DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - shares | 3 Months Ended | |
Mar. 31, 2021 | Apr. 30, 2021 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2021 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q1 | |
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 | 94,410,960 | |
Trading Symbol | ORC | |
Security Exchange Name | NYSE | |
Security 12(b) Title | Common Stock, $0.01 par value | |
Interactive Data Current | Yes | |
Document Quarterly Report | true | |
Document Transition Report | false | |
City Area Code | 772 | |
Local Phone Number | 231-1400 | |
Entity Address Line 1 | 3305 Flamingo Drive | |
Entity Address City or Town | Vero Beach | |
Entity Address State or Province | FL | |
Entity Postal Zip Code | 32963 | |
Entity Incorporation, State Country Name | MD | |
Entity File Number | 001-35236 | |
Entity Tax ID Number | 27-3269228 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Mortgage-backed securities, at fair value | ||
Pledged to counterparties | $ 4,120,500,000 | $ 3,719,906,000 |
Unpledged | 218,036,000 | 6,989,000 |
Total mortgage-backed securities | 4,338,536,000 | 3,726,895,000 |
Cash and cash equivalents | 211,436,000 | 220,143,000 |
Restricted cash | 117,155,000 | 79,363,000 |
Accrued interest receivable | 10,852,000 | 9,721,000 |
Derivative Assets | 95,752,000 | 20,999,000 |
Receivable for securities sold, pledged to counterparties | 154,977,000 | 414,000 |
Other assets | 2,058,000 | 516,000 |
Total Assets | 4,930,766,000 | 4,058,051,000 |
Liabilities | ||
Outstanding repurchase obligations | 4,181,680,000 | 3,595,586,000 |
Payable for unsettled securities purchased | 217,758,000 | 0 |
Dividends Payable | 6,156,000 | 4,970,000 |
Derivitive Liabilities | 35,057,000 | 33,227,000 |
Accrued interest payable | 921,000 | 1,157,000 |
Due to affiliates | 712,000 | 632,000 |
Other Liabilities | 22,306,000 | 7,188,000 |
Total Liabilities | 4,464,590,000 | 3,642,760,000 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 944,000 | 761,000 |
Additional paid in capital | 512,595,000 | 432,524,000 |
Accumulated deficit | (47,363,000) | (17,994,000) |
Total Stockholders Equity | 466,176,000 | 415,291,000 |
Total Liabilities and Stockholders Equity | $ 4,930,766,000 | $ 4,058,051,000 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parentheticals) - $ / shares | Mar. 31, 2021 | Dec. 31, 2020 |
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 | 94,410,960 | 76,073,317 |
Common Shares Outstanding | 94,410,960 | 76,073,317 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Income Statement [Abstract] | ||
Interest income | $ 26,856,000 | $ 35,671,000 |
Interest expense | 1,941,000 | 16,523,000 |
Net interest income | 24,915,000 | 19,148,000 |
Realized gains (losses) on mortgage-backed securities | (7,397,000) | (28,380,000) |
Unrealized gains (losses) on mortgage-backed securities | (88,866,000) | 3,032,000 |
(Losses) gains on derivative instruments | 45,472,000 | (82,858,000) |
Net portfolio income | (25,876,000) | (89,058,000) |
Expenses | ||
Management Fee Expense | 1,621,000 | 1,377,000 |
Allocated Overhead | 404,000 | 347,000 |
Compensation and related benefits | 364,000 | (436,000) |
Directors fees and liability insurance | 272,000 | 260,000 |
Audit, legal and other professional fees | 318,000 | 255,000 |
Direct REIT operating expenses | 421,000 | 206,000 |
Other administrative | 93,000 | 132,000 |
Total expenses | 3,493,000 | 2,141,000 |
Net income (loss) | $ (29,369,000) | $ (91,199,000) |
Basic and diluted net income (loss) per share | ||
Basic | $ (0.34) | $ (1.41) |
Diluted | $ (0.34) | $ (1.41) |
Weighted Average Shares Outstanding | ||
Weighted Average Shares - Basic and Diluted | 85,344,954 | 64,590,205 |
Dividends Per Share [Abstract] | ||
Dividends Declared Per Common Share | $ 0.195 | $ 0.240 |
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, 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 | 31,000 | 19,416,000 | 0 | |
Issuance of common shares pursuant to stock based compensation plan | 59,000 | 0 | 59,000 | 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 | 63,062,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 3,171,000 | |||
Stock Issued During Period Shares Share Based Compensation | 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 | ||||
Issuance of common stock pursuant to public offerings, net | 71,050,000 | |||
Balances at Dec. 31, 2020 | $ 415,291,000 | $ 761,000 | 432,524,000 | (17,994,000) |
Common Stock Shares Outstanding, Beginning Balance at Dec. 31, 2019 | 63,062,000 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 13,019,240 | |||
Common Stock Shares Outstanding, Ending Balance at Dec. 31, 2020 | 76,073,317 | 76,073,000 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Net income | $ (29,369,000) | $ 0 | 0 | (29,369,000) |
Cash dividend declared | 17,226,000 | 0 | 17,226,000 | 0 |
Issuance of common stock pursuant to public offerings, net | 96,908,000 | 182,000 | 96,726,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 572,000 | 1,000 | 571,000 | 0 |
Balances at Mar. 31, 2021 | $ 466,176,000 | $ 944,000 | $ 512,595,000 | $ (47,363,000) |
Increase (Decrease) in Stockholders' Equity | ||||
Stock Issued During Period Shares New Issues | 18,248,048,000 | 18,248,000 | ||
Stock Issued During Period Shares Share Based Compensation | 90,000 | |||
Common Stock Shares Outstanding, Ending Balance at Mar. 31, 2021 | 94,410,960 | 94,411,000 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) | 3 Months Ended | |
Mar. 31, 2021USD ($) | Mar. 31, 2020USD ($) | |
CASH FLOWS FROM OPERATING ACTIVITIES | ||
