 2023 December 31, 2022 (in thousands) September 30, 2023 December 31, 2022 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 4,502,115 $ 3,519,906 Total Pass-Through Certificates 4,502,115 3,519,906 Structured RMBS Certificates: Interest-Only Securities 17,833 19,669 Inverse Interest-Only Securities 277 427 Total Structured RMBS Certificates 18,110 20,096 Total $ 4,520,225 $ 3,540,002 As of December 31, 2022 The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the nine September 30, 2023 2022 (in thousands) Nine Months Ended September 30, 2023 2022 Proceeds from sales of RMBS $ - $ 2,731,497 Carrying value of RMBS sold - (2,864,169 ) Net loss on sales of RMBS $ - $ (132,672 ) Gross gain on sales of RMBS $ - $ 2,705 Gross loss on sales of RMBS - (135,377 ) Net loss on sales of RMBS $ - $ (132,672 ) |
Note 3 - U.S. Treasury Securiti
Note 3 - U.S. Treasury Securities, Available-for-sale | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Available-for-sale Debt Securities [Text Block] | NOTE 3. As of September 30, 2023 The amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of September 30, 2023 (in thousands) Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value U.S. Treasury Bills maturing 1/2/2024 and 2/15/2024 $ 98,310 $ 16 $ - $ 98,326 The Company had no securities classified as available-for-sale that were in an unrealized loss position as of September 30, 2023 December 31, 2022. |
Note 4 - Repurchase Agreements
Note 4 - Repurchase Agreements | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | NOTE 4. The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is generally paid at the termination of a borrowing. If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may September 30, 2023 As of September 30, 2023 December 31, 2022 ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL September 30, 2023 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,346,245 $ 2,190,822 $ - $ 4,537,067 Repurchase agreement liabilities associated with these securities $ - $ 2,287,107 $ 2,139,840 $ - $ 4,426,947 Net weighted average borrowing rate - 5.47 % 5.52 % - 5.49 % December 31, 2022 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,496,769 $ 884,632 $ 142,658 $ 3,524,059 Repurchase agreement liabilities associated with these securities $ - $ 2,404,329 $ 837,299 $ 136,817 $ 3,378,445 Net weighted average borrowing rate - 4.43 % 4.51 % 4.15 % 4.44 % Included in the table above are repurchase agreements with outstanding principal balances of approximately $52.5 million and $190.3 million as of September 30, 2023 December 31, 2022 In addition, cash pledged to counterparties for repurchase agreements was approximately $ 113.3 September 30, 2023 December 31, 2022 If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable and cash posted by the Company as collateral. At September 30, 2023 not 10% September 30, 2023 December 31, 2022 |
Note 5 - Derivative and Other H
Note 5 - Derivative and Other Hedging Instruments | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 1 to ≤ 5 years $ 500,000 0.84 % 5.31 % 3.0 Expiration > 5 years 2,126,500 2.84 % 5.31 % 7.4 $ 2,626,500 2.46 % 5.31 % 6.6 December 31, 2022 Expiration > 1 to ≤ 5 years $ 500,000 0.84 % 4.75 % 3.7 Expiration > 5 years 900,000 1.70 % 4.23 % 6.6 $ 1,400,000 1.39 % 4.41 % 5.6 As of September 30, 2023 October 23, 2023 February 24, 2024 September 10, 2023. Our interest rate swaps are centrally cleared through two The table below presents information related to the Company’s interest rate cap positions at September 30, 2023 December 31, 2022 ($ in thousands) Strike Notional Swap Curve Fair Amount Cost Rate Spread Value September 30, 2023 February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 704 December 31, 2022 February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 1,119 The table below presents information related to the Company’s interest rate floor positions at September 30, 2023 ($ in thousands) Strike Notional Swap Fair Amount Cost Rate Terms Value September 30, 2023 Long Position $ 1,000,000 $ 2,500 0.13 % 2Y_2s30s $ 3,981 Short Position $ (1,000,000 ) $ (1,358 ) (0.37 )% 2Y_2s30s $ (2,500 ) The table below presents information related to the Company’s interest rate swaption positions at September 30, 2023 December 31, 2022 ($ in thousands) Option Underlying Swap Weighted Weighted Average Average Average Average Fair Months to Notional Fixed Adjustable Term Expiration Cost Value Expiration Amount Rate Rate (Years) September 30, 2023 Payer Swaptions (long positions) ≤ 1 year $ 1,619 $ 1,418 8.0 $ 800,000 5.40 % SOFR 1.0 $ 1,619 $ 1,418 8.0 $ 800,000 5.40 % 1.0 December 31, 2022 Payer Swaptions (long positions) ≤ 1 year $ 36,685 $ 21,253 9.6 $ 1,250,000 4.09 % SOFR 10.0 > 10 years 11,021 12,145 239.5 120,000 2.05 % SOFR 10.0 $ 47,706 $ 33,398 29.8 $ 1,370,000 3.91 % 10.0 Payer Swaptions (short positions) ≤ 1 year $ (17,800 ) $ (5,982 ) 3.6 $ (917,000 ) 4.09 % SOFR 10.0 The following table summarizes the Company’s contracts to purchase and sell TBA securities as of September 30, 2023 December 31, 2022 ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2023 15-Year TBA securities: 5.0% $ 100,000 $ 97,617 $ 97,386 $ (231 ) 30-Year TBA securities: 3.0% (350,000 ) (297,154 ) (290,116 ) 7,038 6.0% (100,000 ) (99,872 ) (98,766 ) 1,106 6.5% (152,500 ) (154,382 ) (153,310 ) 1,072 Total $ (502,500 ) $ (453,791 ) $ (444,806 ) $ 8,985 December 31, 2022 30-Year TBA securities: 2.0% $ (175,000 ) $ (142,268 ) $ (143,145 ) $ (877 ) 3.0% (500,000 ) (440,644 ) (440,274 ) 370 Total $ (675,000 ) $ (582,912 ) $ (583,419 ) $ (507 ) ( 1 Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. ( 2 Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. ( 3 Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. ( 4 Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) at fair value in the balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of comprehensive income for the nine three September 30, 2023 2022 (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2023 2022 2023 2022 T-Note futures contracts (short position) $ 66,642 $ 207,165 $ 42,640 $ 84,543 Interest rate swaps 101,257 170,987 78,317 65,247 Payer swaptions (short positions) 4,113 (80,183 ) (718 ) (35,239 ) Payer swaptions (long positions) (7,389 ) 150,445 1,613 59,131 Interest rate caps (415 ) 988 493 (499 ) Interest rate floors (short positions) (1,143 ) - 73 - Interest rate floors (long positions) 2,666 137 TBA securities (short positions) 31,120 14,194 21,511 10,642 TBA securities (long positions) (2,598 ) 1,200 (2,024 ) 106 Total $ 194,253 $ 464,796 $ 142,042 $ 183,931 Credit Risk-Related Contingent Features The use of derivatives and other hedging instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties for instruments which are not may may not may It is the Company's policy not" id="sjs-B4">NOTE 5. The table below summarizes fair value information about the Company’s derivative and other hedging instruments assets and liabilities as of September 30, 2023 December 31, 2022 (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2023 December 31, 2022 Assets Interest rate swaps Derivative assets, at fair value $ 5,286 $ 4,983 Payer swaptions (long positions) Derivative assets, at fair value 1,418 33,398 Interest rate caps Derivative assets, at fair value 704 1,119 Interest rate floors (long positions) Derivative assets, at fair value 3,981 - TBA securities Derivative assets, at fair value 9,216 672 Total derivative assets, at fair value $ 20,605 $ 40,172 Liabilities Payer swaptions (short positions) Derivative liabilities, at fair value $ - $ 5,982 Interest rate floors (short positions) Derivative liabilities, at fair value 2,500 - TBA securities Derivative liabilities, at fair value 231 1,179 Total derivative liabilities, at fair value $ 2,731 $ 7,161 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 3,067 $ 16,493 TBA securities Restricted cash 1,670 1,734 TBA securities Other liabilities (11,052 ) (532 ) Interest rate swaptions Restricted cash 1,530 - Interest rate swaptions Other liabilities (1,520 ) (12,489 ) Total margin balances on derivative contracts $ (6,305 ) $ 5,206 Fed Funds and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s T-Note futures positions at September 30, 2023 December 31, 2022 ($ in thousands) September 30, 2023 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short Positions)(2) December 2023 5-year T-Note futures (Dec 2023 - Feb 2028 Hedge Period) $ 471,500 4.33 % 4.78 % $ 5,414 December 2023 10-year T-Note futures (Dec 2023 - Aug 2030 Hedge Period) $ 395,000 4.24 % 4.97 % $ 9,069 ($ in thousands) December 31, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short Position)(2) March 2023 5-year T-Note futures (Mar 2023 - Mar 2028 Hedge Period) $ 750,500 4.20 % 4.22 % $ (100 ) March 2023 10-year Ultra futures (Mar 2023 - Mar 2033 Hedge Period) $ 174,500 3.66 % 3.79 % $ 965 ( 1 Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. ( 2 5 at September 30, 2023 and at December 31, 2022 . The contract values of the short positions were and at September 30, 2023 and December 31, 2022 , respectively. 