DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - shares | 9 Months Ended | |
Sep. 30, 2020 | Oct. 30, 2020 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | Orchid Island Capital, Inc. | |
Entity Central Index Key | 0001518621 | |
Entity Current Reporting Status | Yes | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock Shares Outstanding | 69,295,962 | |
Trading Symbol | ORC | |
Security Exchange Name | NYSE | |
Security 12(b) Title | Common Stock, $0.01 par value | |
Interactive Data Current | Yes | |
Document Quarterly Report | true | |
Document Transition Report | false | |
City Area Code | 772 | |
Local Phone Number | 231-1400 | |
Entity Address Line 1 | 3305 Flamingo Drive | |
Entity Address City or Town | Vero Beach | |
Entity Address State or Province | FL | |
Entity Postal Zip Code | 32963 | |
Entity Incorporation, State Country Name | MD | |
Entity File Number | 001-35236 | |
Entity Tax ID Number | 27-3269228 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Mortgage-backed securities, at fair value | ||
Pledged to counterparties | $ 3,416,118,000 | $ 3,584,354,000 |
Unpledged | 124,249,000 | 6,567,000 |
Total mortgage-backed securities | 3,540,367,000 | 3,590,921,000 |
Cash and cash equivalents | 199,805,000 | 193,770,000 |
Restricted cash | 47,541,000 | 84,885,000 |
Accrued interest receivable | 10,378,000 | 12,404,000 |
Derivative Assets | 14,239,000 | 0 |
Receivable for securities sold, pledged to counterparties | 0 | 0 |
Other assets | 603,000 | 100,000 |
Total Assets | 3,812,933,000 | 3,882,080,000 |
Liabilities | ||
Outstanding repurchase obligations | 3,281,303,000 | 3,448,106,000 |
Payable for unsettled securities purchased | 113,653,000 | 0 |
Dividends Payable | 4,505,000 | 5,045,000 |
Derivitive Liabilities | 33,295,000 | 20,658,000 |
Accrued interest payable | 752,000 | 11,101,000 |
Due to affiliates | 590,000 | 622,000 |
Other Liabilities | 2,094,000 | 1,041,000 |
Total Liabilities | 3,436,192,000 | 3,486,573,000 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 693,000 | 631,000 |
Additional paid in capital | 410,521,000 | 414,998,000 |
Accumulated deficit | (34,473,000) | (20,122,000) |
Total Stockholders Equity | 376,741,000 | 395,507,000 |
Total Liabilities and Stockholders Equity | 3,812,933,000 | 3,882,080,000 |
Residential Mortgage Backed Securities [Member] | ||
Mortgage-backed securities, at fair value | ||
Pledged to counterparties | 3,416,118,000 | 3,584,354,000 |
Unpledged | 124,249,000 | 6,567,000 |
Total mortgage-backed securities | 3,540,367,000 | 3,590,921,000 |
Accrued interest receivable | $ 10,157,000 | $ 12,367,000 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parentheticals) - $ / shares | Sep. 30, 2020 | Dec. 31, 2019 |
Statement Of Financial Position [Abstract] | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Shares Issued | 0 | 0 |
Preferred Shares Outstanding | 0 | 0 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock Shares Authorized | 500,000,000 | 500,000,000 |
Common Shares Issued | 69,295,962 | 63,061,781 |
Common Shares Outstanding | 69,295,962 | 63,061,781 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest income | $ 27,223,000 | $ 35,907,000 | $ 90,152,000 | $ 104,795,000 |
Interest expense | 2,043,000 | 22,321,000 | 23,045,000 | 63,644,000 |
Net interest income | 25,180,000 | 13,586,000 | 67,107,000 | 41,151,000 |
Realized gains (losses) on mortgage-backed securities | 498,000 | (5,491,000) | (24,522,000) | (5,135,000) |
Unrealized gains (losses) on mortgage-backed securities | 1,168,000 | (5,292,000) | 38,440,000 | 39,255,000 |
(Losses) gains on derivative instruments | 4,079,000 | (8,648,000) | (87,630,000) | (61,968,000) |
Net portfolio income | 30,925,000 | (5,845,000) | (6,605,000) | 13,303,000 |
Expenses | ||||
Management Fee Expense | 1,252,000 | 1,440,000 | 3,897,000 | 4,051,000 |
Allocated Overhead | 377,000 | 351,000 | 1,072,000 | 1,001,000 |
Compensation and related benefits | 158,000 | 173,000 | (117,000) | (53,000) |
Directors fees and liability insurance | 242,000 | 260,000 | 750,000 | 750,000 |
Audit, legal and other professional fees | 240,000 | 221,000 | 841,000 | 886,000 |
Direct REIT operating expenses | 406,000 | 130,000 | 852,000 | 790,000 |
Other administrative | 174,000 | 57,000 | 451,000 | 225,000 |
Total expenses | 2,849,000 | 2,632,000 | 7,746,000 | 7,650,000 |
Net income (loss) | $ 28,076,000 | $ (8,477,000) | $ (14,351,000) | $ 5,653,000 |
Basic and diluted net income (loss) per share | ||||
Basic | $ 0.42 | $ (0.14) | $ (0.22) | $ 0.10 |
Diluted | $ 0.42 | $ (0.14) | $ (0.22) | $ 0.1 |
Weighted Average Shares Outstanding | ||||
Weighted Average Shares - Basic and Diluted | 67,301,901 | 60,418,985 | 66,014,379 | 54,037,721 |
Dividends Per Share [Abstract] | ||||
Dividends Declared Per Common Share | $ 0.190 | $ 0.240 | $ 0.595 | $ 0.720 |
CONSOLIDATED STATEMENT OF STOCK
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY, (Unaudited) - USD ($) | Total | Common Stock [Member] | Additional Paid In Capital [Member] | Retained Earnings [Member] |
Balances at Dec. 31, 2018 | $ 336,079,000 | $ 491,000 | $ 379,975,000 | $ (44,387,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | 10,597,000 | 0 | 0 | 10,597,000 |
Cash dividend declared | 11,824,000 | 0 | 11,824,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 8,503,000 | 13,000 | 8,490,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 41,000 | 0 | 41,000 | 0 |
Amortization of stock based compensation | 42,000 | 0 | 42,000 | 0 |
Stock Repurchased and Retired During Period, Value | (3,024,000) | (5,000) | (3,019,000) | 0 |
Balances at Mar. 31, 2019 | $ 340,414,000 | $ 499,000 | 373,705,000 | (33,790,000) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2018 | 49,132,000 | 49,132,000 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 1,268,000 | |||
Stock Issued During Period Shares Share Based Compensation | 7,000 | 7,000 | ||
Stock Repurchased and Retired During Period, Shares | (469,000) | |||
Common Stock Shares Outstanding, Ending Balance at Mar. 31, 2019 | 49,938,000 | 49,938,000 | ||
Balances at Dec. 31, 2018 | $ 336,079,000 | $ 491,000 | 379,975,000 | (44,387,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | 5,653,000 | |||
Balances at Sep. 30, 2019 | $ 391,988,000 | $ 631,000 | 430,091,000 | (38,734,000) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2018 | 49,132,000 | 49,132,000 | ||
Common Stock Shares Outstanding, Ending Balance at Sep. 30, 2019 | 63,058,000 | |||
Balances at Dec. 31, 2018 | $ 336,079,000 | $ 491,000 | 379,975,000 | (44,387,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Issuance of common stock pursuant to public offerings, net | 92,314,000 | |||
Balances at Dec. 31, 2019 | $ 395,507,000 | $ 631,000 | 414,998,000 | (20,122,000) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2018 | 49,132,000 | 49,132,000 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 14,377,126 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2019 | 63,061,781 | 63,062,000 | ||
Balances at Mar. 31, 2019 | $ 340,414,000 | $ 499,000 | 373,705,000 | (33,790,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | 3,533,000 | 0 | 0 | 3,533,000 |
Cash dividend declared | 12,859,000 | 0 | 12,859,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 28,495,000 | 44,000 | 28,451,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 43,000 | 0 | 43,000 | 0 |
Amortization of stock based compensation | 32,000 | 0 | 32,000 | 0 |
Balances at Jun. 30, 2019 | $ 359,658,000 | $ 543,000 | 389,372,000 | (30,257,000) |
Common Stock Shares Outstanding, Beginning Balance at Mar. 31, 2019 | 49,938,000 | 49,938,000 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 4,338,000 | |||
Stock Issued During Period Shares Share Based Compensation | 7,000 | |||
Stock Repurchased and Retired During Period, Shares | 0 | |||
Common Stock Shares Outstanding, Ending Balance at Jun. 30, 2019 | 54,283,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ (8,477,000) | $ 0 | 0 | (8,477,000) |
Cash dividend declared | 14,588,000 | 0 | 14,588,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 55,324,000 | 88,000 | 55,236,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 48,000 | 0 | 48,000 | 0 |
Amortization of stock based compensation | 23,000 | 0 | 23,000 | 0 |
Balances at Sep. 30, 2019 | 391,988,000 | $ 631,000 | 430,091,000 | (38,734,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 8,771,000 | |||
Stock Issued During Period Shares Share Based Compensation | 4,000 | |||
Common Stock Shares Outstanding, Ending Balance at Sep. 30, 2019 | 63,058,000 | |||
Balances at Dec. 31, 2019 | 395,507,000 | $ 631,000 | 414,998,000 | (20,122,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (91,199,000) | 0 | 0 | (91,199,000) |
Cash dividend declared | 15,670,000 | 0 | 15,670,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 19,447,000 | 31,000 | 19,416,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 0 | 0 | 0 | 0 |
Amortization of stock based compensation | 59,000 | 0 | 59,000 | 0 |
Stock Repurchased and Retired During Period, Value | 0 | 0 | 0 | 0 |
Balances at Mar. 31, 2020 | $ 308,144,000 | $ 662,000 | 418,803,000 | (111,321,000) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2019 | 63,061,781 | 63,062,000 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 3,171,000 | 3,171,000 | ||
Stock Issued During Period Shares Share Based Compensation | 4,000 | 4,000 | ||
Common Stock Shares Outstanding, Ending Balance at Mar. 31, 2020 | 66,237,000 | |||
Balances at Dec. 31, 2019 | $ 395,507,000 | $ 631,000 | 414,998,000 | (20,122,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (14,351,000) | |||
Issuance of common stock pursuant to public offerings, net | 35,013,000 | |||
Balances at Sep. 30, 2020 | $ 376,741,000 | $ 693,000 | 410,521,000 | (34,473,000) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2019 | 63,061,781 | 63,062,000 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 6,244,053,000 | |||
Common Stock Shares Outstanding, Ending Balance at Sep. 30, 2020 | 69,295,962 | 69,296,000 | ||
Balances at Mar. 31, 2020 | $ 308,144,000 | $ 662,000 | 418,803,000 | (111,321,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | 48,772,000 | 0 | 0 | 48,772,000 |
Cash dividend declared | 10,935,000 | 0 | 10,935,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 0 | 0 | 0 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 0 | 0 | 0 | 0 |
Amortization of stock based compensation | 55,000 | 0 | 55,000 | 0 |
Stock Repurchased and Retired During Period, Value | (68,000) | 0 | (68,000) | 0 |