Net income (loss) | $ (29,369,000) | $ (91,199,000) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Stock based compensation and equity plan amortization | 259,000 | 59,000 |
Realized and unrealized (gains) losses on mortgage-backed securities | 96,263,000 | 25,348,000 |
Derivative, Gain (Loss) on Derivative, Net | (45,914,000) | 64,613,000 |
Changes in operating assets and liabilities | ||
Accrued interest receivable | (1,050,000) | 2,350,000 |
Other assets | (588,000) | (655,000) |
Accrued interest payable | (236,000) | (7,287,000) |
Other liabilities | 5,318,000 | (223,000) |
Due to affiliates | 80,000 | (102,000) |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 24,763,000 | (7,096,000) |
From mortgage-backed securities investments | ||
Purchases | (1,764,082,000) | (1,334,350,000) |
Sales | 988,523,000 | 1,808,867,000 |
Principal repayments | 123,880,000 | 142,259,000 |
Payments on net settlement of to-be-announced securities | (3,289,000) | (7,602,000) |
Purchase of interest rate swaptions, net of margin cash received | 7,385,000 | 45,458,000 |
NET CASH USED IN INVESTING ACTIVITIES | (662,353,000) | 563,716,000 |
CASH FLOWS FROM FINANCING ACTIVITIES | ||
Proceeds from repurchase agreements | 7,517,156,000 | 13,602,710,000 |
Principal payments on repurchase agreements | (6,931,062,000) | (14,240,566,000) |
Cash dividends | (16,030,000) | (15,416,000) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 96,908,000 | 19,447,000 |
Payments Related To Tax Withholding For Share Based Compensation | 297,000 | 0 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | 666,675,000 | (633,825,000) |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 29,085,000 | (77,205,000) |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 299,506,000 | 278,655,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 328,591,000 | 201,450,000 |
Cash paid during the period for: | ||
Interest Paid | 2,176,000 | 23,809,000 |
SUPPLEMENTAL DISCLOSURES OF NONCASH FINANCING ACTIVITIES: | ||
Securities acquired settled in later period | 217,758,000 | 3,450,000 |
Securities Sold Settled In Later Period | 154,977,000 | 0 |
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 | (13,903,000) | 2,589,000 |
Swap [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | (30,053,000) | 54,934,000 |
TBA Contracts [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | (574,000) | 7,090,000 |
Interest Rate Floor [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | $ (1,384,000) | $ 0 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | Organization Orchid Island and managing February 20, November 24, was the issuance 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. 10,156,561 Agreement for aggregate gross proceeds of approximately $ 54.1 53.2 commissions and fees. On January 20, 2021, Orchid entered into an underwriting agreement (the “January Morgan Securities LLC (“J.P. Morgan”), relating to the offer and sale of 7,600,000 Morgan purchased the shares of the Company’s common stock from the Company pursuant Agreement at $ 5.20 1,140,000 21, 2021. The closing of the offering of 8,740,000 proceeds to the Company of approximately $ 45.2 On March 2, 2021, Orchid entered into an underwriting agreement (the “March 2021 relating to the offer and sale of 8,000,000 Company’s common stock from the Company pursuant to the March 2021 Underwriting 5.45 Company granted J.P. Morgan a 30-day option to purchase up to an additional 1,200,000 the same terms and conditions, which J.P. Morgan exercised in full on March 3, 2021. The closing of the offering of 9,200,000 of the Company’s common stock occurred on March 5, 2021, with net proceeds to the Company 50.1 offering expenses. COVID-19 Impact Beginning conditions about by COVID-19, margin calls condition. The Agency RMBS and all margin the extent our business, estimate the materially Basis of The accompanying in the United Accordingly, they management, Operating the year ending The balance of the information statements The preparation the reported the reported significant the estimates 2021. 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) March 31, 2021 December 31, 2020 Cash and cash equivalents $ 211,436 $ 220,143 Restricted cash 117,155 79,363 Total cash, cash equivalents $ 328,591 $ 299,506 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 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 The Company’s hedges of Holding derivatives honor their receive payments collateral banks as counterparties, Financial The fair value statements swaptions value for The estimated other assets, liabilities financial instruments. 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 Recent 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 In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848). ASU 2021-01 expands the scope of ASC 848 to include all affected derivatives and give market participants the ability to apply certain hedge accounting expedients to derivative contracts affected by the discounting transition. In implementation guidance to permit a company to apply certain optional expedients margining, discounting or contract price alignment of certain derivatives as a result optional expedients to account for a derivative contract modified as a continuation of accounting when certain critical terms of a hedging relationship change to modifications guidance in ASU 2021-01 is effective immediately and available generally through December activities occur. The Company does not believe the adoption of this ASU will have a material impact on its financial statements. |
MORTGAGE-BACKED SECURITIES