10 at September 30, 2023 . The contract values of the short positions were at September 30, 2023 . Under its interest rate swap agreements, the Company typically pays a fixed rate and receives a floating rate ("payer swaps") based on an index, such as SOFR. The floating rate the Company receives under its swap agreements has the effect of offsetting the repricing characteristics of its repurchase agreements and cash flows on such liabilities. The Company is typically required to post margin on its interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at September 30, 2023 December 31, 2022 ($ in thousands) Average Fixed Average Average Notional Pay Receive Maturity Amount Rate Rate (Years) September 30, 2023 Expiration > 1 to ≤ 5 years $ 500,000 0.84 % 5.31 % 3.0 Expiration > 5 years 2,126,500 2.84 % 5.31 % 7.4 $ 2,626,500 2.46 % 5.31 % 6.6 December 31, 2022 Expiration > 1 to ≤ 5 years $ 500,000 0.84 % 4.75 % 3.7 Expiration > 5 years 900,000 1.70 % 4.23 % 6.6 $ 1,400,000 1.39 % 4.41 % 5.6 As of September 30, 2023 October 23, 2023 February 24, 2024 September 10, 2023. Our interest rate swaps are centrally cleared through two The table below presents information related to the Company’s interest rate cap positions at September 30, 2023 December 31, 2022 ($ in thousands) Strike Notional Swap Curve Fair Amount Cost Rate Spread Value September 30, 2023 February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 704 December 31, 2022 February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 1,119 The table below presents information related to the Company’s interest rate floor positions at September 30, 2023 ($ in thousands) Strike Notional Swap Fair Amount Cost Rate Terms Value September 30, 2023 Long Position $ 1,000,000 $ 2,500 0.13 % 2Y_2s30s $ 3,981 Short Position $ (1,000,000 ) $ (1,358 ) (0.37 )% 2Y_2s30s $ (2,500 ) The table below presents information related to the Company’s interest rate swaption positions at September 30, 2023 December 31, 2022 ($ in thousands) Option Underlying Swap Weighted Weighted Average Average Average Average Fair Months to Notional Fixed Adjustable Term Expiration Cost Value Expiration Amount Rate Rate (Years) September 30, 2023 Payer Swaptions (long positions) ≤ 1 year $ 1,619 $ 1,418 8.0 $ 800,000 5.40 % SOFR 1.0 $ 1,619 $ 1,418 8.0 $ 800,000 5.40 % 1.0 December 31, 2022 Payer Swaptions (long positions) ≤ 1 year $ 36,685 $ 21,253 9.6 $ 1,250,000 4.09 % SOFR 10.0 > 10 years 11,021 12,145 239.5 120,000 2.05 % SOFR 10.0 $ 47,706 $ 33,398 29.8 $ 1,370,000 3.91 % 10.0 Payer Swaptions (short positions) ≤ 1 year $ (17,800 ) $ (5,982 ) 3.6 $ (917,000 ) 4.09 % SOFR 10.0 The following table summarizes the Company’s contracts to purchase and sell TBA securities as of September 30, 2023 December 31, 2022 ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2023 15-Year TBA securities: 5.0% $ 100,000 $ 97,617 $ 97,386 $ (231 ) 30-Year TBA securities: 3.0% (350,000 ) (297,154 ) (290,116 ) 7,038 6.0% (100,000 ) (99,872 ) (98,766 ) 1,106 6.5% (152,500 ) (154,382 ) (153,310 ) 1,072 Total $ (502,500 ) $ (453,791 ) $ (444,806 ) $ 8,985 December 31, 2022 30-Year TBA securities: 2.0% $ (175,000 ) $ (142,268 ) $ (143,145 ) $ (877 ) 3.0% (500,000 ) (440,644 ) (440,274 ) 370 Total $ (675,000 ) $ (582,912 ) $ (583,419 ) $ (507 ) ( 1 Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. ( 2 Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. ( 3 Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. ( 4 Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) at fair value in the balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of comprehensive income for the nine three September 30, 2023 2022 (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2023 2022 2023 2022 T-Note futures contracts (short position) $ 66,642 $ 207,165 $ 42,640 $ 84,543 Interest rate swaps 101,257 170,987 78,317 65,247 Payer swaptions (short positions) 4,113 (80,183 ) (718 ) (35,239 ) Payer swaptions (long positions) (7,389 ) 150,445 1,613 59,131 Interest rate caps (415 ) 988 493 (499 ) Interest rate floors (short positions) (1,143 ) - 73 - Interest rate floors (long positions) 2,666 137 TBA securities (short positions) 31,120 14,194 21,511 10,642 TBA securities (long positions) (2,598 ) 1,200 (2,024 ) 106 Total $ 194,253 $ 464,796 $ 142,042 $ 183,931 Credit Risk-Related Contingent Features The use of derivatives and other hedging instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties for instruments which are not may may not may It is the Company's policy not |
Note 6 - Pledged Assets
Note 6 - Pledged Assets | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Pledged Assets [Text Block] | NOTE 6. Assets Pledged to Counterparties The table below summarizes the Company’s assets pledged as collateral under repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not September 30, 2023 December 31, 2022 (in thousands) September 30, 2023 December 31, 2022 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 4,497,017 $ - $ 4,497,017 $ 3,492,544 $ - $ 3,492,544 Structured RMBS - fair value 18,110 - 18,110 20,096 - 20,096 U.S. Treasury securities 4,641 90,435 95,076 - 36,382 36,382 Accrued interest on pledged securities 17,299 - 17,299 11,419 16 11,435 Restricted cash 113,347 6,267 119,614 13,341 18,227 31,568 Total $ 4,650,414 $ 96,702 $ 4,747,116 $ 3,537,400 $ 54,625 $ 3,592,025 Assets Pledged from Counterparties The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of September 30, 2023 December 31, 2022 (in thousands) September 30, 2023 December 31, 2022 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ - $ 12,572 $ 12,572 $ 3,075 $ 13,021 $ 16,096 U.S. Treasury securities - fair value - - $ - 197 - 197 Total $ - $ 12,572 $ 12,572 $ 3,272 $ 13,021 $ 16,293 Cash received as margin is recognized as cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements or other liabilities in the balance sheets. |
Note 7 - Offsetting Assets and
Note 7 - Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Offsetting Assets and Liabilities [Text Block] | NOTE 7. The Company’s derivative agreements and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis in the case of repurchase agreements and for certain derivative agreements. CME and LCH rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME or LCH serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date. The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of September 30, 2023 December 31, 2022 (in thousands) Offsetting of Assets Gross Amount Not Net Amount Offset in the Balance Sheet of Assets Financial Gross Amount Gross Amount Presented Instruments Cash of Recognized Offset in the in the Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount September 30, 2023 Interest rate swaps $ 5,286 $ - $ 5,286 $ - $ - $ 5,286 Interest rate swaptions 1,418 - 1,418 - (1,418 ) - Interest rate caps 704 - 704 - - 704 Interest rate floors 3,981 - 3,981 - - 3,981 TBA securities 9,216 - 9,216 - (9,216 ) - $ 20,605 $ - $ 20,605 $ - $ (10,634 ) $ 9,971 December 31, 2022 Interest rate swaps $ 4,983 $ - $ 4,983 $ - $ - $ 4,983 Interest rate swaptions 33,398 - 33,398 - (12,489 ) 20,909 Interest rate caps 1,119 - 1,119 - - 1,119 TBA securities 672 - 672 - (532 ) 140 $ 40,172 $ - $ 40,172 $ - $ (13,021 ) $ 27,151 (in thousands) Offsetting of Liabilities Gross Amount Not Net Amount Offset in the Balance Sheet of Liabilities Financial Gross Amount Gross Amount Presented Instruments of Recognized Offset in the in the Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral as Collateral Amount September 30, 2023 Repurchase Agreements $ 4,426,947 $ - $ 4,426,947 $ (4,313,600 ) $ (113,347 ) $ - Interest rate swaptions - - - - - - Interest rate floors 2,500 - 2,500 - (1,530 ) 970 TBA securities 231 - 231 - (231 ) - $ 4,429,678 $ - $ 4,429,678 $ (4,313,600 ) $ (115,108 ) $ 970 December 31, 2022 Repurchase Agreements $ 3,378,445 $ - $ 3,378,445 $ (3,365,104 ) $ (13,341 ) $ - Interest rate swaps - - - - - - Interest rate swaptions 5,982 - 5,982 - - 5,982 TBA securities 1,179 - 1,179 - (1,179 ) - $ 3,385,606 $ - $ 3,385,606 $ (3,365,104 ) $ (14,520 ) $ 5,982 The amounts disclosed for collateral received by or posted to the same counterparty up to and not 6 |
Note 8 - Capital Stock
Note 8 - Capital Stock | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Equity [Text Block] | NOTE 8. Reverse Stock Split On August 30, 2022, 1 5 Common Stock Issuances During the nine September 30, 2023 December 31, 2022 ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2023 At the Market Offering Program (3) First Quarter $ 11.77 2,690,000 $ 31,657 At the Market Offering Program (3) Second Quarter 9.95 4,757,953 47,355 At the Market Offering Program (3) Third Quarter 9.54 8,432,086 80,426 15,880,039 $ 159,438 2022 At the Market Offering Program (3) First Quarter $ - - $ - At the Market Offering Program (3) Second Quarter - - - At the Market Offering Program (3) Third Quarter - - - At the Market Offering Program(3) Fourth Quarter 10.45 3,885,048 40,580 3,885,048 $ 40,580 ( 1 Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs. ( 2 Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. ( 3 The Company has entered into eleven ten Stock Repurchase Program On July 29, 2015, February 8, 2018, 10% On December 9, 2021, 10% On October 12, 2022, 18% As part of the stock repurchase program, shares may may 10b5 1 1934, 10b 18, not may no From the inception of the stock repurchase program through September 30, 2023 , the Company repurchased a total of shares at an aggregate cost of approximately $ , including commissions and fees, for a weighted average price of $ per share. During the nine September 30, 2023 , the Company repurchased a total of shares at an aggregate cost of approximately $ , including commissions and fees, for a weighted average price of $ per share. December 31, 2022, The remaining authorization under the stock repurchase program as of October 27, 2023 was shares. Cash Dividends The table below presents the cash dividends declared on the Company’s common stock. (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 6.975 $ 4,662 2014 10.800 22,643 2015 9.600 38,748 2016 8.400 41,388 2017 8.400 70,717 2018 5.350 55,814 2019 4.800 54,421 2020 3.950 53,570 2021 3.900 97,601 2022 2.475 87,906 2023 - YTD (1) 1.560 68,604 Totals $ 66.210 $ 596,074 ( 1 On October 11, 2023 November 28, 2023 not September 30, 2023 |
Note 9 - Stock Incentive Plan