Balances at Jun. 30, 2020 | 345,968,000 | $ 662,000 | 407,855,000 | (62,549,000) |
Common Stock Shares Outstanding, Beginning Balance at Mar. 31, 2020 | 66,237,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares Share Based Compensation | 4,000 | |||
Stock Repurchased and Retired During Period, Shares | (20,000) | |||
Common Stock Shares Outstanding, Ending Balance at Jun. 30, 2020 | 66,221,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | 28,076,000 | $ 0 | 0 | 28,076,000 |
Cash dividend declared | 12,920,000 | 0 | 12,920,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 15,566,000 | 31,000 | 15,535,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | (2,000) | 0 | (2,000) | 0 |
Amortization of stock based compensation | 53,000 | 0 | 53,000 | 0 |
Balances at Sep. 30, 2020 | $ 376,741,000 | $ 693,000 | $ 410,521,000 | $ (34,473,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 3,073,000 | |||
Stock Issued During Period Shares Share Based Compensation | 2,000 | |||
Common Stock Shares Outstanding, Ending Balance at Sep. 30, 2020 | 69,295,962 | 69,296,000 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | |
CASH FLOWS FROM OPERATING ACTIVITIES | ||
Net income (loss) | $ (14,351,000) | $ 5,653,000 |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Stock based compensation and equity plan amortization | 167,000 | 229,000 |
Realized and unrealized (gains) losses on mortgage-backed securities | (13,918,000) | (34,120,000) |
Derivative, Gain (Loss) on Derivative, Net | 67,744,000 | 47,964,000 |
Changes in operating assets and liabilities | ||
Accrued interest receivable | 2,137,000 | (2,146,000) |
Other assets | (533,000) | (27,000) |
Accrued interest payable | (10,349,000) | 5,447,000 |
Other liabilities | 16,000 | 1,440,000 |
Due to affiliates | (32,000) | (57,000) |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 30,881,000 | 24,383,000 |
From mortgage-backed securities investments | ||
Purchases | (2,898,616,000) | (3,096,194,000) |
Sales | 2,692,230,000 | 1,948,079,000 |
Principal repayments | 384,314,000 | 389,496,000 |
Proceeds from U.S. Treasury Securities | 139,712,000 | 0 |
Payments on U.S. Treasury Securities | 139,807,000 | 0 |
Net payments on reverse repurchase agreements | 30,000 | 0 |
Payments on net settlement of to-be-announced securities | (1,993,000) | (9,846,000) |
Purchase of interest rate swaptions, net of margin cash received | 66,135,000 | 20,032,000 |
NET CASH USED IN INVESTING ACTIVITIES | 109,735,000 | (788,497,000) |
CASH FLOWS FROM FINANCING ACTIVITIES | ||
Proceeds from repurchase agreements | 27,995,556,000 | 33,804,965,000 |
Principal payments on repurchase agreements | (28,162,359,000) | (33,016,040,000) |
Cash dividends | (40,065,000) | (38,156,000) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 35,013,000 | 92,322,000 |
Payments For Repurchase Of Common Stock | 70,000 | 3,024,000 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | (171,925,000) | 840,067,000 |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | (31,309,000) | 75,953,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 278,655,000 | 126,263,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 247,346,000 | 202,216,000 |
Cash paid during the period for: | ||
Interest Paid | 33,395,000 | 58,197,000 |
SUPPLEMENTAL DISCLOSURES OF NONCASH FINANCING ACTIVITIES: | ||
Securities acquired settled in later period | 113,653,000 | 0 |
Securities Sold Settled In Later Period | 0 | 209,241,000 |
Interest Rate Swaption [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | 4,848,000 | 1,379,000 |
Swap [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | 60,988,000 | 42,739,000 |
TBA Contracts [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | 1,813,000 | 3,846,000 |
US Treasury Securities [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | $ 95,000 | $ 0 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | Organization Orchid Island and managing February 20, November 24, was the issuance On August 2, 2017, Orchid entered into an equity distribution agreement (the “August 2017 two sales agents pursuant to which the Company could offer and sell, from time to time, up 125,000,000 shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately transactions. 15,123,178 gross proceeds of approximately $ 125.0 123.1 to its termination in July 2019. On July 30, 2019, Orchid entered into an underwriting agreement (the “Underwriting Citigroup Global Markets Inc. and J.P. Morgan Securities LLC, as representatives of the underwriters named therein, relating to the offer and sale of 7,000,000 6.55 purchased the shares pursuant to the Underwriting Agreement at a price of $ 6.3535 7,000,000 shares of common stock occurred on August 2, 2019, with net proceeds to the Company of 44.2 of underwriting discounts and commissions and other estimated offering expenses. On January 23, 2020, Orchid entered into an equity distribution agreement (the three sales agents pursuant to which the Company could offer and sell, from time to time, up 200,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and transactions. 3,170,727 gross proceeds of approximately $ 19.8 19.4 its termination in August 2020. On August 4, 2020, Orchid entered into an equity distribution agreement (the “August 2020 four sales agents pursuant to which the Company may offer and sell, from time to time, up to 150,000,000 shares of the Company’s common stock in transactions that are deemed to be “at the market” transactions. 3,073,326 Agreement for aggregate gross proceeds of approximately $ 15.8 15.6 commissions and fees. COVID-19 Beginning in mid-March 2020, the global pandemic associated with the novel economic conditions began to impact our financial position and results of operations. turmoil brought about by COVID-19, the Agency RMBS market experienced assets and increased margin calls from our repurchase agreement lenders. Further, as interest rates declined, we faced additional margin calls related to our various hedge positions. In order to maintain sufficient cash and liquidity, reduce risk and satisfy margin calls, we were forced to sell assets at levels significantly below their carrying values and RMBS market largely stabilized after the Federal Reserve announced on March 23, U.S. Treasuries in the amounts needed to support smooth market functioning. As of September 30, 2020, we had margin calls. The following summarizes the impact COVID-19 has had on our September 30, 2020. ● We sold approximately $ 2.7 $ 24.5 1.1 approximately $ 31.4 associated with COVID-19. ● We terminated interest rate swap positions with an aggregate notional value of $ 1.2 54.5 million in mark to market losses on the positions through the date of the respective 45.0 these losses occurred during the three months ended March 31, 2020. ● Our RMBS portfolio had a fair market value of approximately $ 3.5 3.6 December 31, 2019. The September 30, 2020 balance represents an increase 3.3 and the $ 2.9 ● Our outstanding balances under our repurchase agreement borrowings as of September 3.3 compared to $ 3.4 2.8 3.2 ● Our stockholders’ equity was $ 376.7 395.5 $ 308.1 346.0 In response to the Shelter in Place order issued in Florida in March 2020, our Recovery Plan and its employees are working remotely. Prior planning resulted in the successful implementation of this plan operational team members maintain daily communication. Although the Company cannot estimate the length or gravity of the impact continues, it may continue to have adverse effects on the Company’s results of future operations, fiscal year 2020 and beyond. In addition, President Trump signed into law the Coronavirus Aid, Relief, and Economic Security (CARES) billions of dollars of relief to individuals, businesses, state and local governments, the pandemic, including mortgage loan forbearance and modification programs their loan payments. The Company has evaluated the provisions of the CARES effect on the Company’s business, results of operations and financial condition. The Federal Housing has instructed the GSEs on how they will handle servicer advances for loans that which should limit prepayments during the forbearance period that could have resulted how, in the long term, these and other actions by the U.S. government will affect the efficiency, liquidity and stability of the financial and mortgage markets. To the extent the financial or mortgage markets do not respond favorably to any of these actions, or such actions do not function as intended, our business, results of operations and financial condition may Basis of The accompanying in the United Accordingly, they management, Operating expected for The balance of the information statements The preparation the reported the reported significant the estimates 2020; particular, makes and potential Variable Interest Entities (“VIEs”) We obtain interests in VIEs through our investments in mortgage-backed securities. nature and are not expected to result in us obtaining a controlling financial interest in consolidate these VIEs and we account for our interest in these VIEs as mortgage-backed information regarding our investments in mortgage-backed securities. value of the mortgage-backed securities. Cash and Cash Equivalents and Restricted Cash Cash and cash three months borrowings, The following position that (in thousands) September 30, 2020 December 31, 2019 Cash and cash equivalents $ 199,805 $ 193,770 Restricted cash 47,541 84,885 Total cash, cash equivalents $ 247,346 $ 278,655 The Company balances may Deposit Insurance balances are Company limits any significant Mortgage-Backed The Company Fannie Mae (“IIO”) securities to IO and IIO securities as structured RMBS. The Company has elected to account for its option. Electing the fair value option requires the Company to record changes in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company are included date are removed Fair value between market transfer the advantageous broker quotes, Income on PT purchase are gains (losses) effective yield. and serves periods recognition reporting statements Derivative and Other Hedging Instruments The Company manage other Treasury Note options to may enter The Company are reported Derivative derivative portfolio Holding derivatives honor their derivatives. payments provided and exchanges Financial The fair value statements swaptions value for these The estimated other assets, liabilities these financial Repurchase The Company repurchase contractual Reverse Repurchase The Company master repurchase borrowed The securities counterparties. Manager Compensation The Company company and Manager of which they Earnings Basic earnings average number stock or two-class in computing Income Taxes Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under as amended (the “Code”). distribute to their stockholders at least 90% of their REIT taxable income on an annual provisions of the Code to retain its tax status. Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions based on the facts, circumstances and information available at the end of each period. highly certain. uncertain tax positions is adjusted when new information is available, or when Recent Accounting On January 1, 2020, we adopted Accounting Standards Update (“ASU”) 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit expected credit loss model). The Company’s adoption of this ASU did not have a material effect on its financial financial assets were already measured at fair value through earnings. In March 2020, the FASB issued ASU 2020-04 “ Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ” on debt instruments, leases, derivatives, and other contracts, related to the expected market Offered Rate (“LIBOR”), and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to remeasurement at the modification date nor a reassessment of a previous accounting optional and may be elected over time, through December 31, 2022, as reference believe the adoption of this ASU will have a material impact on its consolidated financial |