MORTGAGE-BACKED SECURITIES | 3 Months Ended |
Mar. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2. The following (in thousands) March 31, 2021 December 31, 2020 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 4,297,731 $ 3,560,746 Fixed-rate CMOs - 137,453 Total Pass-Through 4,297,731 3,698,199 Structured RMBS Certificates: Interest-Only Securities 35,521 28,696 Inverse Interest-Only Securities 5,284 - Total Structured 40,805 28,696 Total $ 4,338,536 $ 3,726,895 |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 3 Months Ended |
Mar. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3. The Company generally fixed borrowing. down borrowings securities requirements. As of March below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL March 31, 2021 Fair market value of securities pledged, including accrued interest receivable $ 58,219 $ 2,288,135 $ 1,316,896 $ 622,666 $ 4,285,916 Repurchase agreement liabilities associated with these securities $ 53,526 $ 2,233,561 $ 1,289,617 $ 604,976 $ 4,181,680 Net weighted average borrowing rate 0.24% 0.18% 0.18% 0.18% 0.18% December 31, 2020 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,112,969 $ 1,560,798 $ 55,776 $ 3,729,543 Repurchase agreement liabilities associated with these securities $ - $ 2,047,897 $ 1,494,500 $ 53,189 $ 3,595,586 Net weighted average borrowing rate - 0.23% 0.22% 0.30% 0.23% In addition, cash pledged to counterparties for repurchase agreements was approximately 102.6 58.8 March 31, 2021 and December 31, 2020, respectively. If, during pledged assets, plus interest and cash posted by the Company as collateral. At March between the value of securities 205.9 million. 31, 2021 and |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 3 Months Ended |
Mar. 31, 2021 | |
Derivative Financial Instruments [Abstract] | |
Derivative Financial Instruments | NOTE 4. DERIVATIVE AND OTHER HEDGING INSTRUMENTS The table March 31, (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location March 31, 2021 December 31, 2020 Assets Interest rate swaps Derivative assets, at fair value $ 25,254 $ 7 Payer swaptions (long positions) Derivative assets, at fair value 58,643 17,433 Interest rate floors Derivative assets, at fair value 2,399 - TBA securities Derivative assets, at fair value 9,456 3,559 Total derivative $ 95,752 $ 20,999 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 24,711 Payer swaptions (short positions) Derivative liabilities, at fair value 35,057 7,730 TBA securities Derivative liabilities, at fair value - 786 Total derivative $ 35,057 $ 33,227 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 585 $ 489 TBA securities Restricted cash 1,781 284 TBA securities Other liabilities (7,407) (2,520) Interest rate swaption contracts Other liabilities (13,962) (3,563) Interest rate swap contracts Restricted cash 12,214 19,761 Total margin $ (6,789) $ 14,451 Eurodollar, Fed charged to a daily basis. and December ($ in thousands) March 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.01% 0.21% $ (301) Treasury Note Futures Contracts (Short (2) June 2021 5-year T-Note futures (Jun 2021 - Jun 2026 Hedge Period) $ 69,000 0.88% 1.17% $ 1,036 ($ in thousands) December 31, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.03% 0.18% $ (424) Treasury Note Futures Contracts (Short (2) March 2021 5 year T-Note futures (Mar 2021 - Mar 2026 Hedge Period) $ 69,000 0.72% 0.67% $ (186) Open equity represents the cumulative gains (losses) recorded on open (2) T-Note futures contracts were valued 123.40 126.16 short positions were $ 85.1 87.1 Under our The floating agreements below presents ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) March 31, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64% 0.21% $ 15,286 4.8 Expiration > 5 years 400,000 1.16% 0.18% 9,968 8.1 $ 1,355,000 0.79% 0.20% $ 25,254 5.7 December 31, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 5 years 200,000 0.67% 0.23% (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 The table ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 3, 2023 $ 70,000 $ 511 0.76% 30Y5Y $ 1,435 February 3, 2023 80,000 504 1.10% 10Y2Y 964 $ 150,000 $ 1,015 0.94% 2,399 The table 2020. ($ 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) March 31, 2021 Payer Swaptions - long >1 year ≤ 2 years $ 25,390 $ 58,643 22.1 $ 1,027,200 2.20% 3 Month 15.0 Payer Swaptions - short ≤ 1 year $ (10,720) $ (35,057) 10.1 $ (782,850) 2.20% 3 Month 15.0 December 31, 2020 Payer Swaptions - long ≤ 1 year $ 3,450 $ 5 2.5 $ 500,000 0.95% 3 Month 4.0 >1 year ≤ 2 years 13,410 17,428 17.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 17,433 11.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions - short ≤ 1 year $ (4,660) $ (7,730) 5.4 $ (507,700) 1.49% 3 Month 12.8 The following table summarizes our contracts to purchase and sell TBA . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) March 31, 2021 30-Year TBA securities: 2.5% $ (250,000) $ (257,188) $ (256,270) $ 918 3.0% (1,062,000) (1,114,345) (1,105,807) 8,538 Total $ (1,312,000) $ (1,371,533) $ (1,362,077) $ 9,456 December 31, 2020 30-Year TBA securities: 2.0% $ 465,000 $ 479,531 $ 483,090 $ 3,559 3.0% (328,000) (342,896) (343,682) (786) Total $ 137,000 $ 136,635 $ 139,408 $ 2,773 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 and other hedging instruments on the statements of operations for the three months ended March 31, 2021 and 2020. (in thousands) Three Months Ended March 31, 2021 2020 Eurodollar futures contracts (short positions) $ 12 $ (8,217) T-Note futures contracts (short position) 2,476 (4,339) Interest rate swaps 27,123 (60,623) Payer swaptions (short positions) (26,167) - Payer swaptions (long positions) 40,070 (2,589) Interest rate floors 1,384 - TBA securities (short positions) 9,133 (7,090) TBA securities (long positions) (8,559) - Total $ 45,472 $ (82,858) Credit Risk-Related Contingent Features The use of derivatives and other hedging instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. 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, we may not 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 | 3 Months Ended |