Note 9 - Stock Incentive Plan | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Compensation and Employee Benefit Plans [Text Block] | NOTE 9. In 2021, 2021 “2021 2012 “2012 2021 2021 2021 not 2021 may 2021 2021 2012 no 2012 2012 2012 Performance Units The Company has issued, and may one not no The following table presents information related to PUs outstanding during the nine September 30, 2023 2022 ($ in thousands, except per share data) Nine Months Ended September 30, 2023 2022 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 36,921 $ 20.57 26,645 $ 29.40 Granted 76,696 10.82 35,114 16.55 Forfeited(1) - - (8,464 ) 21.40 Vested and issued (13,386 ) 22.09 (7,594 ) 29.40 Unvested, end of period 100,231 $ 12.91 45,701 $ 21.01 Compensation expense during period $ 430 $ 331 Unrecognized compensation expense, end of period $ 757 $ 535 Intrinsic value, end of period $ 853 $ 375 Weighted-average remaining vesting term (in years) 1.4 1.4 ( 1 The number of shares of common stock issuable upon the vesting of the remaining outstanding PUs was reduced as a result of the book value impairment event that occurred pursuant to the terms of the long term equity incentive compensation plans (the “Plans”) established under the Company’s Incentive Plans. The book value impairment event occurred when the Company's book value per share declined by more than 15% March 31, 2022 January 1, 2022 June 30, 2022 10%. two 15%. Stock Awards The Company has issued, and may nine September 30, 2023 2022 nine September 30, 2023 2022 December 31, 2022 2021, ($ in thousands, except per share data) Nine Months Ended September 30, 2023 2022 Fully vested shares granted 76,696 35,114 Weighted average grant date price per share $ 10.82 $ 16.55 Compensation expense related to fully vested shares of common stock awards $ 830 $ 581 Deferred Stock Units Non-employee directors receive a portion of their compensation in the form of DSU awards pursuant to the Incentive Plans. Each DSU represents a right to receive one 2022, not The following table presents information related to the DSUs outstanding during the nine September 30, 2023 2022 ($ in thousands, except per share data) Nine Months Ended September 30, 2023 2022 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 54,197 $ 20.29 28,595 $ 26.92 Granted and vested 29,091 10.50 14,227 16.52 Outstanding, end of period 83,288 $ 16.87 42,822 $ 23.46 Compensation expense during period $ 279 $ 239 Intrinsic value, end of period $ 709 $ 351 |
Note 10 - Commitments and Conti
Note 10 - Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Commitments and Contingencies Disclosure [Text Block] | NOTE 10. From time to time, the Company may not September 30, 2023 |
Note 11 - Income Taxes
Note 11 - Income Taxes | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Income Tax Disclosure [Text Block] | NOTE 11. The Company will generally not 90% 85% 95% may |
Note 12 - Earnings Per Share (E
Note 12 - Earnings Per Share (EPS) | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Earnings Per Share [Text Block] | NOTE 12. The Company had dividend eligible PUs and DSUs that were outstanding during the nine three September 30, 2023 2022 no no not no The table below reconciles the numerator and denominator of EPS for the nine three September 30, 2023 2022 (in thousands, except per share information) Nine Months Ended September 30, Three Months Ended September 30, 2023 2022 2023 2022 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net loss - Basic and diluted $ (66,353 ) $ (293,379 ) $ (80,132 ) $ (84,513 ) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 52,332 35,066 52,332 35,066 Effect of weighting (10,228 ) 271 (4,559 ) 140 Weighted average shares-basic and diluted 42,104 35,337 47,773 35,206 Net loss per common share: Basic and diluted $ (1.58 ) $ (8.31 ) $ (1.68 ) $ (2.40 ) Anti-dilutive incentive shares not included in calculation 184 89 184 79 |
Note 13 - Fair Value
Note 13 - Fair Value | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Fair Value Disclosures [Text Block] | NOTE 13. The framework for using fair value to measure assets and liabilities defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are: ● Level 1 ● Level 2 not ● Level 3 not may not The Company's RMBS and TBA securities are Level 2 third may zero The Company’s U.S. Treasury securities are based on quoted prices for identical instruments in active markets and are classified as Level 1 The Company’s futures contracts are Level 1 2 RMBS (based on the fair value option), derivatives and TBA securities were recorded at fair value on a recurring basis during the nine three September 30, 2023 2022 not The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values as Level 2 September 30, 2023 December 31, 2022 The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of September 30, 2023 December 31, 2022 not (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Assets Inputs Inputs (Level 1) (Level 2) (Level 3) September 30, 2023 Mortgage-backed securities $ - $ 4,520,225 $ - U.S. Treasury securities 98,326 - - Interest rate swaps - 5,286 - Payer swaptions - 1,418 - Interest rate caps - 704 - Interest rate floors 1,481 TBA securities - 8,985 - December 31, 2022 Mortgage-backed securities $ - $ 3,540,002 $ - U.S. Treasury Notes 36,382 - - Interest rate swaps - 4,983 - Payer swaptions - 27,416 - Interest rate caps - 1,119 - TBA securities - (507 ) - During the nine three September 30, 2023 2022 no 1, 2 3. |
Note 14 - Related Party Transac
Note 14 - Related Party Transactions | 9 Months Ended |
Sep. 30, 2023 | |
Notes to Financial Statements | |
Related Party Transactions Disclosure [Text Block] | NOTE 14. Management Agreement The Company is externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a management agreement. The management agreement has been renewed through February 20, 2024 one ● One- twelfth 1.5% first $250 ● One- twelfth 1.25% $250 $500 ● One- twelfth 1.00% $500 On April 1, 2022, third November 16, 2021, March 31, 2022. ● A daily fee equal to the outstanding principal balance of repurchase agreement funding in place as of the end of such day multiplied by 1.5 $5 1.0 $5 ● A fee for the clearing and operational services provided by personnel of the Manager equal to $10,000 The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $10.5 million and $3.6 million for the nine three September 30, 2023 million and $3.3 million for the nine three September 30, 2022 respectively. At September 30, 2023 and December 31, 2022 , the net amount due to affiliates was approximately $ million and $ million, respectively. Other Relationships with Bimini Robert Cauley, the Company’s Chief Executive Officer and Chairman of the Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Bimini. George H. Haas, IV, the Company’s Chief Financial Officer, Chief Investment Officer, Secretary and a member of the Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of September 30, 2023 , Bimini owned 569,071 shares, or 1.1%, of the Company’s common stock. |
Significant Accounting Policies
Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Accounting, Policy [Policy Text Block] | Basis of Presentation and Use of Estimates The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10 8 X. not nine three September 30, 2023 not may December 31, 2023 The balance sheet at December 31, 2022 not 10 December 31, 2022 The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of September 30, 2023 |
Reclassification, Comparability Adjustment [Policy Text Block] | Reclassification of Comparative Period Information The Company previously reported $1.6 million and $0.9 million of commissions, fees and other expenses associated with its derivative holdings for the nine three September 30, 2022, |
Reverse Stock Split Policy [Policy Text Block] | Common Stock Reverse Split On August 30, 2022, 1 5 |
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | Variable Interest Entities ( VIEs ) The Company obtains interests in VIEs through its investments in mortgage-backed securities. The Company’s interests in these VIEs are passive in nature and are not not 2 |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) September 30, 2023 December 31, 2022 Cash and cash equivalents $ 158,603 $ 205,651 Restricted cash 119,614 31,568 Total cash, cash equivalents and restricted cash $ 278,217 $ 237,219 The Company maintains cash balances at three three may not $250,000 not |
Marketable Securities, Policy [Policy Text Block] | Mortgage-Backed Securities and U.S. Treasury Securities The Company invests primarily in mortgage pass-through (“PT”) residential mortgage backed securities (“RMBS”) and collateralized mortgage obligations (“CMOs”) issued by Freddie Mac, Fannie Mae or Ginnie Mae, interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company refers to RMBS and CMOs as PT RMBS. The Company refers to IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes and U.S. Treasury Bills, primarily to satisfy collateral requirements of derivative counterparties. The Company has elected to account for its investment in RMBS and U.S. Treasury Notes under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the statements of comprehensive income, which, in management’s view, more appropriately reflects the results of the Company’s operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company has designated its U.S. Treasury Bills as available-for-sale. The Company records securities transactions on the trade date. Security purchases that have not not Fair value is defined as the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third Income on PT RMBS and U.S. Treasury Notes is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not U.S. Treasury Bills are zero not |
Derivatives, Policy [Policy Text Block] | Derivative and Other Hedging Instruments The Company uses derivative and other hedging instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may may The Company accounts for TBA securities as derivative instruments. Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of comprehensive income. Derivative and other hedging instruments are carried at fair value, and changes in fair value are recorded in statements of comprehensive income as gains or losses on derivative and other hedging instruments for each period. The Company’s derivative financial instruments are not Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In the event of default by a counterparty, the Company may may not |