MORTGAGE-BACKED SECURITIES
MORTGAGE-BACKED SECURITIES | 9 Months Ended |
Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2. The following (in thousands) September 30, 2020 December 31, 2019 Pass-Through RMBS Certificates: Adjustable-rate Mortgages $ 960 $ 1,014 Fixed-rate Mortgages 3,357,501 3,206,013 Fixed-rate CMOs 151,110 299,205 Total Pass-Through 3,509,571 3,506,232 Structured RMBS Certificates: Interest-Only Securities 30,796 60,986 Inverse Interest-Only Securities - 23,703 Total Structured 30,796 84,689 Total $ 3,540,367 $ 3,590,921 |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 9 Months Ended |
Sep. 30, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3. Repurchase The Company generally fixed borrowing. down borrowings securities requirements. As of September below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL September 30, 2020 Fair market value of securities pledged, including accrued interest receivable $ 4,956 $ 1,700,941 $ 675,475 $ 1,044,903 $ 3,426,275 Repurchase agreement liabilities associated with these securities $ 3,709 $ 1,627,083 $ 648,133 $ 1,002,378 $ 3,281,303 Net weighted average borrowing rate 1.30% 0.24% 0.24% 0.24% 0.24% December 31, 2019 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,470,263 $ 1,005,517 $ 120,941 $ 3,596,721 Repurchase agreement liabilities associated with these securities $ - $ 2,361,378 $ 964,368 $ 122,360 $ 3,448,106 Net weighted average borrowing rate - 2.04% 1.94% 2.60% 2.03% In addition, cash pledged to counterparties for repurchase agreements was approximately $24.8 $65.9 September 30, 2020 and December 31, 2019, respectively. If, during pledged assets, plus interest and cash posted by the Company as collateral. At September between the value of securities $170.4 million. September |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Financial Instruments [Abstract] | |
Derivative Financial Instruments | 3 to ≤ 5 years $ 620,000 1.29% 0.25% $ (23,817) 3.9 Expiration > 5 years 200,000 0.67% 0.25% (2,819) 6.7 $ 820,000 1.14% 0.25% $ (26,636) 4.6 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 The table open swaption ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustabl e Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) September 30, 2020 Payer Swaptions - long ≤ 1 year $ 3,450 $ 32 5.5 $ 500,000 0.95% 3 Month 4.0 >1 year ≤ 2 years 13,410 14,016 20.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 14,048 14.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions - short ≤ 1 year $ (4,660) $ (6,221) 8.4 $ 507,700 1.49% 3 Month 12.8 The following table 2019 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2020 15-Year TBA securities: 2.0% $ 175,000 $ 181,727 $ 181,918 $ 191 30-Year TBA securities: 2.5% 200,000 210,250 209,812 (438) Total $ 375,000 $ 391,977 $ 391,730 $ (247) December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) Notional amount represents the par value (or principal balance) of the (2) Cost basis represents the forward price to be paid (received) for the (3) Market value represents the current market value of the TBA securities (4) Net carrying value represents the difference between the market in derivative assets (liabilities) at fair value in our balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the nine and three months ended September 30, 2020 and 2019. (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2020 2019 2020 2019 Eurodollar futures contracts (short positions) $ (8,324) $ (14,423) $ (6) $ (94) T-Note futures contracts (short position) (4,837) (6,311) (113) (1,112) Fed Funds futures contracts (short positions) - 313 - 313 Interest rate swaps (67,713) (36,322) 489 (9,918) Payer swaptions - short (1,561) - (672) - Payer swaptions - long (3,287) (1,379) 914 (316) Net TBA securities (1,813) (3,846) 3,431 2,479 U.S. Treasury securities - short position (95) - 36 - Total $ (87,630) $ (61,968) $ 4,079 $ (8,648) Credit Risk-Related Contingent Features The use of derivatives 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. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our balance sheets. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, the Chicago Mercantile Exchange (“CME”) 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 serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date." id="sjs-B4">NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS Derivative The table September (in thousands) Derivative Instruments and Related Accounts Balance Sheet Location September 30, 2020 December 31, 2019 Assets Payer swaptions - long Derivative assets, at fair value $ 14,048 $ - TBA securities Derivative assets, at fair value 191 - Total derivative $ 14,239 $ - Liabilities Interest rate swaps Derivative liabilities, at fair value $ 26,636 $ 20,146 Payer swaptions - short Derivative liabilities, at fair value 6,221 - TBA securities Derivative liabilities, at fair value 438 512 Total derivative $ 33,295 $ 20,658 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 561 $ 1,338 TBA securities Restricted cash 1,394 246 Interest rate swaption contracts Other liabilities (1,037) - Interest rate swap contracts Restricted cash 20,819 17,450 Total margin $ 21,737 $ 19,034 Eurodollar, Fed charged to a daily basis. 2020 and December ($ in thousands) September 30, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 50,000 3.25% 0.25% $ (375) 2021 50,000 1.03% 0.20% (415) Total / $ 50,000 1.47% 0.21% $ (790) Treasury Note Futures Contracts (Short (2) December 2020 5-year T-Note futures (Dec 2020 - Dec 2025 Hedge Period) $ 69,000 0.70% 0.69% $ (22) ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) Total / $ 500,000 2.97% 1.67% $ (6,505) Treasury Note Futures Contracts (Short (2) March 2020 5 year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 Open equity represents the cumulative gains (losses) recorded on open (2) T-Note futures contracts were valued 126.03 118.61 the short positions were $ 87.0 81.8 Under our swaps"). The agreements below presents ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) September 30, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.25% $ (23,817) 3.9 Expiration > 5 years 200,000 0.67% 0.25% (2,819) 6.7 $ 820,000 1.14% 0.25% $ (26,636) 4.6 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 The table open swaption ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustabl e Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) September 30, 2020 Payer Swaptions - long ≤ 1 year $ 3,450 $ 32 5.5 $ 500,000 0.95% 3 Month 4.0 >1 year ≤ 2 years 13,410 14,016 20.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 14,048 14.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions - short ≤ 1 year $ (4,660) $ (6,221) 8.4 $ 507,700 1.49% 3 Month 12.8 The following table 2019 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2020 15-Year TBA securities: 2.0% $ 175,000 $ 181,727 $ 181,918 $ 191 30-Year TBA securities: 2.5% 200,000 210,250 209,812 (438) Total $ 375,000 $ 391,977 $ 391,730 $ (247) December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) Notional amount represents the par value (or principal balance) of the (2) Cost basis represents the forward price to be paid (received) for the (3) Market value represents the current market value of the TBA securities (4) Net carrying value represents the difference between the market in derivative assets (liabilities) at fair value in our balance sheets. Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the nine and three months ended September 30, 2020 and 2019. (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2020 2019 2020 2019 Eurodollar futures contracts (short positions) $ (8,324) $ (14,423) $ (6) $ (94) T-Note futures contracts (short position) (4,837) (6,311) (113) (1,112) Fed Funds futures contracts (short positions) - 313 - 313 Interest rate swaps (67,713) (36,322) 489 (9,918) Payer swaptions - short (1,561) - (672) - Payer swaptions - long (3,287) (1,379) 914 (316) Net TBA securities (1,813) (3,846) 3,431 2,479 U.S. Treasury securities - short position (95) - 36 - Total $ (87,630) $ (61,968) $ 4,079 $ (8,648) Credit Risk-Related Contingent Features The use of derivatives 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. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our balance sheets. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, the Chicago Mercantile Exchange (“CME”) 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 serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date. |
PLEDGED ASSETS
PLEDGED ASSETS | 9 Months Ended |