Mar. 31, 2021 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5. PLEDGED ASSETS Assets Pledged The table including securities (in thousands) March 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 4,081,596 $ - $ 4,081,596 $ 3,692,811 $ - $ 3,692,811 Structured RMBS - fair value 38,904 - 38,904 27,095 - 27,095 Accrued interest on pledged securities 10,572 - 10,572 9,636 - 9,636 Receivable for securities sold 154,977 - 154,977 - - - Restricted cash 102,575 14,580 117,155 58,829 20,534 79,363 Total $ 4,388,624 $ 14,580 $ 4,403,204 $ 3,788,371 $ 20,534 $ 3,808,905 Assets Pledged The table agreements (in thousands) March 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 99 $ 21,369 $ 21,468 $ 120 $ 6,083 $ 6,203 U.S. Treasury securities - fair value 737 - 737 253 - 253 Total $ 836 $ 21,369 $ 22,205 $ $ 373 $ 6,083 $ 6,456 RMBS and because the reverse repurchase balance sheet. increase in |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 Interest rate swaps $ 25,254 $ - $ 25,254 $ - $ - $ 25,254 Interest rate swaptions 58,643 - 58,643 - (13,962) 44,681 Interest rate floors 2,399 - 2,399 - - 2,399 TBA securities 9,456 - 9,456 - (7,407) 2,049 $ 95,752 $ - $ 95,752 $ - $ (21,369) $ 74,383 December 31, 2020 Interest rate swaps $ 7 $ - $ 7 $ - $ - $ 7 Interest rate swaptions 17,433 - 17,433 - (3,563) 13,870 TBA securities 3,559 - 3,559 - (2,520) 1,039 $ 20,999 $ - $ 20,999 $ - $ (6,083) $ 14,916 (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 March 31, 2021 Repurchase Agreements $ 4,181,680 $ - $ 4,181,680 $ (4,079,105) $ (102,575) $ - Interest rate swaptions 35,057 - 35,057 - - 35,057 $ 4,216,737 $ - $ 4,216,737 $ (4,079,105) $ (102,575) $ 35,057 December 31, 2020 Repurchase Agreements $ 3,595,586 $ - $ 3,595,586 $ (3,536,757) $ (58,829) $ - Interest rate swaps 24,711 - 24,711 - (19,761) 4,950 Interest rate swaptions 7,730 - 7,730 - - 7,730 TBA securities 786 - 786 - (284) 502 $ 3,628,813 $ - $ 3,628,813 $ (3,536,757) $ (78,874) $ 13,182 The amounts asset or liability typically exceeds and derivative |
CAPITAL STOCK
CAPITAL STOCK | 3 Months Ended |
Mar. 31, 2021 | |
Capital Stock [Abstract] | |
Capital Stock | NOTE 7. Common Stock During the offerings of ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2021 At the Market Offering Program (3) First Quarter $ 5.10 308,048 $ 1,572 Follow-on Offerings First Quarter 5.31 17,940,000 95,336 Total 18,248,048 $ 96,908 2020 At the Market Offering Program (3) First Quarter $ 6.13 3,170,727 $ 19,447 At the Market Offering Program (3) Second Quarter - - - At the Market Offering Program (3) Third Quarter 5.06 3,073,326 15,566 At the Market Offering Program (3) Fourth Quarter 5.32 6,775,187 36,037 13,019,240 $ 71,050 Weighted average price received per share is after 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 4,522,822 783,757 2,000,000 share authorization, the increased authorization brought the total authorization to 5,306,579 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 March 31, 2021, the Company 5,685,511 shares at an aggregate cost of approximately $ 40.4 7.10 share. No shares were repurchased during the three months ended March 31, 2021 repurchase program as of March 31, 2021 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 0.790 53,570 2021 - YTD (1) 0.260 23,374 Totals $ 11.915 $ 365,337 On April 14, 2021 , the Company declared a dividend of $ 0.065 May 26, 2021 . the table above but is not reflected in the Company’s financial statements |
STOCK INCENTIVE PLAN
STOCK INCENTIVE PLAN | 3 Months Ended |
Mar. 31, 2021 | |
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. 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 or the Manager. the remaining 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 three months ended March 31, 2021 and 2020. ($ in thousands, except per share data) Three Months Ended March 31, 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 4,554 $ 7.45 19,021 $ 7.78 Granted 137,897 5.88 - - Vested and issued (2,277) 7.45 (4,153) 8.20 Unvested, end of period 140,174 $ 5.91 14,868 $ 7.66 Compensation expense during period $ 3 $ 14 Unrecognized compensation expense, end of period $ 812 $ 27 Intrinsic value, end of period $ 842 $ 44 Weighted-average remaining vesting term (in years) 2.1 0.7 The number of shares of common stock issuable upon the vesting of the remaining outstanding Performance Units was reduced in the third quarter of 2020 as a result of the book value impairment event that occurred pursuant to the Company's Long Term book value per share declined by more than 15% during the quarter ended March 31, 2020 and the Company's book value per share decline from January 1, 2020 to June 30, 2020 was more than 10%. The Plans provide that if such a book value impairment event occurs, then the number of outstanding Performance Units that are outstanding as of the last day of such two-quarter period shall be reduced by 15%. Stock Awards The Company has issued, and may in the future issue additional, immediately vested common stock under the