Fair Value of Financial Instruments, Policy [Policy Text Block] | Financial Instruments The fair value of financial instruments for which it is practicable to estimate that value is disclosed either in the body of the financial statements or in the accompanying notes. RMBS, Fed Funds and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 13 |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Repurchase agreements are accounted for as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. |
Management Fees Policy [Policy Text Block] | Manager Compensation The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 14 |
Earnings Per Share, Policy [Policy Text Block] | Earnings Per Share Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted EPS is calculated using the treasury stock or two not |
Compensation Related Costs, Policy [Policy Text Block] | Stock-Based Compensation The Company may not |
Income Tax, Policy [Policy Text Block] | Income Taxes Orchid has elected and is organized and operated so as to qualify to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, not 90% Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements In March 2020, 2020 04 Reference Rate Reform (Topic 848 2020 04 2020 04 not 2020 04 may December 31, 2022, December 2022, 2022 06 848 2020 04 December 31, 2022 December 31, 2024. second 2023 not In January 2021, 2021 01 Reference Rate Reform (Topic 848 2021 01 848 2021 01 2021 01 December 31, 2024, second 2023 not |
Note 1 - Organization and Sig_2
Note 1 - Organization and Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Cash, Cash Equivalents and Investments [Table Text Block] | (in thousands) September 30, 2023 December 31, 2022 Cash and cash equivalents $ 158,603 $ 205,651 Restricted cash 119,614 31,568 Total cash, cash equivalents and restricted cash $ 278,217 $ 237,219 |
Note 2 - Mortgage-backed Secu_2
Note 2 - Mortgage-backed Securities and U.S. Treasury Securities, At Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Marketable Securities [Table Text Block] | (in thousands) September 30, 2023 December 31, 2022 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 4,502,115 $ 3,519,906 Total Pass-Through Certificates 4,502,115 3,519,906 Structured RMBS Certificates: Interest-Only Securities 17,833 19,669 Inverse Interest-Only Securities 277 427 Total Structured RMBS Certificates 18,110 20,096 Total $ 4,520,225 $ 3,540,002 |
Gain (Loss) on Securities [Table Text Block] | (in thousands) Nine Months Ended September 30, 2023 2022 Proceeds from sales of RMBS $ - $ 2,731,497 Carrying value of RMBS sold - (2,864,169 ) Net loss on sales of RMBS $ - $ (132,672 ) Gross gain on sales of RMBS $ - $ 2,705 Gross loss on sales of RMBS - (135,377 ) Net loss on sales of RMBS $ - $ (132,672 ) |
Note 3 - U.S. Treasury Securi_2
Note 3 - U.S. Treasury Securities, Available-for-sale (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Available-for-Sale Securities Reconciliation [Table Text Block] | (in thousands) Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value U.S. Treasury Bills maturing 1/2/2024 and 2/15/2024 $ 98,310 $ 16 $ - $ 98,326 |
Note 4 - Repurchase Agreements
Note 4 - Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Repurchase Agreements [Table Text Block] | ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL September 30, 2023 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,346,245 $ 2,190,822 $ - $ 4,537,067 Repurchase agreement liabilities associated with these securities $ - $ 2,287,107 $ 2,139,840 $ - $ 4,426,947 Net weighted average borrowing rate - 5.47 % 5.52 % - 5.49 % December 31, 2022 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,496,769 $ 884,632 $ 142,658 $ 3,524,059 Repurchase agreement liabilities associated with these securities $ - $ 2,404,329 $ 837,299 $ 136,817 $ 3,378,445 Net weighted average borrowing rate - 4.43 % 4.51 % 4.15 % 4.44 % |
Note 5 - Derivative and Other_2
Note 5 - Derivative and Other Hedging Instruments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location September 30, 2023 December 31, 2022 Assets Interest rate swaps Derivative assets, at fair value $ 5,286 $ 4,983 Payer swaptions (long positions) Derivative assets, at fair value 1,418 33,398 Interest rate caps Derivative assets, at fair value 704 1,119 Interest rate floors (long positions) Derivative assets, at fair value 3,981 - TBA securities Derivative assets, at fair value 9,216 672 Total derivative assets, at fair value $ 20,605 $ 40,172 Liabilities Payer swaptions (short positions) Derivative liabilities, at fair value $ - $ 5,982 Interest rate floors (short positions) Derivative liabilities, at fair value 2,500 - TBA securities Derivative liabilities, at fair value 231 1,179 Total derivative liabilities, at fair value $ 2,731 $ 7,161 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 3,067 $ 16,493 TBA securities Restricted cash 1,670 1,734 TBA securities Other liabilities (11,052 ) (532 ) Interest rate swaptions Restricted cash 1,530 - Interest rate swaptions Other liabilities (1,520 ) (12,489 ) Total margin balances on derivative contracts $ (6,305 ) $ 5,206 |
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | ($ in thousands) September 30, 2023 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short Positions)(2) December 2023 5-year T-Note futures (Dec 2023 - Feb 2028 Hedge Period) $ 471,500 4.33 % 4.78 % $ 5,414 December 2023 10-year T-Note futures (Dec 2023 - Aug 2030 Hedge Period) $ 395,000 4.24 % 4.97 % $ 9,069 ($ in thousands) December 31, 2022 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Treasury Note Futures Contracts (Short Position)(2) March 2023 5-year T-Note futures (Mar 2023 - Mar 2028 Hedge Period) $ 750,500 4.20 % 4.22 % $ (100 ) March 2023 10-year Ultra futures (Mar 2023 - Mar 2033 Hedge Period) $ 174,500 3.66 % 3.79 % $ 965 |
Schedule of Interest Rate Swaps [Table Text Block] | ($ in thousands) Average Fixed Average Average Notional Pay Receive Maturity Amount Rate Rate (Years) September 30, 2023 Expiration > 1 to ≤ 5 years $ 500,000 0.84 % 5.31 % 3.0 Expiration > 5 years 2,126,500 2.84 % 5.31 % 7.4 $ 2,626,500 2.46 % 5.31 % 6.6 December 31, 2022 Expiration > 1 to ≤ 5 years $ 500,000 0.84 % 4.75 % 3.7 Expiration > 5 years 900,000 1.70 % 4.23 % 6.6 $ 1,400,000 1.39 % 4.41 % 5.6 |
Schedule of Interest Rate Caps [Table Text Block] | ($ in thousands) Strike Notional Swap Curve Fair Amount Cost Rate Spread Value September 30, 2023 February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 704 December 31, 2022 February 8, 2024 $ 200,000 $ 1,450 0.09 % 2Y10Y $ 1,119 |
Schedule of Interest Rate Floors [Table Text Block] | ($ in thousands) Strike Notional Swap Fair Amount Cost Rate Terms Value September 30, 2023 Long Position $ 1,000,000 $ 2,500 0.13 % 2Y_2s30s $ 3,981 Short Position $ (1,000,000 ) $ (1,358 ) (0.37 )% 2Y_2s30s $ (2,500 ) |
Schedule of Interest Rate Swaption Agreements [Table Text Block] | ($ in thousands) Option Underlying Swap Weighted Weighted Average Average Average Average Fair Months to Notional Fixed Adjustable Term Expiration Cost Value Expiration Amount Rate Rate (Years) September 30, 2023 Payer Swaptions (long positions) ≤ 1 year $ 1,619 $ 1,418 8.0 $ 800,000 5.40 % SOFR 1.0 $ 1,619 $ 1,418 8.0 $ 800,000 5.40 % 1.0 December 31, 2022 Payer Swaptions (long positions) ≤ 1 year $ 36,685 $ 21,253 9.6 $ 1,250,000 4.09 % SOFR 10.0 > 10 years 11,021 12,145 239.5 120,000 2.05 % SOFR 10.0 $ 47,706 $ 33,398 29.8 $ 1,370,000 3.91 % 10.0 Payer Swaptions (short positions) ≤ 1 year $ (17,800 ) $ (5,982 ) 3.6 $ (917,000 ) 4.09 % SOFR 10.0 |
Schedule of To Be Announced Securities [Table Text Block] | ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2023 15-Year TBA securities: 5.0% $ 100,000 $ 97,617 $ 97,386 $ (231 ) 30-Year TBA securities: 3.0% (350,000 ) (297,154 ) (290,116 ) 7,038 6.0% (100,000 ) (99,872 ) (98,766 ) 1,106 6.5% (152,500 ) (154,382 ) (153,310 ) 1,072 Total $ (502,500 ) $ (453,791 ) $ (444,806 ) $ 8,985 December 31, 2022 30-Year TBA securities: 2.0% $ (175,000 ) $ (142,268 ) $ (143,145 ) $ (877 ) 3.0% (500,000 ) (440,644 ) (440,274 ) 370 Total $ (675,000 ) $ (582,912 ) $ (583,419 ) $ (507 ) |
Derivative Instruments, Gain (Loss) [Table Text Block] | (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2023 2022 2023 2022 T-Note futures contracts (short position) $ 66,642 $ 207,165 $ 42,640 $ 84,543 Interest rate swaps 101,257 170,987 78,317 65,247 Payer swaptions (short positions) 4,113 (80,183 ) (718 ) (35,239 ) Payer swaptions (long positions) (7,389 ) 150,445 1,613 59,131 Interest rate caps (415 ) 988 493 (499 ) Interest rate floors (short positions) (1,143 ) - 73 - Interest rate floors (long positions) 2,666 137 TBA securities (short positions) 31,120 14,194 21,511 10,642 TBA securities (long positions) (2,598 ) 1,200 (2,024 ) 106 Total $ 194,253 $ 464,796 $ 142,042 $ 183,931 |
Note 6 - Pledged Assets (Tables
Note 6 - Pledged Assets (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Financial Instruments Owned and Pledged as Collateral [Table Text Block] | (in thousands) September 30, 2023 December 31, 2022 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 4,497,017 $ - $ 4,497,017 $ 3,492,544 $ - $ 3,492,544 Structured RMBS - fair value 18,110 - 18,110 20,096 - 20,096 U.S. Treasury securities 4,641 90,435 95,076 - 36,382 36,382 Accrued interest on pledged securities 17,299 - 17,299 11,419 16 11,435 Restricted cash 113,347 6,267 119,614 13,341 18,227 31,568 Total $ 4,650,414 $ 96,702 $ 4,747,116 $ 3,537,400 $ 54,625 $ 3,592,025 |
Schedule of Financial Instruments Pledged as Collateral From Counterparties [Table Text Block] | (in thousands) September 30, 2023 December 31, 2022 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ - $ 12,572 $ 12,572 $ 3,075 $ 13,021 $ 16,096 U.S. Treasury securities - fair value - - $ - 197 - 197 Total $ - $ 12,572 $ 12,572 $ 3,272 $ 13,021 $ 16,293 |
Note 7 - Offsetting Assets an_2