Sep. 30, 2020 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5. PLEDGED ASSETS Assets Pledged The table including securities (in thousands) September 30, 2020 December 31, 2019 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,387,253 $ - $ 3,387,253 $ 3,500,394 $ - $ 3,500,394 Structured RMBS - fair value 28,865 - 28,865 83,960 - 83,960 Accrued interest on pledged securities 10,157 - 10,157 12,367 - 12,367 Restricted cash 24,767 22,774 47,541 65,851 19,034 84,885 Total $ 3,451,042 $ 22,774 $ 3,473,816 $ 3,662,572 $ 19,034 $ 3,681,606 Assets Pledged The table agreements (in thousands) Reverse Repurchase Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Agreements Total September 30, 2020 Cash $ 5,855 $ - $ 1,037 $ 6,892 U.S. Treasury securities - fair value 1,424 - - 1,424 Total $ 7,279 $ - $ 1,037 $ 8,316 December 31, 2019 Cash $ 1,418 $ - $ - $ 1,418 Total $ 1,418 $ - $ - $ 1,418 RMBS and because the reverse repurchase balance sheet. increase in |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting Assets and Liabilities [Text Block] | NOTE 6. OFFSETTING ASSETS AND LIABILITIES The Company’s agreements bankruptcy basis. The following presented (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, 2020 Interest rate swaptions $ 14,048 $ - $ 14,048 $ - $ (1,037) $ 13,011 TBA securities 191 - 191 - - 191 $ 14,239 $ - $ 14,239 $ - $ (1,037) $ 13,202 (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, 2020 Repurchase Agreements $ 3,281,303 $ - $ 3,281,303 $ (3,256,536) $ (24,767) $ - Interest rate swaps 26,636 - 26,636 - (20,819) 5,817 Interest rate swaptions 6,221 - 6,221 - - 6,221 TBA securities 438 - 438 - (438) - $ 3,314,598 $ - $ 3,314,598 $ (3,256,536) $ (46,024) $ 12,038 December 31, 2019 Repurchase Agreements $ 3,448,106 $ - $ 3,448,106 $ (3,382,255) $ (65,851) $ - Interest rate swaps 20,146 - 20,146 - (17,450) 2,696 TBA securities 512 - 512 - (246) 266 $ 3,468,764 $ - $ 3,468,764 $ (3,382,255) $ (83,547) $ 2,962 The amounts asset or liability typically exceeds and derivative |
CAPITAL STOCK
CAPITAL STOCK | 9 Months Ended |
Sep. 30, 2020 | |
Capital Stock [Abstract] | |
Capital Stock | NOTE 7. Common Stock During the public offerings ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2020 At the Market Offering Program (3) First Quarter $ 6.23 3,170,727 $ 19,447 At the Market Offering Program (3) Third Quarter 5.15 3,073,326 15,566 Total 6,244,053 $ 35,013 2019 At the Market Offering Program (3) First Quarter $ 6.84 1,267,894 $ 8,503 At the Market Offering Program (3) Second Quarter 6.70 4,337,931 28,495 At the Market Offering Program (3) Third Quarter 6.37 1,771,301 11,098 Follow-on Offering Third Quarter 6.35 7,000,000 44,218 14,377,126 $ 92,314 Weighted average price received per share is before deducting (2) Net proceeds are net of the underwriters’ discount, if applicable, and (3) The Company has entered into eight equity distribution agreements, or were replaced with a subsequent agreement. Stock Repurchase Program On July 29, 2015 , the Company’s Board of Directors authorized the repurchase of up to 2,000,000 common stock. On February 8, 2018, the Board of Directors approved an increase additional 4,522,822 share authorization, the increased authorization brought the total authorization to Company’s then outstanding share count. As part of the stock repurchase program, shares transactions, block purchases, through privately negotiated transactions, or pursuant accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the discretion and will be subject to economic and market conditions, stock price, applicable authorization does not obligate the Company to acquire any particular amount of discontinued at the Company’s discretion without prior notice. From the inception of the stock repurchase program through September 30, 2020, the 5,685,511 shares at an aggregate cost of approximately $ 40.4 7.10 share. During the nine months ended September 30, 2020, the Company repurchased 19,891 approximately $ 0.1 3.42 ended September 30, 2019, the Company repurchased a total of 469,975 3.0 including commissions and fees, for a weighted average price of $ 6.43 program as of September 30, 2020 was 837,311 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 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 - YTD (1) 0.660 44,055 Totals $ 11.525 $ 332,448 On October 14, 2020, the Company declared a dividend of $ 0.065 included in the table above, but is not reflected in the Company’s |
STOCK INCENTIVE PLAN
STOCK INCENTIVE PLAN | 9 Months Ended |
Sep. 30, 2020 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Stock incentive Plan | NOTE 8. In October 2012, the Company’s Board of Directors adopted and Bimini, then the Company’s sole stockholder, approved, the Orchid Island Capital, Inc. 2012 Equity Incentive Plan (the “Incentive Plan”) to recruit and retain employees, directors and other service providers, including employees of the Manager and other affiliates. The Incentive Plan provides for the award of stock options, stock appreciation rights, stock award, performance units, other equity-based awards (and dividend equivalents with respect to awards of performance units and other equity-based awards) and incentive awards. The Incentive Plan is administered by the Compensation Committee of the Company’s Board of Directors except that the Company’s full Board of Directors will administer awards made to directors who are not employees of the Company or its affiliates. 10 % of the issued and outstanding shares of our common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregate 4,000,000 Company’s common stock that may be issued under the Incentive Plan. Performance Units The Company has issued, and may in the future issue additional, performance units under the Incentive Plan to certain executive officers and employees of its Manager. based on satisfaction of the performance conditions set forth in the performance unit agreement. When earned, each Performance Unit will be settled by the issuance of one share of the Company’s common stock, at which time the Performance Unit will be cancelled. to receive distributions declared by the Company on common stock, but do not include the right to vote the underlying shares of common stock. officer or employee of the Company. vesting period once it becomes probable that the performance conditions will be achieved. The following table presents information related to Performance Units outstanding during the nine months ended September 30, 2020 and 2019. ($ in thousands, except per share data) Nine Months Ended September 30, 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 19,021 $ 7.78 43,672 $ 8.34 Forfeited (1,607) 7.45 - - Vested and issued (10,583) 8.03 (20,498) 8.90 Unvested, end of period 6,831 $ 7.45 23,174 $ 7.85 Compensation expense during period $ 32 $ 94 Unrecognized compensation expense, end of period $ 8 $ 60 Intrinsic value, end of period $ 34 $ 133 Weighted-average remaining vesting term (in years) 0.5 0.9 ($ in thousands, except per share data) Nine Months Ended September 30, 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 43,570 $ 6.56 12,434 $ 7.37 Granted and vested 36,682 4.22 22,424 6.42 Issued - - - - Outstanding, end of period 80,252 $ 5.49 34,858 $ 6.76 Compensation expense during period $ 135 $ 135 Intrinsic value, end of period $ 402 $ 200 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2020 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments And Contingencies | NOTE 9. From time to time, the Company may become involved in various claims and business. Management is not aware of any reported or unreported contingencies |
INCOME TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10. INCOME TAXES The Company will generally not be subject to federal income tax on its REIT taxable taxable income to its stockholders and satisfies the ongoing REIT requirements, including ownership tests. A REIT must generally distribute at least 90% of its REIT taxable must be distributed within the taxable year, in order to avoid the imposition of an excise tax. The remaining balance up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution other requirements. |
EARNINGS PER SHARE
EARNINGS PER SHARE | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11. The Company months ended and Deferred Performance unvested Performance available to The table 2019. (in thousands, except per share information) Nine Months Ended September 30, Three Months Ended September 30, 2020 2019 2020 2019 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (14,351) $ 5,653 $ 28,076 $ (8,477) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 69,296 63,058 69,296 63,058 Unvested dividend eligible share based compensation outstanding at the balance sheet date - 58 87 - Effect of weighting (3,282) (9,078) (2,081) (2,639) Weighted average shares-basic and diluted 66,014 54,038 67,302 60,419 Net (loss) income per common share: Basic and diluted $ (0.22) $ 0.10 $ 0.42 $ (0.14) Anti-dilutive incentive shares not included in calculation. 87 - - 58 |
FAIR VALUE
FAIR VALUE | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value | NOTE 12. The framework asset or paid pricing the on the sale measured at ● Level 1 valuations, (which include ● Level 2 valuations, prices for significant ● Level 3 valuations, observable Company’s own techniques use of market The Company's Level 2 valuations, broker quotes, the appropriate techniques identical assets, benchmark such upon observable based on market assets similar observation predictability security if loan to value The fair value RMBS (based recorded at value measurements, assumptions markets to for similar The following December 31, (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, 2020 Mortgage-backed securities $ - $ 3,540,367 $ - Interest rate swaps - (26,636) - Interest rate swaptions - 7,827 - TBA securities - (246) - December 31, 2019 Mortgage-backed securities $ - $ 3,590,921 $ - Interest rate swaps - (20,146) - TBA securities - (512) - During the nine and three months ended September 30, 2020 and 2019, there were no transfers between levels 1, 2 or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 13. RELATED PARTY 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, 2021 automatic one-year management agreement, the Manager is responsible for administering the business activities and day-to-day operations of the Company. ● One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, agreement, ● One-twelfth of 1.25% of the Company’s month-end equity that is greater than $250 million and less than or equal to $500 million, and ● One-twelfth of 1.00% of the Company’s month-end equity that is greater than $500 million. The Company is 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. Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement. Total $5.0 $1.6 for the nine and three months ended September 30, 2020, respectively, and $5.1 $1.8 three months ended September 30, 2019, respectively. At September 30, due to affiliates was approximately $0.6 $0.6 Other Relationships with Bimini Robert Cauley, our Chief Executive Officer and Chairman of our 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 Officer, Chief Investment Officer, Secretary and a member of our 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 owned 2,595,357 3.8% , of the Company’s common stock. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of The accompanying in the United Accordingly, they management, Operating expected for The balance of the information statements The preparation the reported the reported significant the estimates 2020; particular, makes and potential Variable Interest Entities (“VIEs”) We obtain interests in VIEs through our investments in mortgage-backed securities. nature and are not expected to result in us obtaining a controlling financial interest in consolidate these VIEs and we account for our interest in these VIEs as mortgage-backed information regarding our investments in mortgage-backed securities. value of the mortgage-backed securities. Cash and Cash Equivalents and Restricted Cash Cash and cash three months borrowings, The following position that |