Incentive Plan to certain executive officers and employees of its Manager. The following table presents information related to fully vested common stock issued during the three months ended March 31, 2021 and 2020. All of the fully vested shares of common stock issued during the three months ended March 31, 2021, and the related compensation expense, were granted with respect to service performed during the previous fiscal year. ($ in thousands, except per share data) Three Months Ended March 31, 2021 2020 Fully vested shares granted 137,897 - Weighted average grant date price per share $ 5.88 - Compensation expense related to fully vested shares of common stock awards (1) $ 811 $ - The awards issued during the three months ended March 31, 2021 were granted $600,000 of compensation expense related to the 2021 awards was Deferred Stock Units Non-employee directors began to receive a portion of their compensation in the form of deferred stock unit awards (“DSUs”) pursuant to the Incentive Plan beginning with the awards for the second quarter of 2018. right to receive one share of the Company’s common stock. The DSUs are immediately vested and are settled at a future date based on the election of the individual participant. participant to receive distributions declared by the Company on common stock. in cash or additional DSUs at the participant’s election. The DSUs do not include the right to vote the underlying shares of common stock. The following table presents information related to the DSUs outstanding during the three months ended March 31, 2021 and 2020. ($ in thousands, except per share data) Three Months Ended March 31, 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 90,946 $ 5.44 43,570 $ 6.56 Granted and vested 10,422 5.31 9,008 5.69 Issued - - - - Outstanding, end of period 101,368 $ 5.43 52,578 $ 6.41 Compensation expense during period $ 45 $ 45 Intrinsic value, end of period $ 609 $ 155 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 3 Months Ended |
Mar. 31, 2021 | |
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 | 3 Months Ended |
Mar. 31, 2021 | |
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 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 | 3 Months Ended |
Mar. 31, 2021 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11. The Company ended March Stock Units Deferred Units and even though The table (in thousands, except per share information) Three Months Ended March 31, 2021 2020 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net loss - Basic and diluted $ (29,369) $ (91,199) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 94,411 66,237 Effect of weighting (9,066) (1,647) Weighted average shares-basic and diluted 85,345 64,590 Net loss per common share: Basic and diluted $ (0.34) $ (1.41) Anti-dilutive incentive shares not included in calculation. 242 67 |
FAIR VALUE
FAIR VALUE | 3 Months Ended |
Mar. 31, 2021 | |
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 based on independent Company must the independent include observing spread pricing curve or spread SABR models pricing method observable between the stability and guarantor were originated, if appropriate. The Company’s readily available. valuations. and discount RMBS (based three months advantageous When possible, active markets, 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) March 31, 2021 Mortgage-backed securities $ - $ 4,338,536 $ - Interest rate swaps - 25,254 - Interest rate swaptions - 23,586 - Interest rate floors - 2,399 - TBA securities - 9,456 - December 31, 2020 Mortgage-backed securities $ - $ 3,726,895 $ - Interest rate swaps - (24,704) - Interest rate swaptions - 9,703 - TBA securities - 2,773 - During the three months ended March 31, 2021 and 2020, there were no transfers 2 or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 3 Months Ended |
Mar. 31, 2021 | |
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, 2022 and provides for automatic one-year extension options thereafter and is subject to certain termination rights. 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 2.0 1.7 for the three months ended March 31, 2021 and 2020, respectively. At amount due to affiliates was approximately $ 0.7 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 March owned 2,595,357 |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of The accompanying in the United Accordingly, they management, Operating the year ending The balance of the information statements |
Use of Estimates | The preparation the reported the reported significant the estimates 2021. |
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) March 31, 2021 December 31, 2020 Cash and cash equivalents $ 211,436 $ 220,143 Restricted cash 117,155 79,363 Total cash, cash equivalents $ 328,591 $ 299,506 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 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 The Company’s hedges of Holding derivatives honor their receive payments collateral banks as counterparties, |
Financial Instruments | Financial The fair value statements swaptions value for The estimated other assets, liabilities financial instruments. |
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 |