Note 7 - Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Offsetting Assets [Table Text Block] | (in thousands) Offsetting of Assets Gross Amount Not Net Amount Offset in the Balance Sheet of Assets Financial Gross Amount Gross Amount Presented Instruments Cash of Recognized Offset in the in the Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount September 30, 2023 Interest rate swaps $ 5,286 $ - $ 5,286 $ - $ - $ 5,286 Interest rate swaptions 1,418 - 1,418 - (1,418 ) - Interest rate caps 704 - 704 - - 704 Interest rate floors 3,981 - 3,981 - - 3,981 TBA securities 9,216 - 9,216 - (9,216 ) - $ 20,605 $ - $ 20,605 $ - $ (10,634 ) $ 9,971 December 31, 2022 Interest rate swaps $ 4,983 $ - $ 4,983 $ - $ - $ 4,983 Interest rate swaptions 33,398 - 33,398 - (12,489 ) 20,909 Interest rate caps 1,119 - 1,119 - - 1,119 TBA securities 672 - 672 - (532 ) 140 $ 40,172 $ - $ 40,172 $ - $ (13,021 ) $ 27,151 |
Offsetting Liabilities [Table Text Block] | (in thousands) Offsetting of Liabilities Gross Amount Not Net Amount Offset in the Balance Sheet of Liabilities Financial Gross Amount Gross Amount Presented Instruments of Recognized Offset in the in the Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral as Collateral Amount September 30, 2023 Repurchase Agreements $ 4,426,947 $ - $ 4,426,947 $ (4,313,600 ) $ (113,347 ) $ - Interest rate swaptions - - - - - - Interest rate floors 2,500 - 2,500 - (1,530 ) 970 TBA securities 231 - 231 - (231 ) - $ 4,429,678 $ - $ 4,429,678 $ (4,313,600 ) $ (115,108 ) $ 970 December 31, 2022 Repurchase Agreements $ 3,378,445 $ - $ 3,378,445 $ (3,365,104 ) $ (13,341 ) $ - Interest rate swaps - - - - - - Interest rate swaptions 5,982 - 5,982 - - 5,982 TBA securities 1,179 - 1,179 - (1,179 ) - $ 3,385,606 $ - $ 3,385,606 $ (3,365,104 ) $ (14,520 ) $ 5,982 |
Note 8 - Capital Stock (Tables)
Note 8 - Capital Stock (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Common Stock Outstanding Roll Forward [Table Text Block] | ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2023 At the Market Offering Program (3) First Quarter $ 11.77 2,690,000 $ 31,657 At the Market Offering Program (3) Second Quarter 9.95 4,757,953 47,355 At the Market Offering Program (3) Third Quarter 9.54 8,432,086 80,426 15,880,039 $ 159,438 2022 At the Market Offering Program (3) First Quarter $ - - $ - At the Market Offering Program (3) Second Quarter - - - At the Market Offering Program (3) Third Quarter - - - At the Market Offering Program(3) Fourth Quarter 10.45 3,885,048 40,580 3,885,048 $ 40,580 |
Dividends Declared [Table Text Block] | (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 6.975 $ 4,662 2014 10.800 22,643 2015 9.600 38,748 2016 8.400 41,388 2017 8.400 70,717 2018 5.350 55,814 2019 4.800 54,421 2020 3.950 53,570 2021 3.900 97,601 2022 2.475 87,906 2023 - YTD (1) 1.560 68,604 Totals $ 66.210 $ 596,074 |
Note 9 - Stock Incentive Plan (
Note 9 - Stock Incentive Plan (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Nonvested Performance-Based Units Activity [Table Text Block] | ($ in thousands, except per share data) Nine Months Ended September 30, 2023 2022 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 36,921 $ 20.57 26,645 $ 29.40 Granted 76,696 10.82 35,114 16.55 Forfeited(1) - - (8,464 ) 21.40 Vested and issued (13,386 ) 22.09 (7,594 ) 29.40 Unvested, end of period 100,231 $ 12.91 45,701 $ 21.01 Compensation expense during period $ 430 $ 331 Unrecognized compensation expense, end of period $ 757 $ 535 Intrinsic value, end of period $ 853 $ 375 Weighted-average remaining vesting term (in years) 1.4 1.4 |
Share-Based Payment Arrangement, Outstanding Award, Activity, Excluding Option [Table Text Block] | ($ in thousands, except per share data) Nine Months Ended September 30, 2023 2022 Fully vested shares granted 76,696 35,114 Weighted average grant date price per share $ 10.82 $ 16.55 Compensation expense related to fully vested shares of common stock awards $ 830 $ 581 |
Disclosure of Share-Based Compensation Arrangements by Share-Based Payment Award [Table Text Block] | ($ in thousands, except per share data) Nine Months Ended September 30, 2023 2022 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 54,197 $ 20.29 28,595 $ 26.92 Granted and vested 29,091 10.50 14,227 16.52 Outstanding, end of period 83,288 $ 16.87 42,822 $ 23.46 Compensation expense during period $ 279 $ 239 Intrinsic value, end of period $ 709 $ 351 |
Note 12 - Earnings Per Share _2
Note 12 - Earnings Per Share (EPS) (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | (in thousands, except per share information) Nine Months Ended September 30, Three Months Ended September 30, 2023 2022 2023 2022 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net loss - Basic and diluted $ (66,353 ) $ (293,379 ) $ (80,132 ) $ (84,513 ) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 52,332 35,066 52,332 35,066 Effect of weighting (10,228 ) 271 (4,559 ) 140 Weighted average shares-basic and diluted 42,104 35,337 47,773 35,206 Net loss per common share: Basic and diluted $ (1.58 ) $ (8.31 ) $ (1.68 ) $ (2.40 ) Anti-dilutive incentive shares not included in calculation 184 89 184 79 |
Note 13 - Fair Value (Tables)
Note 13 - Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Notes Tables | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Assets Inputs Inputs (Level 1) (Level 2) (Level 3) September 30, 2023 Mortgage-backed securities $ - $ 4,520,225 $ - U.S. Treasury securities 98,326 - - Interest rate swaps - 5,286 - Payer swaptions - 1,418 - Interest rate caps - 704 - Interest rate floors 1,481 TBA securities - 8,985 - December 31, 2022 Mortgage-backed securities $ - $ 3,540,002 $ - U.S. Treasury Notes 36,382 - - Interest rate swaps - 4,983 - Payer swaptions - 27,416 - Interest rate caps - 1,119 - TBA securities - (507 ) - |
Note 1 - Organization and Sig_3
Note 1 - Organization and Significant Accounting Policies (Details Textual) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 4 Months Ended | 7 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||
Mar. 07, 2023 | Oct. 29, 2021 | Sep. 30, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Sep. 30, 2022 | Oct. 28, 2021 | Sep. 30, 2023 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | Aug. 30, 2022 | |||
Stock Issued During Period, Shares, New Issues (in shares) | 15,880,039 | 3,885,048 | ||||||||||||
Stock Issued During Period, Value, New Issues | $ 80,426 | $ 47,355 | $ 31,657 | $ 159,438 | [1] | $ 40,580 | [1] | |||||||
Proceeds from Issuance of Common Stock | 159,438 | $ 0 | ||||||||||||
Direct Operating Costs | $ 193 | $ 175 | $ 531 | $ 683 | ||||||||||
Common Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||
Reclassification to Conform To Current Period [Member] | ||||||||||||||
Direct Operating Costs | $ 900 | $ 1,600 | ||||||||||||
June 2021 Equity Distribution Agreement [Member] | ||||||||||||||
Equity Agreement, Maximum Number of Shares Issuable (in shares) | 250,000,000 | |||||||||||||
October 2021 Equity Distribution Agreement [Member] | ||||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 9,742,188 | |||||||||||||
Stock Issued During Period, Value, New Issues | $ 151,800 | |||||||||||||
Proceeds from Issuance of Common Stock | $ 149,300 | |||||||||||||
March 2023 Equity Distribution Agreement [Member] | ||||||||||||||
Equity Agreement, Maximum Number of Shares Issuable (in shares) | 250,000,000 | |||||||||||||
Stock Issued During Period, Shares, New Issues (in shares) | 13,190,039 | |||||||||||||
Stock Issued During Period, Value, New Issues | $ 129,800 | |||||||||||||
Proceeds from Issuance of Common Stock | $ 127,800 | |||||||||||||
[1]Net proceeds are net of the underwriters' discount, if applicable, and other offering costs. |
Note 1 - Organization and Sig_4
Note 1 - Organization and Significant Accounting Policies - Schedule of Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Cash and cash equivalents | $ 158,603 | $ 205,651 |
Restricted cash | 119,614 | 31,568 |
Total cash, cash equivalents and restricted cash | $ 278,217 | $ 237,219 |
Note 2 - Mortgage-backed Secu_3
Note 2 - Mortgage-backed Securities and U.S. Treasury Securities, At Fair Value (Details Textual) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 0 | $ 36,382 |
Note 2 - Mortgage-backed Secu_4
Note 2 - Mortgage-backed Securities and U.S. Treasury Securities, At Fair Value - Schedule of RMBS Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Mortgage-backed securities | $ 4,520,225 | $ 3,540,002 |
Pass Through Certificate [Member] | ||
Mortgage-backed securities | 4,502,115 | 3,519,906 |
Pass Through Certificate [Member] | Fixed Rate Mortgages [Member] | ||
Mortgage-backed securities | 4,502,115 | 3,519,906 |
Structured Finance [Member] | ||
Mortgage-backed securities | 18,110 | 20,096 |
Structured Finance [Member] | Interest Only Securities [Member] | ||
Mortgage-backed securities | 17,833 | 19,669 |
Structured Finance [Member] | Inverse Interest Only Securities [Member] | ||
Mortgage-backed securities | $ 277 | $ 427 |
Note 2 - Mortgage-backed Secu_5
Note 2 - Mortgage-backed Securities and U.S. Treasury Securities, At Fair Value - Gain (Loss) on Investments (Details) - Collateralized Mortgage-Backed Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Proceeds from sales of RMBS | $ 0 | $ 2,731,497 | ||
Carrying value of RMBS sold | 0 | (2,864,169) | ||
Realized losses on mortgage-backed securities | $ 0 | $ (66,143) | 0 | (132,672) |
Gross gain on sales of RMBS | 0 | 2,705 | ||
Gross loss on sales of RMBS | $ 0 | $ (135,377) |
Note 3 - U.S. Treasury Securi_3
Note 3 - U.S. Treasury Securities, Available-for-sale (Details Textual) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-Sale | $ 98,326 | $ 0 |
US Treasury Securities [Member] | ||
Debt Securities, Available-for-Sale | 98,326 | |
Debt Securities, Available-for-Sale, Unrealized Loss Position | $ 0 | $ 0 |
Note 3 - U.S. Treasury Securi_4
Note 3 - U.S. Treasury Securities, Available-for-sale - Available-for-sale- Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Fair value | $ 98,326 | $ 0 |
US Treasury Securities [Member] | ||
Amortized cost | 98,310 | |
Gross unrealized gains | 16 | |
Gross unrealized losses | 0 | |
Fair value | $ 98,326 |
Note 4 - Repurchase Agreement_2
Note 4 - Repurchase Agreements (Details Textual) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Securities Sold under Agreements to Repurchase | $ 4,426,947 | $ 3,378,445 |
Restricted Cash and Cash Equivalents, Current | 119,614 | 31,568 |