Use of Estimates | The preparation the reported the reported significant the estimates 2020; particular, makes and potential |
Variable Interest Entity [Policy Text Block] | Variable Interest Entities (“VIEs”) We obtain interests in VIEs through our investments in mortgage-backed securities. nature and are not expected to result in us obtaining a controlling financial interest in consolidate these VIEs and we account for our interest in these VIEs as mortgage-backed information regarding our investments in mortgage-backed securities. value of the mortgage-backed securities. |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash Cash and cash three months borrowings, The following position that (in thousands) September 30, 2020 December 31, 2019 Cash and cash equivalents $ 199,805 $ 193,770 Restricted cash 47,541 84,885 Total cash, cash equivalents $ 247,346 $ 278,655 The Company balances may Deposit Insurance balances are Company limits any significant |
Mortgage-Backed Securities | Mortgage-Backed The Company Fannie Mae (“IIO”) securities to IO and IIO securities as structured RMBS. The Company has elected to account for its option. Electing the fair value option requires the Company to record changes in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company are included date are removed Fair value between market transfer the advantageous broker quotes, Income on PT purchase are gains (losses) effective yield. and serves periods recognition reporting statements |
Derivative Financial Instruments | Derivative and Other Hedging Instruments The Company manage other Treasury Note options to may enter The Company are reported Derivative derivative portfolio Holding derivatives honor their derivatives. payments provided and exchanges |
Financial Instruments | Financial The fair value statements swaptions value for these The estimated other assets, liabilities these financial |
Repurchase Agreements | Repurchase The Company repurchase contractual |
Reverse Repurchase Agreements | Reverse Repurchase The Company master repurchase borrowed The securities counterparties. |
Management Fees | Manager Compensation The Company company and Manager of which they |
Earnings Per Share | Earnings Basic earnings average number stock or two-class in computing |
Income Taxes | Income Taxes Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under as amended (the “Code”). distribute to their stockholders at least 90% of their REIT taxable income on an annual provisions of the Code to retain its tax status. Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions based on the facts, circumstances and information available at the end of each period. highly certain. uncertain tax positions is adjusted when new information is available, or when Recent Accounting On January 1, 2020, we adopted Accounting Standards Update (“ASU”) 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit expected credit loss model). The Company’s adoption of this ASU did not have a material effect on its financial financial assets were already measured at fair value through earnings. In March 2020, the FASB issued ASU 2020-04 “ Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ” on debt instruments, leases, derivatives, and other contracts, related to the expected market Offered Rate (“LIBOR”), and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to remeasurement at the modification date nor a reassessment of a previous accounting optional and may be elected over time, through December 31, 2022, as reference believe the adoption of this ASU will have a material impact on its consolidated financial |
Recent Accounting Pronouncements | Recent Accounting On January 1, 2020, we adopted Accounting Standards Update (“ASU”) 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit expected credit loss model). The Company’s adoption of this ASU did not have a material effect on its financial financial assets were already measured at fair value through earnings. In March 2020, the FASB issued ASU 2020-04 “ Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ” on debt instruments, leases, derivatives, and other contracts, related to the expected market Offered Rate (“LIBOR”), and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to remeasurement at the modification date nor a reassessment of a previous accounting optional and may be elected over time, through December 31, 2022, as reference believe the adoption of this ASU will have a material impact on its consolidated financial |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following position that (in thousands) September 30, 2020 December 31, 2019 Cash and cash equivalents $ 199,805 $ 193,770 Restricted cash 47,541 84,885 Total cash, cash equivalents $ 247,346 $ 278,655 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Residential Mortgage Backed Securities [Member] | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following (in thousands) September 30, 2020 December 31, 2019 Pass-Through RMBS Certificates: Adjustable-rate Mortgages $ 960 $ 1,014 Fixed-rate Mortgages 3,357,501 3,206,013 Fixed-rate CMOs 151,110 299,205 Total Pass-Through 3,509,571 3,506,232 Structured RMBS Certificates: Interest-Only Securities 30,796 60,986 Inverse Interest-Only Securities - 23,703 Total Structured 30,796 84,689 Total $ 3,540,367 $ 3,590,921 |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements and remaining maturities | As of September below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL September 30, 2020 Fair market value of securities pledged, including accrued interest receivable $ 4,956 $ 1,700,941 $ 675,475 $ 1,044,903 $ 3,426,275 Repurchase agreement liabilities associated with these securities $ 3,709 $ 1,627,083 $ 648,133 $ 1,002,378 $ 3,281,303 Net weighted average borrowing rate 1.30% 0.24% 0.24% 0.24% 0.24% December 31, 2019 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,470,263 $ 1,005,517 $ 120,941 $ 3,596,721 Repurchase agreement liabilities associated with these securities $ - $ 2,361,378 $ 964,368 $ 122,360 $ 3,448,106 Net weighted average borrowing rate - 2.04% 1.94% 2.60% 2.03% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Financial Instruments [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Derivative The table September (in thousands) Derivative Instruments and Related Accounts Balance Sheet Location September 30, 2020 December 31, 2019 Assets Payer swaptions - long Derivative assets, at fair value $ 14,048 $ - TBA securities Derivative assets, at fair value 191 - Total derivative $ 14,239 $ - Liabilities Interest rate swaps Derivative liabilities, at fair value $ 26,636 $ 20,146 Payer swaptions - short Derivative liabilities, at fair value 6,221 - TBA securities Derivative liabilities, at fair value 438 512 Total derivative $ 33,295 $ 20,658 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 561 $ 1,338 TBA securities Restricted cash 1,394 246 Interest rate swaption contracts Other liabilities (1,037) - Interest rate swap contracts Restricted cash 20,819 17,450 Total margin $ 21,737 $ 19,034 |
Schedule of Eurodollar and T-Note futures positions | Eurodollar, Fed charged to a daily basis. 2020 and December ($ in thousands) September 30, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 50,000 3.25% 0.25% $ (375) 2021 50,000 1.03% 0.20% (415) Total / $ 50,000 1.47% 0.21% $ (790) Treasury Note Futures Contracts (Short (2) December 2020 5-year T-Note futures (Dec 2020 - Dec 2025 Hedge Period) $ 69,000 0.70% 0.69% $ (22) ($ in thousands) December 31, 2019 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2020 $ 500,000 2.97% 1.67% $ (6,505) Total / $ 500,000 2.97% 1.67% $ (6,505) Treasury Note Futures Contracts (Short (2) March 2020 5 year T-Note futures (Mar 2020 - Mar 2025 Hedge Period) $ 69,000 1.96% 2.06% $ 302 Open equity represents the cumulative gains (losses) recorded on open (2) T-Note futures contracts were valued 126.03 118.61 the short positions were $ 87.0 81.8 |
Schedule of Interest Rate Swap Agreements [Table Text Block] | 3 to ≤ 5 years $ 620,000 1.29% 0.25% $ (23,817) 3.9 Expiration > 5 years 200,000 0.67% 0.25% (2,819) 6.7 $ 820,000 1.14% 0.25% $ (26,636) 4.6 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8" id="sjs-B6">Under our swaps"). The agreements below presents ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) September 30, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.25% $ (23,817) 3.9 Expiration > 5 years 200,000 0.67% 0.25% (2,819) 6.7 $ 820,000 1.14% 0.25% $ (26,636) 4.6 December 31, 2019 Expiration > 1 to ≤ 3 years $ 360,000 2.05% 1.90% $ (3,680) 2.3 Expiration > 3 to ≤ 5 years 910,000 2.03% 1.93% (16,466) 4.4 $ 1,270,000 2.03% 1.92% $ (20,146) 3.8 |
Schedule Of Interest Rate Swaption Agreements [Table Text Block] | The table ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustabl e Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) September 30, 2020 Payer Swaptions - long ≤ 1 year $ 3,450 $ 32 5.5 $ 500,000 0.95% 3 Month 4.0 >1 year ≤ 2 years 13,410 14,016 20.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 14,048 14.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions - short ≤ 1 year $ (4,660) $ (6,221) 8.4 $ 507,700 1.49% 3 Month 12.8 |