Recent Accounting Pronouncements | Recent 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 In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848). ASU 2021-01 expands the scope of ASC 848 to include all affected derivatives and give market participants the ability to apply certain hedge accounting expedients to derivative contracts affected by the discounting transition. In implementation guidance to permit a company to apply certain optional expedients margining, discounting or contract price alignment of certain derivatives as a result optional expedients to account for a derivative contract modified as a continuation of accounting when certain critical terms of a hedging relationship change to modifications guidance in ASU 2021-01 is effective immediately and available generally through December activities occur. The Company does not believe the adoption of this ASU will have a material impact on its financial statements. |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following position that (in thousands) March 31, 2021 December 31, 2020 Cash and cash equivalents $ 211,436 $ 220,143 Restricted cash 117,155 79,363 Total cash, cash equivalents $ 328,591 $ 299,506 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Residential Mortgage Backed Securities [Member] | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following (in thousands) March 31, 2021 December 31, 2020 Pass-Through RMBS Certificates: Fixed-rate Mortgages $ 4,297,731 $ 3,560,746 Fixed-rate CMOs - 137,453 Total Pass-Through 4,297,731 3,698,199 Structured RMBS Certificates: Interest-Only Securities 35,521 28,696 Inverse Interest-Only Securities 5,284 - Total Structured 40,805 28,696 Total $ 4,338,536 $ 3,726,895 |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements and remaining maturities | As of March below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL March 31, 2021 Fair market value of securities pledged, including accrued interest receivable $ 58,219 $ 2,288,135 $ 1,316,896 $ 622,666 $ 4,285,916 Repurchase agreement liabilities associated with these securities $ 53,526 $ 2,233,561 $ 1,289,617 $ 604,976 $ 4,181,680 Net weighted average borrowing rate 0.24% 0.18% 0.18% 0.18% 0.18% December 31, 2020 Fair market value of securities pledged, including accrued interest receivable $ - $ 2,112,969 $ 1,560,798 $ 55,776 $ 3,729,543 Repurchase agreement liabilities associated with these securities $ - $ 2,047,897 $ 1,494,500 $ 53,189 $ 3,595,586 Net weighted average borrowing rate - 0.23% 0.22% 0.30% 0.23% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Derivative Financial Instruments [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The table March 31, (in thousands) Derivative and Other Hedging Instruments Balance Sheet Location March 31, 2021 December 31, 2020 Assets Interest rate swaps Derivative assets, at fair value $ 25,254 $ 7 Payer swaptions (long positions) Derivative assets, at fair value 58,643 17,433 Interest rate floors Derivative assets, at fair value 2,399 - TBA securities Derivative assets, at fair value 9,456 3,559 Total derivative $ 95,752 $ 20,999 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 24,711 Payer swaptions (short positions) Derivative liabilities, at fair value 35,057 7,730 TBA securities Derivative liabilities, at fair value - 786 Total derivative $ 35,057 $ 33,227 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 585 $ 489 TBA securities Restricted cash 1,781 284 TBA securities Other liabilities (7,407) (2,520) Interest rate swaption contracts Other liabilities (13,962) (3,563) Interest rate swap contracts Restricted cash 12,214 19,761 Total margin $ (6,789) $ 14,451 |
Schedule of Eurodollar and T-Note futures positions | Eurodollar, Fed charged to a daily basis. and December ($ in thousands) March 31, 2021 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.01% 0.21% $ (301) Treasury Note Futures Contracts (Short (2) June 2021 5-year T-Note futures (Jun 2021 - Jun 2026 Hedge Period) $ 69,000 0.88% 1.17% $ 1,036 ($ in thousands) December 31, 2020 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2021 $ 50,000 1.03% 0.18% $ (424) Treasury Note Futures Contracts (Short (2) March 2021 5 year T-Note futures (Mar 2021 - Mar 2026 Hedge Period) $ 69,000 0.72% 0.67% $ (186) Open equity represents the cumulative gains (losses) recorded on open (2) T-Note futures contracts were valued 123.40 126.16 short positions were $ 85.1 87.1 |
Schedule of Interest Rate Swap Agreements [Table Text Block] | Under our The floating agreements below presents ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) March 31, 2021 Expiration > 3 to ≤ 5 years $ 955,000 0.64% 0.21% $ 15,286 4.8 Expiration > 5 years 400,000 1.16% 0.18% 9,968 8.1 $ 1,355,000 0.79% 0.20% $ 25,254 5.7 December 31, 2020 Expiration > 3 to ≤ 5 years $ 620,000 1.29% 0.22% $ (23,760) 3.6 Expiration > 5 years 200,000 0.67% 0.23% (944) 6.4 $ 820,000 1.14% 0.23% $ (24,704) 4.3 |
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) March 31, 2021 Payer Swaptions - long >1 year ≤ 2 years $ 25,390 $ 58,643 22.1 $ 1,027,200 2.20% 3 Month 15.0 Payer Swaptions - short ≤ 1 year $ (10,720) $ (35,057) 10.1 $ (782,850) 2.20% 3 Month 15.0 December 31, 2020 Payer Swaptions - long ≤ 1 year $ 3,450 $ 5 2.5 $ 500,000 0.95% 3 Month 4.0 >1 year ≤ 2 years 13,410 17,428 17.4 675,000 1.49% 3 Month 12.8 $ 16,860 $ 17,433 11.0 $ 1,175,000 1.26% 3 Month 9.0 Payer Swaptions - short ≤ 1 year $ (4,660) $ (7,730) 5.4 $ (507,700) 1.49% 3 Month 12.8 |
Schedule of To Be Announced Securities [TableTextBlock] | The following table summarizes our contracts to purchase and sell TBA ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) March 31, 2021 30-Year TBA securities: 2.5% $ (250,000) $ (257,188) $ (256,270) $ 918 3.0% (1,062,000) (1,114,345) (1,105,807) 8,538 Total $ (1,312,000) $ (1,371,533) $ (1,362,077) $ 9,456 December 31, 2020 30-Year TBA securities: 2.0% $ 465,000 $ 479,531 $ 483,090 $ 3,559 3.0% (328,000) (342,896) (343,682) (786) Total $ 137,000 $ 136,635 $ 139,408 $ 2,773 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 Interest Rate Floors [Table Text Block] | The table ($ in thousands) Net Strike Estimated Notional Swap Curve Fair Expiration Amount Cost Rate Spread Value February 3, 2023 $ 70,000 $ 511 0.76% 30Y5Y $ 1,435 February 3, 2023 80,000 504 1.10% 10Y2Y 964 $ 150,000 $ 1,015 0.94% 2,399 |