Repurchase Agreement Counterparty, Amount at Risk | 207,600 | |
Asset Pledged as Collateral [Member] | ||
Restricted Cash and Cash Equivalents, Current | 119,614 | 31,568 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | ||
Restricted Cash and Cash Equivalents, Current | 113,347 | 13,341 |
Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate [Member] | ||
Securities Sold under Agreements to Repurchase | $ 52,500 | $ 190,300 |
Note 4 - Repurchase Agreement_3
Note 4 - Repurchase Agreements - Schedule of Repurchase Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Fair market value of securities pledged, including accrued interest receivable | $ 4,537,067 | $ 3,524,059 |
Repurchase agreement liabilities associated with these securities | $ 4,426,947 | $ 3,378,445 |
Net weighted average borrowing rate | 5.49% | 4.44% |
Maturity Overnight [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 0 | $ 0 |
Repurchase agreement liabilities associated with these securities | $ 0 | $ 0 |
Net weighted average borrowing rate | 0% | 0% |
Maturity 2 to 30 Days [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 2,346,245 | $ 2,496,769 |
Repurchase agreement liabilities associated with these securities | $ 2,287,107 | $ 2,404,329 |
Net weighted average borrowing rate | 5.47% | 4.43% |
Maturity 30 to 90 Days [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 2,190,822 | $ 884,632 |
Repurchase agreement liabilities associated with these securities | $ 2,139,840 | $ 837,299 |
Net weighted average borrowing rate | 5.52% | 4.51% |
Maturity Greater than 90 Days [Member] | ||
Fair market value of securities pledged, including accrued interest receivable | $ 0 | $ 142,658 |
Repurchase agreement liabilities associated with these securities | $ 0 | $ 136,817 |
Net weighted average borrowing rate | 0% | 4.15% |
Note 5 - Derivative and Other_3
Note 5 - Derivative and Other Hedging Instruments (Details Textual) $ in Millions | Sep. 30, 2023 USD ($) $ / item | Dec. 31, 2022 USD ($) $ / item |
Five Year Treasury Note Futures [Member] | Short [Member] | ||
Derivative, Forward Price (in USD per Per Share) | $ / item | 105.4 | 107.9 |
Derivative, Fair Value, Net | $ 496.7 | $ 810 |
Derivative, Notional Amount | $ 471.5 | $ 750.5 |
Ten Year T-Note Futures [Member] | Short [Member] | ||
Derivative, Forward Price (in USD per Per Share) | $ / item | 108.1 | |
Derivative, Fair Value, Net | $ 426.8 | |
Derivative, Notional Amount | 395 | |
Interest Rate Swap Accruing October 23, 2023 [Member] | ||
Derivative, Notional Amount | $ 175 | |
Derivative, Fixed Interest Rate | 3.53% | |
Interest Rate Swap Accruing February 24, 2024 [Member] | ||
Derivative, Notional Amount | $ 274 | |
Derivative, Fixed Interest Rate | 3.43% |
Note 5 - Derivative and Other_4
Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Instruments in Balance Sheet (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Restricted Cash and Cash Equivalents, Current | $ 119,614 | $ 31,568 |
Other liabilities | (14,888) | (25,119) |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative assets, at fair value | 20,605 | 40,172 |
Derivative liabilities, at fair value | 2,731 | 7,161 |
Total margin balances on derivative contracts | (6,305) | 5,206 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 5,286 | 4,983 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Payer Swaptions [Member] | Long [Member] | ||
Derivative assets, at fair value | 1,418 | 33,398 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Payer Swaptions [Member] | Short [Member] | ||
Derivative liabilities, at fair value | 0 | 5,982 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 704 | 1,119 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Floor [Member] | ||
Derivative assets, at fair value | 3,981 | 0 |
Derivative liabilities, at fair value | 2,500 | 0 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | 9,216 | 672 |
Derivative liabilities, at fair value | 231 | 1,179 |
Restricted Cash and Cash Equivalents, Current | 1,670 | 1,734 |
Other liabilities | (11,052) | (532) |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar Future Margin [Member] | ||
Restricted Cash and Cash Equivalents, Current | 3,067 | 16,493 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | ||
Restricted Cash and Cash Equivalents, Current | 1,530 | 0 |
Other liabilities | $ (1,520) | $ (12,489) |
Note 5 - Derivative and Other_5
Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Positions (Details) - Short [Member] - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Five Year Treasury Note Futures [Member] | |||
Average contract notional amount | $ 471,500 | $ 750,500 | |
Weighted average entry rate | 4.33% | 4.20% | |
Average receive rate | 4.78% | 4.22% | |
Open Equity | $ 5,414 | $ (100) | |
Ten Year T-Note Futures [Member] | |||
Average contract notional amount | $ 395,000 | ||
Weighted average entry rate | 4.24% | ||
Average receive rate | 4.97% | ||
Open Equity | $ 9,069 | ||
Ten Year Ultra Future [Member] | |||
Average contract notional amount | $ 174,500 | ||
Weighted average entry rate | [1] | 3.66% | |
Average receive rate | 3.79% | ||
Open Equity | [2] | $ 965 | |
[1]5-Year T-Note futures contracts were valued at a price of $105.4 at September 30, 2023 and $107.9 at December 31, 2022. The contract values of the short positions were $496.7 million and $810.0 million at September 30, 2023 and December 31, 2022, respectively. 10-Year T-Note futures contracts were valued at a price of $108.1 at September 30, 2023. The contract values of the short positions were $426.8 million at September 30, 2023.[2]Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. |
Note 5 - Derivatives and Other
Note 5 - Derivatives and Other Hedging Instruments - Schedule of Interest Rate Swaps (Details) - Interest Rate Swap [Member] - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 | Dec. 31, 2022 | |
Notional Amount | $ 2,626.5 | $ 1,400 |
Average fixed pay rate | 2.46% | 1.39% |
Average receive rate | 5.31% | 4.41% |
Average maturity (Year) | 6 years 7 months 6 days | 5 years 7 months 6 days |
One to Five Years [Member] | ||
Notional Amount | $ 500 | $ 500 |
Average fixed pay rate | 0.84% | 0.84% |
Average receive rate | 5.31% | 4.75% |
Average maturity (Year) | 3 years | 3 years 8 months 12 days |
More Than Five Years [Member] | ||
Notional Amount | $ 2,126.5 | $ 900 |
Average fixed pay rate | 2.84% | 1.70% |
Average receive rate | 5.31% | 4.23% |
Average maturity (Year) | 7 years 4 months 24 days | 6 years 7 months 6 days |
Note 5 - Derivative and Other_6
Note 5 - Derivative and Other Hedging Instruments - Schedule of Interest Rate Cap Positions (Details) - Interest Rate Cap [Member] - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 | Dec. 31, 2022 | |
Notional Amount | $ 200,000 | $ 200,000 |
Cost | $ 1,450 | $ 1,450 |
Strike Swap Rate | 0.09% | 0.09% |
Curve Spread (Year) | 2 years 9 months 29 days | 2 years 9 months 29 days |
Net Estimated Fair Value | $ 704 | $ 1,119 |
Cost | $ 1,450 | $ 1,450 |
Note 5 - Derivatives and Othe_2
Note 5 - Derivatives and Other Hedging Instruments - Schedule of Interest Rate Floors (Details) - Interest Rate Floor [Member] $ in Thousands | Sep. 30, 2023 USD ($) |
Long [Member] | |
Notional Amount | $ 1,000,000 |
Cost | $ 2,500 |
Strike Swap Rate | 0.13% |
Net Estimated Fair Value | $ 3,981 |
Notional Amount | $ (1,000,000) |
Strike Swap Rate | (0.13%) |
Short [Member] | |
Notional Amount | $ 1,000,000 |
Cost | $ (1,358) |
Strike Swap Rate | 0.37% |
Net Estimated Fair Value | $ (2,500) |
Notional Amount | $ (1,000,000) |
Strike Swap Rate | (0.37%) |
Note 5 - Derivative and Other_7
Note 5 - Derivative and Other Hedging Instruments - Schedule of Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 | Dec. 31, 2022 | |
Payer Swaptions Less than or Equal to One Year [Member] | Long [Member] | ||
Cost | $ 1,619 | $ 36,685 |
Net Estimated Fair Value | $ 1,418 | $ 21,253 |
Weighted average months to expiration (Month) | 8 months | 9 months 18 days |
Notional Amount | $ 800,000 | $ 1,250,000 |
Average fixed pay rate | 5.40% | 4.09% |
Weighted average term (Year) | 1 year | 10 years |
Notional Amount | $ (800,000) | $ (1,250,000) |
Payer Swaptions [Member] | Long [Member] | ||
Cost | 1,619 | 47,706 |
Net Estimated Fair Value | $ 1,418 | $ 33,398 |
Weighted average months to expiration (Month) | 8 months | 29 months 24 days |
Notional Amount | $ 800,000 | $ 1,370,000 |
Average fixed pay rate | 5.40% | 3.91% |
Weighted average term (Year) | 1 year | 10 years |
Notional Amount | $ (800,000) | $ (1,370,000) |
Payer Swaptions [Member] | Short [Member] | ||
Cost | (17,800) | |
Net Estimated Fair Value | $ (5,982) | |
Weighted average months to expiration (Month) | 3 months 18 days | |
Notional Amount | $ 917,000 | |
Average fixed pay rate | 4.09% | |
Weighted average term (Year) | 10 years | |
Notional Amount | $ (917,000) | |
Payer Swaptions, Greater Than Ten Years [Member] | Long [Member] | ||
Cost | 11,021 | |
Net Estimated Fair Value | $ 12,145 | |
Weighted average months to expiration (Month) | 239 months 15 days | |
Notional Amount | $ 120,000 | |
Average fixed pay rate | 2.05% | |
Weighted average term (Year) | 10 years | |
Notional Amount | $ (120,000) |
Note 5 - Derivative and Other_8
Note 5 - Derivative and Other Hedging Instruments - Schedule of To Be Announced Securities (Details) - Short [Member] - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Five Percent TBA Securities [Member] | |||
Notional Amount | [1] | $ 100,000 | |
Cost | [2] | 97,617 | |
Market value | [3] | 97,386 | |
Net carrying value | (231) | ||
Notional Amount | [1] | (100,000) | |
Three Percent TBA Securities [Member] | |||
Notional Amount | [1] | 350,000 | $ 500,000 |
Cost | [2] | (297,154) | (440,644) |
Market value | [3] | (290,116) | (440,274) |
Net carrying value | 7,038 | 370 | |
Notional Amount | [1] | (350,000) | (500,000) |
Six Percent TBA Securities [Member] | |||
Notional Amount | [1] | 100,000 | |
Cost | [2] | (99,872) | |
Market value | [3] | (98,766) | |
Net carrying value | 1,106 | ||
Notional Amount | [1] | (100,000) | |