Schedule of To Be Announced Securities [TableTextBlock] | The following table 2019 ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2020 15-Year TBA securities: 2.0% $ 175,000 $ 181,727 $ 181,918 $ 191 30-Year TBA securities: 2.5% 200,000 210,250 209,812 (438) Total $ 375,000 $ 391,977 $ 391,730 $ (247) December 31, 2019 30-Year TBA securities: 4.5% $ (300,000) $ (315,426) $ (315,938) $ (512) Total $ (300,000) $ (315,426) $ (315,938) $ (512) Notional amount represents the par value (or principal balance) of the (2) Cost basis represents the forward price to be paid (received) for the (3) Market value represents the current market value of the TBA securities (4) Net carrying value represents the difference between the market in derivative assets (liabilities) at fair value in our balance sheets. |
Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations | Gain (Loss) From Derivative and Other Hedging Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the nine and three months ended September 30, 2020 and 2019. (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2020 2019 2020 2019 Eurodollar futures contracts (short positions) $ (8,324) $ (14,423) $ (6) $ (94) T-Note futures contracts (short position) (4,837) (6,311) (113) (1,112) Fed Funds futures contracts (short positions) - 313 - 313 Interest rate swaps (67,713) (36,322) 489 (9,918) Payer swaptions - short (1,561) - (672) - Payer swaptions - long (3,287) (1,379) 914 (316) Net TBA securities (1,813) (3,846) 3,431 2,479 U.S. Treasury securities - short position (95) - 36 - Total $ (87,630) $ (61,968) $ 4,079 $ (8,648) |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Schedule of assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled | Assets Pledged The table including securities (in thousands) September 30, 2020 December 31, 2019 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,387,253 $ - $ 3,387,253 $ 3,500,394 $ - $ 3,500,394 Structured RMBS - fair value 28,865 - 28,865 83,960 - 83,960 Accrued interest on pledged securities 10,157 - 10,157 12,367 - 12,367 Restricted cash 24,767 22,774 47,541 65,851 19,034 84,885 Total $ 3,451,042 $ 22,774 $ 3,473,816 $ 3,662,572 $ 19,034 $ 3,681,606 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged The table agreements (in thousands) Reverse Repurchase Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Agreements Total September 30, 2020 Cash $ 5,855 $ - $ 1,037 $ 6,892 U.S. Treasury securities - fair value 1,424 - - 1,424 Total $ 7,279 $ - $ 1,037 $ 8,316 December 31, 2019 Cash $ 1,418 $ - $ - $ 1,418 Total $ 1,418 $ - $ - $ 1,418 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting of Assets [Table Text Block] | The following presented (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, 2020 Interest rate swaptions $ 14,048 $ - $ 14,048 $ - $ (1,037) $ 13,011 TBA securities 191 - 191 - - 191 $ 14,239 $ - $ 14,239 $ - $ (1,037) $ 13,202 |
Offsetting of Liabilties [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, 2020 Repurchase Agreements $ 3,281,303 $ - $ 3,281,303 $ (3,256,536) $ (24,767) $ - Interest rate swaps 26,636 - 26,636 - (20,819) 5,817 Interest rate swaptions 6,221 - 6,221 - - 6,221 TBA securities 438 - 438 - (438) - $ 3,314,598 $ - $ 3,314,598 $ (3,256,536) $ (46,024) $ 12,038 December 31, 2019 Repurchase Agreements $ 3,448,106 $ - $ 3,448,106 $ (3,382,255) $ (65,851) $ - Interest rate swaps 20,146 - 20,146 - (17,450) 2,696 TBA securities 512 - 512 - (246) 266 $ 3,468,764 $ - $ 3,468,764 $ (3,382,255) $ (83,547) $ 2,962 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Capital Stock [Abstract] | |
Schedule of completed public offerings of shares of common stock | Common Stock During the public offerings ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2020 At the Market Offering Program (3) First Quarter $ 6.23 3,170,727 $ 19,447 At the Market Offering Program (3) Third Quarter 5.15 3,073,326 15,566 Total 6,244,053 $ 35,013 2019 At the Market Offering Program (3) First Quarter $ 6.84 1,267,894 $ 8,503 At the Market Offering Program (3) Second Quarter 6.70 4,337,931 28,495 At the Market Offering Program (3) Third Quarter 6.37 1,771,301 11,098 Follow-on Offering Third Quarter 6.35 7,000,000 44,218 14,377,126 $ 92,314 Weighted average price received per share is before deducting (2) Net proceeds are net of the underwriters’ discount, if applicable, and (3) The Company has entered into eight equity distribution agreements, or were replaced with a subsequent agreement. |
Schedul of cash dividends declared on the Company's common stock | 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 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 1.070 55,814 2019 0.960 54,421 2020 - YTD (1) 0.660 44,055 Totals $ 11.525 $ 332,448 On October 14, 2020, the Company declared a dividend of $ 0.065 included in the table above, but is not reflected in the Company’s |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule of Performance Units outstanding | The following table presents information related to Performance Units outstanding during the nine months ended September 30, 2020 and 2019. ($ in thousands, except per share data) Nine Months Ended September 30, 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 19,021 $ 7.78 43,672 $ 8.34 Forfeited (1,607) 7.45 - - Vested and issued (10,583) 8.03 (20,498) 8.90 Unvested, end of period 6,831 $ 7.45 23,174 $ 7.85 Compensation expense during period $ 32 $ 94 Unrecognized compensation expense, end of period $ 8 $ 60 Intrinsic value, end of period $ 34 $ 133 Weighted-average remaining vesting term (in years) 0.5 0.9 |
Schedule of Fully Vested Deferred Stock Units | The following table presents information related to the DSUs outstanding during the nine months ended September 30, 2020 and 2019. ($ in thousands, except per share data) Nine Months Ended September 30, 2020 2019 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 43,570 $ 6.56 12,434 $ 7.37 Granted and vested 36,682 4.22 22,424 6.42 Issued - - - - Outstanding, end of period 80,252 $ 5.49 34,858 $ 6.76 Compensation expense during period $ 135 $ 135 Intrinsic value, end of period $ 402 $ 200 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table 2019. (in thousands, except per share information) Nine Months Ended September 30, Three Months Ended September 30, 2020 2019 2020 2019 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (14,351) $ 5,653 $ 28,076 $ (8,477) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 69,296 63,058 69,296 63,058 Unvested dividend eligible share based compensation outstanding at the balance sheet date - 58 87 - Effect of weighting (3,282) (9,078) (2,081) (2,639) Weighted average shares-basic and diluted 66,014 54,038 67,302 60,419 Net (loss) income per common share: Basic and diluted $ (0.22) $ 0.10 $ 0.42 $ (0.14) Anti-dilutive incentive shares not included in calculation. 87 - - 58 |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following December 31, (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, 2020 Mortgage-backed securities $ - $ 3,540,367 $ - Interest rate swaps - (26,636) - Interest rate swaptions - 7,827 - TBA securities - (246) - December 31, 2019 Mortgage-backed securities $ - $ 3,590,921 $ - Interest rate swaps - (20,146) - TBA securities - (512) - |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | Aug. 02, 2019 | Sep. 30, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Aug. 03, 2020 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | Aug. 11, 2019 |
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 35,013,000 | $ 92,322,000 | |||||||||||
Stock Issued During Period, Value, New Issues | $ 15,566,000 | $ 0 | $ 19,447,000 | $ 55,324,000 | $ 28,495,000 | $ 8,503,000 | $ 35,013,000 | $ 92,314,000 | |||||
Total shares issued under distribution agreement | 3,171,000 | 6,244,053,000 | 14,377,126 | ||||||||||
At the Market Offering Program [Member] | |||||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 15,600,000 | $ 19,400,000 | $ 123,100,000 | ||||||||||
Stock Issued During Period, Value, New Issues | $ 15,800,000 | $ 19,800,000 | $ 125,000,000 | ||||||||||
Total shares issued under distribution agreement | 3,073,326 | 3,170,727 | 15,123,178 | ||||||||||
At the Market Offering Program [Member] | Maximum [Member] | |||||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Stock Issued During Period, Value, New Issues | $ 150,000,000 | $ 200,000,000 | $ 125,000,000 | ||||||||||
Follow-on Offering [Member] | |||||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Stock Issued During Period, Value, New Issues | $ 44,200,000 | ||||||||||||
Total shares issued under distribution agreement | 7,000,000 | ||||||||||||
Share Price | $ 6.3535 | ||||||||||||
Follow-on Offering [Member] | Maximum [Member] | |||||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Total shares issued under distribution agreement | 7,000,000 | ||||||||||||
Share Price | $ 6.55 |
ORGANIZATION AND SIGNIFICANT _3
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - COVID-19 Impact (Narrative) (Details) - USD ($) | Mar. 20, 2020 | Sep. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
COVID-19 Impact [Line Items] | |||||||||||
Proceeds From Sale Of Mortgage Backed Securities MBS Categorized As Trading | $ 2,692,230,000 | $ 1,948,079,000 | |||||||||
Marketable Securities, Realized Gain (Loss) | $ 498,000 | $ (5,491,000) | (24,522,000) | (5,135,000) | |||||||
Gain Loss On Derivative Instruments Held For Trading Purposes Net | 4,079,000 | (8,648,000) | (87,630,000) | (61,968,000) | |||||||
Mortgage-backed securities | 3,540,367,000 | 3,540,367,000 | $ 3,590,921,000 | ||||||||
Outstanding repurchase obligations | 3,281,303,000 | 3,281,303,000 | 3,448,106,000 | ||||||||
Stockholders Equity | 376,741,000 | $ 308,144,000 | 391,988,000 | 376,741,000 | 391,988,000 | $ 345,968,000 | 395,507,000 | $ 359,658,000 | $ 340,414,000 | $ 336,079,000 | |
COVID-19 [Member] | |||||||||||
COVID-19 Impact [Line Items] | |||||||||||
Proceeds From Sale Of Mortgage Backed Securities MBS Categorized As Trading | $ 1,100,000,000 | 2,700,000,000 | |||||||||
Marketable Securities, Realized Gain (Loss) | $ (31,400,000) | (24,500,000) | |||||||||
Mortgage-backed securities | 3,500,000,000 | 2,900,000,000 | 3,500,000,000 | 3,300,000,000 | 3,600,000,000 | ||||||
Outstanding repurchase obligations | 3,300,000,000 | 2,800,000,000 | 3,300,000,000 | 3,200,000,000 | 3,400,000,000 | ||||||
Stockholders Equity | 376,700,000 | 308,100,000 | 376,700,000 | $ 346,000,000 | $ 395,500,000 | ||||||
Swap [Member] | |||||||||||
COVID-19 Impact [Line Items] | |||||||||||
Gain Loss On Derivative Instruments Held For Trading Purposes Net | $ 489,000 | $ (9,918,000) | (67,713,000) | $ (36,322,000) | |||||||
Swap [Member] | COVID-19 [Member] | |||||||||||
COVID-19 Impact [Line Items] | |||||||||||
Terminated Swap Positions Notional | 1,200,000,000 | ||||||||||