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 and other hedging instruments on the statements of operations for the three months ended March 31, 2021 and 2020. (in thousands) Three Months Ended March 31, 2021 2020 Eurodollar futures contracts (short positions) $ 12 $ (8,217) T-Note futures contracts (short position) 2,476 (4,339) Interest rate swaps 27,123 (60,623) Payer swaptions (short positions) (26,167) - Payer swaptions (long positions) 40,070 (2,589) Interest rate floors 1,384 - TBA securities (short positions) 9,133 (7,090) TBA securities (long positions) (8,559) - Total $ 45,472 $ (82,858) |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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) March 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 4,081,596 $ - $ 4,081,596 $ 3,692,811 $ - $ 3,692,811 Structured RMBS - fair value 38,904 - 38,904 27,095 - 27,095 Accrued interest on pledged securities 10,572 - 10,572 9,636 - 9,636 Receivable for securities sold 154,977 - 154,977 - - - Restricted cash 102,575 14,580 117,155 58,829 20,534 79,363 Total $ 4,388,624 $ 14,580 $ 4,403,204 $ 3,788,371 $ 20,534 $ 3,808,905 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged The table agreements (in thousands) March 31, 2021 December 31, 2020 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 99 $ 21,369 $ 21,468 $ 120 $ 6,083 $ 6,203 U.S. Treasury securities - fair value 737 - 737 253 - 253 Total $ 836 $ 21,369 $ 22,205 $ $ 373 $ 6,083 $ 6,456 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 Interest rate swaps $ 25,254 $ - $ 25,254 $ - $ - $ 25,254 Interest rate swaptions 58,643 - 58,643 - (13,962) 44,681 Interest rate floors 2,399 - 2,399 - - 2,399 TBA securities 9,456 - 9,456 - (7,407) 2,049 $ 95,752 $ - $ 95,752 $ - $ (21,369) $ 74,383 December 31, 2020 Interest rate swaps $ 7 $ - $ 7 $ - $ - $ 7 Interest rate swaptions 17,433 - 17,433 - (3,563) 13,870 TBA securities 3,559 - 3,559 - (2,520) 1,039 $ 20,999 $ - $ 20,999 $ - $ (6,083) $ 14,916 |
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 March 31, 2021 Repurchase Agreements $ 4,181,680 $ - $ 4,181,680 $ (4,079,105) $ (102,575) $ - Interest rate swaptions 35,057 - 35,057 - - 35,057 $ 4,216,737 $ - $ 4,216,737 $ (4,079,105) $ (102,575) $ 35,057 December 31, 2020 Repurchase Agreements $ 3,595,586 $ - $ 3,595,586 $ (3,536,757) $ (58,829) $ - Interest rate swaps 24,711 - 24,711 - (19,761) 4,950 Interest rate swaptions 7,730 - 7,730 - - 7,730 TBA securities 786 - 786 - (284) 502 $ 3,628,813 $ - $ 3,628,813 $ (3,536,757) $ (78,874) $ 13,182 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Capital Stock [Abstract] | |
Schedule of completed public offerings of shares of common stock | Common Stock During the offerings of ($ in thousands, except per share amounts) Weighted Average Price Received Net Type of Offering Period Per Share (1) Shares Proceeds (2) 2021 At the Market Offering Program (3) First Quarter $ 5.10 308,048 $ 1,572 Follow-on Offerings First Quarter 5.31 17,940,000 95,336 Total 18,248,048 $ 96,908 2020 At the Market Offering Program (3) First Quarter $ 6.13 3,170,727 $ 19,447 At the Market Offering Program (3) Second Quarter - - - At the Market Offering Program (3) Third Quarter 5.06 3,073,326 15,566 At the Market Offering Program (3) Fourth Quarter 5.32 6,775,187 36,037 13,019,240 $ 71,050 Weighted average price received per share is after 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 0.790 53,570 2021 - YTD (1) 0.260 23,374 Totals $ 11.915 $ 365,337 |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule of Performance Units outstanding | The following table presents information related to Performance Units outstanding during the three months ended March 31, 2021 and 2020. ($ in thousands, except per share data) Three Months Ended March 31, 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 4,554 $ 7.45 19,021 $ 7.78 Granted 137,897 5.88 - - Vested and issued (2,277) 7.45 (4,153) 8.20 Unvested, end of period 140,174 $ 5.91 14,868 $ 7.66 Compensation expense during period $ 3 $ 14 Unrecognized compensation expense, end of period $ 812 $ 27 Intrinsic value, end of period $ 842 $ 44 Weighted-average remaining vesting term (in years) 2.1 0.7 |
Schedule of Fully Vested Deferred Stock Units | ($ in thousands, except per share data) Three Months Ended March 31, 2021 2020 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Outstanding, beginning of period 90,946 $ 5.44 43,570 $ 6.56 Granted and vested 10,422 5.31 9,008 5.69 Issued - - - - Outstanding, end of period 101,368 $ 5.43 52,578 $ 6.41 Compensation expense during period $ 45 $ 45 Intrinsic value, end of period $ 609 $ 155 |