Six and a Half Percent TBA Securities [Member] | |||
Notional Amount | [1] | 152,500 | |
Cost | [2] | (154,382) | |
Market value | [3] | (153,310) | |
Net carrying value | 1,072 | ||
Notional Amount | [1] | (152,500) | |
TBA Contracts [Member] | |||
Notional Amount | [1] | 502,500 | 675,000 |
Cost | [2] | (453,791) | (582,912) |
Market value | [3] | (444,806) | (583,419) |
Net carrying value | 8,985 | (507) | |
Notional Amount | [1] | $ (502,500) | (675,000) |
Two Percent TBA Contract [Member] | |||
Notional Amount | [1] | 175,000 | |
Cost | [2] | (142,268) | |
Market value | [3] | (143,145) | |
Net carrying value | [4] | (877) | |
Notional Amount | [1] | $ (175,000) | |
[1]Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.[2]Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.[3]Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.[4]Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in our balance sheets |
Note 5 - Derivative and Other_9
Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Instruments Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Gains on derivative and other hedging instruments | $ 142,042 | $ 183,931 | $ 194,253 | $ 464,796 |
Treasury Note Future [Member] | Short [Member] | ||||
Gains on derivative and other hedging instruments | 42,640 | 84,543 | 66,642 | 207,165 |
Interest Rate Swap [Member] | ||||
Gains on derivative and other hedging instruments | 78,317 | 65,247 | 101,257 | 170,987 |
Payer Swaptions [Member] | Short [Member] | ||||
Gains on derivative and other hedging instruments | (718) | (35,239) | 4,113 | (80,183) |
Payer Swaptions [Member] | Long [Member] | ||||
Gains on derivative and other hedging instruments | 1,613 | 59,131 | (7,389) | 150,445 |
Interest Rate Cap [Member] | ||||
Gains on derivative and other hedging instruments | 493 | (499) | (415) | 988 |
Interest Rate Floor [Member] | Short [Member] | ||||
Gains on derivative and other hedging instruments | 73 | 0 | (1,143) | 0 |
Interest Rate Floor [Member] | Long [Member] | ||||
Gains on derivative and other hedging instruments | 137 | 2,666 | ||
TBA Contracts [Member] | Short [Member] | ||||
Gains on derivative and other hedging instruments | 21,511 | 10,642 | 31,120 | 14,194 |
TBA Contracts [Member] | Long [Member] | ||||
Gains on derivative and other hedging instruments | $ (2,024) | $ 106 | $ (2,598) | $ 1,200 |
Note 6 - Pledged Assets - Sched
Note 6 - Pledged Assets - Schedule of Financial Instruments Owned and Pledged as Collateral (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Accrued interest receivable | $ 17,316 | $ 11,519 |
Restricted cash | 119,614 | 31,568 |
Asset Pledged as Collateral [Member] | ||
Accrued interest receivable | 17,299 | 11,435 |
Restricted cash | 119,614 | 31,568 |
Total | 4,747,116 | 3,592,025 |
Asset Pledged as Collateral [Member] | Residential Mortgage-Backed Securities [Member] | Pass Through Certificate [Member] | ||
Investment at fair value | 4,497,017 | 3,492,544 |
Asset Pledged as Collateral [Member] | Residential Mortgage-Backed Securities [Member] | Structured Finance [Member] | ||
Investment at fair value | 18,110 | 20,096 |
Asset Pledged as Collateral [Member] | US Treasury Securities [Member] | ||
Investment at fair value | 95,076 | 36,382 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | ||
Accrued interest receivable | 17,299 | 11,419 |
Restricted cash | 113,347 | 13,341 |
Total | 4,650,414 | 3,537,400 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | Residential Mortgage-Backed Securities [Member] | Pass Through Certificate [Member] | ||
Investment at fair value | 4,497,017 | 3,492,544 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | Residential Mortgage-Backed Securities [Member] | Structured Finance [Member] | ||
Investment at fair value | 18,110 | 20,096 |
Asset Pledged as Collateral [Member] | Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Investment at fair value | 4,641 | 0 |
Asset Pledged as Collateral [Member] | Derivative [Member] | ||
Accrued interest receivable | 0 | 16 |
Restricted cash | 6,267 | 18,227 |
Total | 96,702 | 54,625 |
Asset Pledged as Collateral [Member] | Derivative [Member] | Residential Mortgage-Backed Securities [Member] | Pass Through Certificate [Member] | ||
Investment at fair value | 0 | 0 |
Asset Pledged as Collateral [Member] | Derivative [Member] | Residential Mortgage-Backed Securities [Member] | Structured Finance [Member] | ||
Investment at fair value | 0 | 0 |
Asset Pledged as Collateral [Member] | Derivative [Member] | US Treasury Securities [Member] | ||
Investment at fair value | $ 90,435 | $ 36,382 |
Note 6 - Pledged Assets - Sch_2
Note 6 - Pledged Assets - Schedule of Financial Instruments Pledged as Collateral From Counterparties (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Cash | $ 12,572 | $ 16,293 |
Repurchase Agreements [Member] | ||
Cash | 0 | 3,272 |
Derivative [Member] | ||
Cash | 12,572 | 13,021 |
Cash [Member] | ||
Cash | 12,572 | 16,096 |
Cash [Member] | Repurchase Agreements [Member] | ||
Cash | 0 | 3,075 |
Cash [Member] | Derivative [Member] | ||
Cash | 12,572 | 13,021 |
US Treasury Securities [Member] | ||
Cash | 0 | 197 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Cash | 0 | 197 |
US Treasury Securities [Member] | Derivative [Member] | ||
Cash | $ 0 | $ 0 |
Note 7 - Offsetting Assets an_3
Note 7 - Offsetting Assets and Liabilities - Offsetting Assets (Details) - Assets [Member] - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Gross amount, recognized | $ 20,605 | $ 40,172 |
Gross Amount, offset | 0 | 0 |
Net Amount | 20,605 | 40,172 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | (10,634) | (13,021) |
Net amount, after deduction | 9,971 | 27,151 |
Interest Rate Swap [Member] | ||
Gross amount, recognized | 5,286 | 4,983 |
Gross Amount, offset | 0 | 0 |
Net Amount | 5,286 | 4,983 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | 0 | 0 |
Net amount, after deduction | 5,286 | 4,983 |
Payer Swaptions [Member] | ||
Gross amount, recognized | 1,418 | 33,398 |
Gross Amount, offset | 0 | 0 |
Net Amount | 1,418 | 33,398 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | (1,418) | (12,489) |
Net amount, after deduction | 0 | 20,909 |
Interest Rate Cap [Member] | ||
Gross amount, recognized | 704 | 1,119 |
Gross Amount, offset | 0 | 0 |
Net Amount | 704 | 1,119 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | 0 | 0 |
Net amount, after deduction | 704 | 1,119 |
Interest Rate Floor [Member] | ||
Gross amount, recognized | 3,981 | |
Gross Amount, offset | 0 | |
Net Amount | 3,981 | |
Gross Amount, not recognized | 0 | |
Gross amount, not offset | 0 | |
Net amount, after deduction | 3,981 | |
TBA Contracts [Member] | ||
Gross amount, recognized | 9,216 | 672 |
Gross Amount, offset | 0 | 0 |
Net Amount | 9,216 | 672 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | (9,216) | (532) |
Net amount, after deduction | $ 0 | $ 140 |
Note 7 - Offsetting Assets an_4
Note 7 - Offsetting Assets and Liabilities - Offsetting Liabilities (Details) - Liability [Member] - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Gross amount, recognized | $ 4,429,678 | $ 3,385,606 |
Gross Amount, offset | 0 | 0 |
Net Amount | 4,429,678 | 3,385,606 |
Gross Amount, not recognized | (4,313,600) | (3,365,104) |
Gross amount, not offset | (115,108) | (14,520) |
Net amount, after deduction | 970 | 5,982 |
Repurchase Agreements [Member] | ||
Gross amount, recognized | 4,426,947 | 3,378,445 |
Gross Amount, offset | 0 | 0 |
Net Amount | 4,426,947 | 3,378,445 |
Gross Amount, not recognized | (4,313,600) | (3,365,104) |
Gross amount, not offset | (113,347) | (13,341) |
Net amount, after deduction | 0 | 0 |
Payer Swaptions [Member] | ||
Gross amount, recognized | 0 | 5,982 |
Gross Amount, offset | 0 | 0 |
Net Amount | 0 | 5,982 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | 0 | 0 |
Net amount, after deduction | 0 | 5,982 |
Interest Rate Floor [Member] | ||
Gross amount, recognized | 2,500 | |
Gross Amount, offset | 0 | |
Net Amount | 2,500 | |
Gross Amount, not recognized | 0 | |
Gross amount, not offset | (1,530) | |
Net amount, after deduction | 970 | |
TBA Contracts [Member] | ||
Gross amount, recognized | 231 | 1,179 |
Gross Amount, offset | 0 | 0 |
Net Amount | 231 | 1,179 |
Gross Amount, not recognized | 0 | 0 |
Gross amount, not offset | (231) | (1,179) |
Net amount, after deduction | $ 0 | 0 |
Interest Rate Swap [Member] | ||
Gross amount, recognized | 0 | |
Gross Amount, offset | 0 | |
Net Amount | 0 | |
Gross Amount, not recognized | 0 | |
Gross amount, not offset | 0 | |
Net amount, after deduction | $ 0 |
Note 8 - Capital Stock (Details
Note 8 - Capital Stock (Details Textual) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | 98 Months Ended | 129 Months Ended | |||||||||||||||||||||||
Oct. 11, 2023 | Sep. 30, 2023 | Mar. 31, 2023 | Sep. 30, 2022 | Jun. 30, 2022 | Oct. 11, 2023 | [1] | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2023 | Sep. 30, 2023 | Oct. 27, 2023 | Oct. 12, 2022 | Aug. 30, 2022 | Dec. 09, 2021 | Feb. 08, 2018 | Feb. 01, 2018 | Jul. 29, 2015 | |
Common Stock, Par or Stated Value Per Share (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||||||||||
Stock Repurchased and Retired During Period, Value | $ 3,963 | $ 2,384 | $ 2,218 | |||||||||||||||||||||||||
Common Stock, Dividends, Per Share, Declared (in dollars per share) | $ 0.480 | $ 0.545 | $ 1.440 | $ 1.995 | $ 2.475 | $ 3.900 | $ 3.950 | $ 4.800 | $ 5.350 | $ 8.400 | $ 8.400 | $ 9.600 | $ 10.800 | $ 6.975 | $ 66.210 | |||||||||||||
Subsequent Event [Member] | ||||||||||||||||||||||||||||
Common Stock, Dividends, Per Share, Declared (in dollars per share) | $ 0.12 | $ 1.560 | ||||||||||||||||||||||||||
Share Repurchase Program [Member] | ||||||||||||||||||||||||||||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased (in shares) | 400,000 | |||||||||||||||||||||||||||
Stock Repurchase Program, Additional Shares Authorized (in shares) | 4,300,000 | 3,372,399 | 904,564 | |||||||||||||||||||||||||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased (in shares) | 6,183,601 | 3,539,861 | 1,061,316 | 156,751 | ||||||||||||||||||||||||