Gain Loss On Derivative Instruments Held For Trading Purposes Net | $ (45,000,000) | $ (54,500,000) |
ORGANIZATION AND SIGINIFICANT A
ORGANIZATION AND SIGINIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Dec. 31, 2018 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 199,805,000 | $ 193,770,000 | ||
Restricted cash | 47,541,000 | 84,885,000 | ||
Total cash, cash equivalents and restricted cash | $ 247,346,000 | $ 278,655,000 | $ 202,216,000 | $ 126,263,000 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 3,540,367,000 | $ 3,590,921,000 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,509,571,000 | 3,506,232,000 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 30,796,000 | 84,689,000 |
Adjustable-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 960,000 | 1,014,000 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,357,501,000 | 3,206,013,000 |
Collateralized Mortgage Obligations [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 151,110,000 | 299,205,000 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 30,796,000 | 60,986,000 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 0 | $ 23,703,000 |
REPURCHASE AGREEMENTS AND REVER
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS (Narrative) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | $ 47,541 | $ 84,885 |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Aggregate amount at risk with all counterparties | 170,400 | |
Restricted Cash And Cash Equivalents At Carrying Value | $ 24,767 | $ 65,851 |
REPURCHASE AGREEMENTS AND REV_2
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS - Remaining Maturities (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 3,426,275 | $ 3,596,721 |
Repurchase agreement liabilities associated with these liabilities | $ 3,281,303 | $ 3,448,106 |
Net weighted average borrowing rate | 0.24% | 2.03% |
Overnight (1 Day or Less) [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 4,956 | $ 0 |
Repurchase agreement liabilities associated with these liabilities | $ 3,709 | $ 0 |
Net weighted average borrowing rate | 1.30% | 0.00% |
Between 2 and 30 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,700,941 | $ 2,470,263 |
Repurchase agreement liabilities associated with these liabilities | $ 1,627,083 | $ 2,361,378 |
Net weighted average borrowing rate | 0.24% | 2.04% |
Between 31 and 90 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 675,475 | $ 1,005,517 |
Repurchase agreement liabilities associated with these liabilities | $ 648,133 | $ 964,368 |
Net weighted average borrowing rate | 0.24% | 1.94% |
Greater Than 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,044,903 | $ 120,941 |
Repurchase agreement liabilities associated with these liabilities | $ 1,002,378 | $ 122,360 |
Net weighted average borrowing rate | 0.24% | 2.60% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 14,239 | $ 0 |
Liabilities, at Fair Value | 33,295 | 20,658 |
Restricted cash | 47,541 | 84,885 |
Other Liabilities | 2,094 | 1,041 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 14,239 | 0 |
Liabilities, at Fair Value | 33,295 | 20,658 |
Restricted cash | 21,737 | 19,034 |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 26,636 | 20,146 |
Restricted cash | 20,819 | 17,450 |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 191 | 0 |
Liabilities, at Fair Value | 438 | 512 |
Restricted cash | 1,394 | 246 |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 561 | 1,338 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Other Liabilities | 1,037 | 0 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 6,221 | 0 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | $ 14,048 | $ 0 |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 50,000,000 | $ 500,000,000 |
Derivative Entry Rate | 1.47% | 2.97% |
Locked-In LIBOR Rate | 0.21% | 1.67% |
Open Equity | $ (790,000) | $ (6,505,000) |
Year 2020 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 50,000,000 | $ 500,000,000 |
Derivative Entry Rate | 3.25% | 2.97% |
Locked-In LIBOR Rate | 0.25% | 1.67% |
Open Equity | $ (375,000) | $ (6,505,000) |
Year 2020 Expiration [Member] | Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 69,000,000 | $ 69,000,000 |
Derivative Entry Rate | 0.70% | 1.96% |
Locked-In LIBOR Rate | 0.69% | 2.06% |
Open Equity | $ (22,000) | $ 302,000 |
Dollar Price | 126.03 | 118.61 |
Notional Value | $ 87,000,000 | $ 81,800,000 |
Year 2021 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 50,000,000 | |
Derivative Entry Rate | 1.03% | |
Locked-In LIBOR Rate | 0.20% | |
Open Equity | $ (415,000) |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 375,000,000 | |
Net Estimated Fair Value | (247,000) | |
Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 820,000,000 | $ 1,270,000,000 |
Average Fixed Pay Rate | 1.14% | 2.03% |
Average Receive Rate | 0.25% | 1.92% |
Net Estimated Fair Value | $ (26,636,000) | $ (20,146,000) |
Average Maturity | 4 years 7 months 6 days | 3 years 9 months 18 days |
Swap [Member] | 1-3 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 360,000,000 | |
Average Fixed Pay Rate | 2.05% | |
Average Receive Rate | 1.90% | |
Net Estimated Fair Value | $ (3,680,000) | |
Average Maturity | 2 years 3 months 18 days | |
Swap [Member] | 3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 620,000,000 | $ 910,000,000 |
Average Fixed Pay Rate | 1.29% | 2.03% |
Average Receive Rate | 0.25% | 1.93% |
Net Estimated Fair Value | $ (23,817,000) | $ (16,466,000) |
Average Maturity | 3 years 10 months 24 days | 4 years 4 months 24 days |
Swap [Member] | More Than Five Years [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 200,000,000 | |
Average Fixed Pay Rate | 0.67% | |
Average Receive Rate | 0.25% | |
Net Estimated Fair Value | $ (2,819,000) | |
Average Maturity | 6 years 8 months 12 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | ||
Net Estimated Fair Value | $ (247) | |
Notional Amount | 375,000 | |
Payer Swaption [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | 16,860 | |
Net Estimated Fair Value | $ 14,048 | |
Derivative Instruments Average Months To Expiration | 14 months | |
Notional Amount | $ 1,175,000 | |
Derivative Average Fixed Interest Rate | 1.26% | |
Derivative Avergage Receive Rate | 3 Month | |
Term (Years) | 9 years | |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Avergage Receive Rate | 3 Month | |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ (4,660) | |
Net Estimated Fair Value | $ (6,221) | |
Derivative Instruments Average Months To Expiration | 8 months 12 days | |
Notional Amount | $ 507,700 | |
Derivative Average Fixed Interest Rate | 1.49% | |
Derivative Avergage Receive Rate | 3 Month | |
Term (Years) | 12 years 9 months 18 days | |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 3,450 | |
Net Estimated Fair Value | $ 32 | |
Derivative Instruments Average Months To Expiration | 5 months 15 days | |
Notional Amount | $ 500,000 | |
Derivative Average Fixed Interest Rate | 0.95% | |
Derivative Avergage Receive Rate | 3 Month | |
Term (Years) | 4 years | |
Payer Swaption [Member] | One Year To Two Years [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 13,410 | |
Net Estimated Fair Value | $ 14,016 | |
Derivative Instruments Average Months To Expiration | 20 months 12 days | |
Notional Amount | $ 675,000 | |
Derivative Average Fixed Interest Rate | 1.49% | |
Derivative Avergage Receive Rate | 3 Month | |
Term (Years) | 12 years 9 months 18 days |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 375,000,000 | |
Cost Basis | 391,977,000 | |
Market Value Of TBA Contract | 391,730,000 | |
Net Estimated Fair Value | (247,000) | |
30 Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 300,000,000 | |
Cost Basis | (315,426,000) | |
Market Value Of TBA Contract | (315,938,000) | |
Net Estimated Fair Value | (512,000) | |
30 Year [Member] | 4.5% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 300,000,000 | |
Cost Basis | (315,426,000) | |
Market Value Of TBA Contract | (315,938,000) | |
Net Estimated Fair Value | $ (512,000) | |
30 Year [Member] | 2.5% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 200,000,000 | |
Cost Basis | 210,250,000 | |
Market Value Of TBA Contract | 209,812,000 | |
Net Estimated Fair Value | (438,000) | |
15 Year [Member] | 2.0% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 175,000,000 | |
Cost Basis | 181,727,000 | |
Market Value Of TBA Contract | 181,918,000 | |
Net Estimated Fair Value | $ 191,000 |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - US Treasury positions (Details) $ in Thousands | Sep. 30, 2020USD ($) |
Derivatives, Fair Value [Line Items] | |
Cost Basis | $ 391,977 |
Derivative Asset, Fair Value, Gross Asset | $ (247) |
DERIVATIVE FINANCIAL INSTRUME_8
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | $ 4,079,000 | $ (8,648,000) | $ (87,630,000) | $ (61,968,000) |
Eurodollar Future [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | (6,000) | (94,000) | (8,324,000) | (14,423,000) |
Treasury Note Future [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | (113,000) | (1,112,000) | (4,837,000) | (6,311,000) |
Swap [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 489,000 | (9,918,000) | (67,713,000) | (36,322,000) |
Payer Swaption [Member] | Short [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | (672,000) | 0 | (1,561,000) | 0 |
Payer Swaption [Member] | Long [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 914,000 | (316,000) | (3,287,000) | (1,379,000) |
TBA Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 3,431,000 | 2,479,000 | (1,813,000) | (3,846,000) |
US Treasury Securities [Member] | Short [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | $ 36,000 | $ 0 | $ (95,000) | $ 0 |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 3,416,118,000 | $ 3,584,354,000 |
Accrued interest receivable | 10,378,000 | 12,404,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 0 | 0 |
Restricted cash | 47,541,000 | 84,885,000 |
Total Assets Pledged To Counterparties | 3,473,816,000 | 3,681,606,000 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 24,767,000 | 65,851,000 |
Total Assets Pledged To Counterparties | 3,451,042,000 | 3,662,572,000 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Restricted cash | 22,774,000 | 19,034,000 |
Total Assets Pledged To Counterparties | 22,774,000 | 19,034,000 |
Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,416,118,000 | 3,584,354,000 |
Accrued interest receivable | 10,157,000 | 12,367,000 |
Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,387,253,000 | 3,500,394,000 |