Stock Repurchased and Retired During Period, Shares (in shares) | 373,041 | 2,538,470 | 4,048,613 | |||||||||||||||||||||||||
Stock Repurchased and Retired During Period, Value | $ 4,000 | $ 24,500 | $ 68,800 | |||||||||||||||||||||||||
Shares Acquired, Average Cost Per Share (in dollars per share) | $ 10.62 | $ 9.63 | $ 16.99 | |||||||||||||||||||||||||
Share Repurchase Program [Member] | Subsequent Event [Member] | ||||||||||||||||||||||||||||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased (in shares) | 4,928,350 | |||||||||||||||||||||||||||
[1]On October 11, 2023, the Company declared a dividend of $0.12 per share to be paid on November 28, 2023. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of September 30, 2023. |
Note 8 - Capital Stock - Issuan
Note 8 - Capital Stock - Issuance of Common Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||
Sep. 30, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Sep. 30, 2023 | Dec. 31, 2022 | ||||
Issuance of common stock pursuant to public offerings, net (in shares) | 15,880,039 | 3,885,048 | ||||||||||
Issuance of common stock pursuant to public offerings, net | $ 80,426 | $ 47,355 | $ 31,657 | $ 159,438 | [1] | $ 40,580 | [1] | |||||
At the Market Offering Program [Member] | ||||||||||||
Price per share (in dollars per share) | [2],[3] | $ 9.54 | $ 9.95 | $ 11.77 | $ 10.45 | $ 0 | $ 0 | $ 0 | $ 9.54 | $ 10.45 | ||
Issuance of common stock pursuant to public offerings, net (in shares) | [2] | 8,432,086 | 4,757,953 | 2,690,000 | 3,885,048 | 0 | 0 | 0 | ||||
Issuance of common stock pursuant to public offerings, net | [1],[2] | $ 80,426 | $ 47,355 | $ 31,657 | $ 40,580 | $ 0 | $ 0 | $ 0 | ||||
[1]Net proceeds are net of the underwriters' discount, if applicable, and other offering costs.[2]The Company has entered into eleven equity distribution agreements, ten of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.[3]Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs. |
Note 8 - Capital Stock - Divide
Note 8 - Capital Stock - Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | 129 Months Ended | |||||||||||||||
Oct. 11, 2023 | Sep. 30, 2023 | Sep. 30, 2022 | Oct. 11, 2023 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2023 | |||
Dividends declared per common share (in dollars per share) | $ 0.480 | $ 0.545 | $ 1.440 | $ 1.995 | $ 2.475 | $ 3.900 | $ 3.950 | $ 4.800 | $ 5.350 | $ 8.400 | $ 8.400 | $ 9.600 | $ 10.800 | $ 6.975 | $ 66.210 | ||||
Dividends | $ 87,906 | $ 97,601 | $ 53,570 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 596,074 | ||||||||
Subsequent Event [Member] | |||||||||||||||||||
Dividends declared per common share (in dollars per share) | $ 0.12 | $ 1.560 | [1] | ||||||||||||||||
Dividends | [1] | $ 68,604 | |||||||||||||||||
[1]On October 11, 2023, the Company declared a dividend of $0.12 per share to be paid on November 28, 2023. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of September 30, 2023. |
Note 9 - Stock Incentive Plan_2
Note 9 - Stock Incentive Plan (Details Textual) - The 2021 Incentive Plan [Member] | 9 Months Ended |
Sep. 30, 2023 shares | |
Share-Based Compensation Arrangement by Share-Based Payment Award, Percentage of Outstanding Stock Maximum | 10% |
Share-Based Compensation Arrangement by Share-Based Payment Award, Number of Shares Authorized (in shares) | 1,473,324 |
Note 9 - Stock Incentive Plan -
Note 9 - Stock Incentive Plan - Schedule of Nonvested Performance Based Units Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | ||
Stock based compensation | $ 939 | $ 552 | |
Performance Shares [Member] | |||
Unvested, shares (in shares) | 36,921 | 26,645 | |
Unvested, grant date fair value (in dollars per share) | $ 20.57 | $ 29.40 | |
Fully vested shares granted (in shares) | 76,696 | 35,114 | |
Weighted average grant date price per share (in dollars per share) | $ 10.82 | $ 16.55 | |
Forfeited, shares (in shares) | [1] | 0 | (8,464) |
Forfeited, grant date fair value (in dollars per share) | [1] | $ 0 | $ 21.40 |
Vested and issued, shares (in shares) | (13,386) | (7,594) | |
Vested and issued, grant date fair value (in dollars per share) | $ 22.09 | $ 29.40 | |
Unvested, shares (in shares) | 100,231 | 45,701 | |
Unvested, grant date fair value (in dollars per share) | $ 12.91 | $ 21.01 | |
Stock based compensation | $ 430 | $ 331 | |
Unrecognized compensation expense, end of period | 757 | 535 | |
Intrinsic value, end of period | $ 853 | $ 375 | |
Weighted-average remaining vesting term (in years) (Year) | 1 year 4 months 24 days | 1 year 4 months 24 days | |
[1]The number of shares of common stock issuable upon the vesting of the remaining outstanding PUs was reduced as a result of the book value impairment event that occurred pursuant to the terms of the long term equity incentive compensation plans (the "Plans") established under the Company's Incentive Plans. The book value impairment event occurred when the Company's book value per share declined by more than 15% during the quarter ended March 31, 2022 and the Company's book value per share decline from January 1, 2022 to June 30, 2022 was more than 10%. The Plans provide that if such a book value impairment event occurs, then the number of outstanding Performance Units that are outstanding as of the last day of such two quarter period shall be reduced by 15%. |
Note 9 - Stock Incentive Plan_3
Note 9 - Stock Incentive Plan - Schedule of Stock Awards (Details) - Stock Awards [Member] - USD ($) $ / shares in Units, $ in Thousands | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | ||
Fully vested shares granted (in shares) | 76,696 | 35,114 | |
Weighted average grant date price per share (in dollars per share) | $ 10.82 | $ 16.55 | |
Compensation expense related to fully vested shares of common stock awards | [1] | $ 830 | $ 581 |
[1]The awards issued during the year ended December 31, 2022 were granted with respect to service performed in 2021. Approximately $600,000 of compensation expense related to the 2022 awards was accrued and recognized in 2021. |
Note 9 - Stock Incentive Plan_4
Note 9 - Stock Incentive Plan - Share Based Compensation Arrangements by Share Based Payment Award (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 | Sep. 30, 2022 | |
Stock based compensation | $ 939 | $ 552 |
Deferred Stock Units [Member] | ||
Outstanding, shares (in shares) | 54,197 | 28,595 |
Outstanding, grant date fair value (in dollars per share) | $ 20.29 | $ 26.92 |
Granted and vested, shares (in shares) | 29,091 | 14,227 |
Granted and vested, grant date fair value (in dollars per share) | $ 10.50 | $ 16.52 |
Outstanding, shares (in shares) | 83,288 | 42,822 |
Outstanding, grant date fair value (in dollars per share) | $ 16.87 | $ 23.46 |
Stock based compensation | $ 279 | $ 239 |
Intrinsic value, end of period | $ 709 | $ 351 |
Note 12 - Earnings Per Share _3
Note 12 - Earnings Per Share (EPS) - Schedule of Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Net loss - Basic and diluted | $ (80,132) | $ (84,513) | $ (66,353) | $ (293,379) |
Shares of common stock outstanding at the balance sheet date (in shares) | 52,332,000 | 35,066,000 | 52,332,000 | 35,066,000 |
Effect of weighting (in shares) | (4,559,000) | 140,000 | (10,228,000) | 271,000 |
Weighted Average Shares Outstanding (in shares) | 47,773,409 | 35,205,888 | 42,103,532 | 35,336,702 |
Basic and diluted net loss per share (in dollars per share) | $ (1.68) | $ (2.40) | $ (1.58) | $ (8.31) |
Anti-dilutive incentive shares not included in calculation (in shares) | 184,000 | 79,000 | 184,000 | 89,000 |
Note 13 - Fair Value - Schedule
Note 13 - Fair Value - Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Mortgage-backed securities | $ 4,520,225 | $ 3,540,002 |
Pledged assets | 0 | 36,382 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Floor [Member] | ||
Derivative assets, at fair value | ||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Collateralized Mortgage-Backed Securities [Member] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | ||
Mortgage-backed securities | 98,326 | |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | US Treasury Notes Securities [Member] | ||
Pledged assets | 36,382 | |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 5,286 | 4,983 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member] | ||
Derivative assets, at fair value | 1,418 | 27,416 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 704 | 1,119 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Floor [Member] | ||
Derivative assets, at fair value | 1,481 | |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | 8,985 | (507) |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Collateralized Mortgage-Backed Securities [Member] | ||
Mortgage-backed securities | 4,520,225 | 3,540,002 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | ||
Mortgage-backed securities | 0 | |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | US Treasury Notes Securities [Member] | ||
Pledged assets | 0 | |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Floor [Member] | ||
Derivative assets, at fair value | ||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member] | ||
Derivative assets, at fair value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Collateralized Mortgage-Backed Securities [Member] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | ||
Mortgage-backed securities | $ 0 | |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | US Treasury Notes Securities [Member] | ||
Pledged assets | $ 0 |
Note 14 - Related Party Trans_2
Note 14 - Related Party Transactions (Details Textual) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Bimini Advisors LLC [Member] | |||||
Automatic Renewal Period Of Management Agreement (Year) | 1 year | ||||
Management Fee and Overhead Expense | $ 3.6 | $ 3.3 | $ 10.5 | $ 9.7 | |
Accounts Payable, Current | $ 1.3 | $ 1.3 | $ 1.1 | ||
Bimini Capital Management Inc [Member] | |||||
Entity Shares Owned (in shares) | 569,071 | 569,071 | |||
Entity Ownership Percentage | 1.10% | 1.10% |