Residential Mortgage Backed Securities [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 28,865,000 | 83,960,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 10,157,000 | 12,367,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,387,253,000 | 3,500,394,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 28,865,000 | 83,960,000 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 0 | $ 0 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 8,316 | $ 1,418 |
Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 6,892 | 1,418 |
US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 1,424 | |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 7,279 | 1,418 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 5,855 | 1,418 |
Repurchase Agreement [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 1,424 | |
Reverse Repurchase Agreements [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Reverse Repurchase Agreements [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Reverse Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | |
Derivative Agreements [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 1,037 | 0 |
Derivative Agreements [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 1,037 | $ 0 |
Derivative Agreements [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 0 |
OFFSETTING ASSETS AND LIABILI_3
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Assets (Details) $ in Thousands | Sep. 30, 2020USD ($) |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | $ 14,239 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 14,239 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (1,037) |
Net Amount Of Assets | 13,202 |
Payer Swaption [Member] | |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | 14,048 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 14,048 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (1,037) |
Net Amount Of Assets | 13,011 |
TBA Contracts [Member] | |
Offsetting Assets [Line Items] | |
Gross Amount Of Recognized Assets | 191 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 191 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 |
Net Amount Of Assets | $ 191 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 3,314,598,000 | $ 3,468,764,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,314,598,000 | 3,468,764,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,256,536,000) | (3,382,255,000) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (46,024,000) | (83,547,000) |
Net Amount Of Liabilities | 12,038,000 | 2,962,000 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 3,281,303,000 | 3,448,106,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,281,303,000 | 3,448,106,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,256,536,000) | (3,382,255,000) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (24,767,000) | (65,851,000) |
Net Amount Of Liabilities | 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 26,636,000 | 20,146,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 26,636,000 | 20,146,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (20,819,000) | (17,450,000) |
Net Amount Of Liabilities | 5,817,000 | 2,696,000 |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 438,000 | 512,000 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 438,000 | 512,000 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (438,000) | (246,000) |
Net Amount Of Liabilities | 0 | $ 266,000 |
Payer Swaption [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 6,221,000 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 6,221,000 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | |
Net Amount Of Liabilities | $ 6,221,000 |
CAPITAL STOCK - Completed publi
CAPITAL STOCK - Completed public offerings ofcommon stock (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2020 | Dec. 31, 2019 | |
Stock Issued During Period Shares New Issues | 3,171,000 | 6,244,053,000 | 14,377,126 | |||||
Stock Issued During Period, Value, New Issues | $ 15,566,000 | $ 0 | $ 19,447,000 | $ 55,324,000 | $ 28,495,000 | $ 8,503,000 | $ 35,013,000 | $ 92,314,000 |
At the Market Offering Program [Member] | ||||||||
Weighted Average Price Received Per Share | $ 5.15 | $ 6.23 | $ 6.37 | $ 6.70 | $ 6.84 | $ 5.15 | ||
Stock Issued During Period Shares New Issues | 3,073,326 | 3,170,727 | 1,771,301 | 4,337,931 | 1,267,894 | |||
Stock Issued During Period, Value, New Issues | $ 15,566,000 | $ 19,447,000 | $ 11,098,000 | $ 28,495,000 | $ 8,503,000 | |||
Follow-on Offering [Member] | ||||||||
Weighted Average Price Received Per Share | $ 6.35 | |||||||
Stock Issued During Period Shares New Issues | 7,000,000 | |||||||
Stock Issued During Period, Value, New Issues | $ 44,218,000 |
CAPITAL STOCK - Share Repurchas
CAPITAL STOCK - Share Repurchase Progam (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 62 Months Ended | |||||
Jun. 30, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Line Items] | ||||||||
Stock Repurchased and Retired During Period, Value | $ (68) | $ 0 | $ (3,024) | |||||
Share Repurchase Program [Member] | Common Stock [Member] | ||||||||
Share Repurchase Program [Line Items] | ||||||||
Stock Repurchase Program Authorization Date | Jul. 29, 2015 | |||||||
Stock Repurchased and Retired During Period, Shares | 19,891 | 469,975 | 5,685,511 | |||||
Stock Repurchased and Retired During Period, Value | $ 100 | $ 3,000 | $ 40,400 | |||||
Weighted Average Share Repurchase Price | $ 3.42 | $ 6.43 | $ 7.10 | |||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 837,311 | 837,311 | ||||||
Share Repurchase Program [Member] | Maximum [Member] | Common Stock [Member] | ||||||||
Share Repurchase Program [Line Items] | ||||||||
Share Repurchase | 2,000,000 | |||||||
Program Increase [Member] | Maximum [Member] | Common Stock [Member] | ||||||||
Share Repurchase Program [Line Items] | ||||||||
Share Repurchase | 4,522,822 |
CAPITAL STOCK - Cash dividends
CAPITAL STOCK - Cash dividends declared (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 14, 2020 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2020 |
Dividends Payable [Line Items] | |||||||||||||
Per Share Amount | $ 0.190 | $ 0.240 | $ 0.595 | $ 0.720 | |||||||||
Dividend Declared [Member] | |||||||||||||
Dividends Payable [Line Items] | |||||||||||||
Per Share Amount | $ 0.660 | $ 0.960 | $ 1.070 | $ 1.680 | $ 1.680 | $ 1.920 | $ 2.160 | $ 1.395 | $ 11.525 | ||||
Total | $ 44,055 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 332,448 | ||||
Dividend Declared [Member] | Subsequent Event [Member] | |||||||||||||
Dividends Payable [Line Items] | |||||||||||||
Per Share Amount | $ 0.065 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) | 9 Months Ended |
Sep. 30, 2020shares | |
Employee Benefits And Share Based Compensation [Abstract] | |
Maximum Number of Shares to Be Issued the Plan | 4,000,000 |
Percentage of Outstanding Stock Limitation | 0.10% |
STOCK INCENTIVE PLAN - (Narrati
STOCK INCENTIVE PLAN - (Narrative) (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | |
Performance Shares [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 19,021 | 43,672 |
Forfeited | 1,607 | 0 |
Vested | 10,583 | 20,498 |
Nonvested - Ending Balance | 6,831 | 23,174 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 7.78 | $ 8.34 |
Forfeited | 7.45 | 0 |
Vested | 8.03 | 8.90 |
Nonvested - Ending Balance | $ 7.45 | $ 7.85 |
Intrinsic Value of Nonvested | $ 34,000 | $ 133,000 |
Weighted Average Remaining Term | 6 months | 10 months 24 days |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 8,000 | $ 60,000 |
Share Based Compensation | $ 32,000 | $ 94,000 |
Deferred Stock Units [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 43,570 | 12,434 |
Granted | 36,682 | 22,424 |
Vested | 0 | 0 |
Nonvested - Ending Balance | 80,252 | 34,858 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 6.56 | $ 7.37 |
Granted | 4.22 | 6.42 |
Vested | 0 | 0 |
Nonvested - Ending Balance | $ 5.49 | $ 6.76 |
Intrinsic Value of Nonvested | $ 402,000 | $ 200,000 |
Share Based Compensation | $ 135,000 | $ 135,000 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | ||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 28,076,000 | $ (8,477,000) | $ (14,351,000) | $ 5,653,000 |
Net Income (Loss) Available to Common Stockholders, Diluted | $ 28,076,000 | $ (8,477,000) | $ (14,351,000) | $ 5,653,000 |
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | ||||
Common Shares Outstanding | 69,296,000 | 63,058,000 | 69,296,000 | 63,058,000 |
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date | 87,000 | 0 | 0 | 58,000 |
Effect of Weighting | (2,081,000) | (2,639,000) | (3,282,000) | (9,078,000) |
Weighted Average Shares - Basic and Diluted | 67,301,901 | 60,418,985 | 66,014,379 | 54,037,721 |
Income (Loss) Per Share - Basic | $ 0.42 | $ (0.14) | $ (0.22) | $ 0.10 |
Income (Loss) Pe Share - Diluted | $ 0.42 | $ (0.14) | $ (0.22) | $ 0.1 |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 0 | 58,000 | 87,000 | 0 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,540,367 | $ 3,590,921 |
Derivative, Fair Value, Net | 14,239 | 0 |
Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | |
Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,540,367 | 3,590,921 |
Fair Value, Inputs, Level 2 [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (26,636) | (20,146) |
Fair Value, Inputs, Level 2 [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 7,827 | 0 |
Fair Value, Inputs, Level 2 [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | (246) | (512) |
Fair Value, Inputs, Level 2 [Member] | US Treasury Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Interest Rate Swaption [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | TBA Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 0 | $ 0 |
Fair Value, Inputs, Level 3 [Member] | US Treasury Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | $ 0 |
RELATED PARTY TRANSACTIONS - Ma
RELATED PARTY TRANSACTIONS - Management Agreement (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |||||
Due to affiliates | $ 590 | $ 590 | $ 622 | ||
Bimini Advisors, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Termination Date | February 20, 2021 | ||||
Automatic Renewal Period Of Management Agreement | 1 year | ||||
Management Fees And Allocated Expenses | $ 1,600 | $ 1,800 | $ 5,000 | $ 5,100 |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) - Bimini Capital Management Inc [Member] | Sep. 30, 2020shares |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 2,495,357 |
Entity Ownership Percentage | 3.80% |