Schedule Of Fully Vested Share Awards [Table Text Block] | ($ in thousands, except per share data) Three Months Ended March 31, 2021 2020 Fully vested shares granted 137,897 - Weighted average grant date price per share $ 5.88 - Compensation expense related to fully vested shares of common stock awards (1) $ 811 $ - |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table (in thousands, except per share information) Three Months Ended March 31, 2021 2020 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net loss - Basic and diluted $ (29,369) $ (91,199) Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 94,411 66,237 Effect of weighting (9,066) (1,647) Weighted average shares-basic and diluted 85,345 64,590 Net loss per common share: Basic and diluted $ (0.34) $ (1.41) Anti-dilutive incentive shares not included in calculation. 242 67 |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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) March 31, 2021 Mortgage-backed securities $ - $ 4,338,536 $ - Interest rate swaps - 25,254 - Interest rate swaptions - 23,586 - Interest rate floors - 2,399 - TBA securities - 9,456 - December 31, 2020 Mortgage-backed securities $ - $ 3,726,895 $ - Interest rate swaps - (24,704) - Interest rate swaptions - 9,703 - TBA securities - 2,773 - |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | Mar. 05, 2021 | Jan. 25, 2021 | Mar. 31, 2021 | Mar. 31, 2020 | Aug. 03, 2020 | Mar. 31, 2021 | Dec. 31, 2020 |
Subsidiary, Sale of Stock [Line Items] | |||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 96,908,000 | $ 19,447,000 | |||||
Stock Issued During Period, Value, New Issues | $ 96,908,000 | $ 71,050,000 | |||||
Total shares issued under distribution agreement | 18,248,048,000 | 13,019,240 | |||||
At the Market Offering Program [Member] | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 19,400,000 | $ 53,200,000 | |||||
Stock Issued During Period, Value, New Issues | $ 19,800,000 | $ 54,100,000 | |||||
Total shares issued under distribution agreement | 3,170,727 | 10,156,561 | |||||
At the Market Offering Program [Member] | Maximum [Member] | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Stock Issued During Period, Value, New Issues | $ 200,000,000 | $ 150,000,000 | |||||
Follow-on Offering [Member] | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 50,100,000 | $ 45,200,000 | |||||
Total shares issued under distribution agreement | 9,200,000 | 8,740,000 | |||||
Share Price | $ 5.45 | $ 5.20 | |||||
Firm Offering Member [Member] | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Total shares issued under distribution agreement | 8,000,000 | 7,600,000 | |||||
Over-Allotment Option [Member] | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Total shares issued under distribution agreement | 1,200,000 | 1,140,000,000 |
ORGANIZATION AND SIGINIFICANT A
ORGANIZATION AND SIGINIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 211,436,000 | $ 220,143,000 | ||
Restricted cash | 117,155,000 | 79,363,000 | ||
Total cash, cash equivalents and restricted cash | $ 328,591,000 | $ 299,506,000 | $ 201,450,000 | $ 278,655,000 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 4,338,536,000 | $ 3,726,895,000 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 4,297,731,000 | 3,698,199,000 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 40,805,000 | 28,696,000 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 4,297,731,000 | 3,560,746,000 |
Collateralized Mortgage Obligations [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 0 | 137,453,000 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 35,521,000 | 28,696,000 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 5,284,000 | $ 0 |
REPURCHASE AGREEMENTS AND REVER
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS (Narrative) (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | $ 117,155 | $ 79,363 |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Restricted Cash And Cash Equivalents At Carrying Value | 102,600 | $ 58,800 |
Aggregate amount at risk with all counterparties | $ 205,900 |
REPURCHASE AGREEMENTS AND REV_2
REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS - Remaining Maturities (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreement liabilities associated with these liabilities | $ 4,181,680 | $ 3,595,586 |
SecuritiesSoldUnderAgreementsToRepurchaseMember | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | 4,285,916 | 3,729,543 |
Repurchase agreement liabilities associated with these liabilities | $ 4,181,680 | $ 3,595,586 |
Net weighted average borrowing rate | 0.18% | 0.23% |
Overnight (1 Day or Less) [Member] | SecuritiesSoldUnderAgreementsToRepurchaseMember | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 58,219 | $ 0 |
Repurchase agreement liabilities associated with these liabilities | $ 53,526 | $ 0 |
Net weighted average borrowing rate | 0.24% | 0.00% |
Between 2 and 30 Days [Member] | SecuritiesSoldUnderAgreementsToRepurchaseMember | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 2,288,135 | $ 2,112,969 |
Repurchase agreement liabilities associated with these liabilities | $ 2,233,561 | $ 2,047,897 |
Net weighted average borrowing rate | 0.18% | 0.23% |
Between 31 and 90 Days [Member] | SecuritiesSoldUnderAgreementsToRepurchaseMember | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,316,896 | $ 1,560,798 |
Repurchase agreement liabilities associated with these liabilities | $ 1,289,617 | $ 1,494,500 |
Net weighted average borrowing rate | 0.18% | 0.22% |
Greater Than 90 days [Member] | SecuritiesSoldUnderAgreementsToRepurchaseMember | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 622,666 | $ 55,776 |
Repurchase agreement liabilities associated with these liabilities | $ 604,976 | $ 53,189 |
Net weighted average borrowing rate | 0.18% | 0.30% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 95,752,000 | $ 20,999,000 |
Liabilities, at Fair Value | 35,057,000 | 33,227,000 |
Restricted cash | 117,155,000 | 79,363,000 |
Other Liabilities | 22,306,000 | 7,188,000 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 95,752,000 | 20,999,000 |
Liabilities, at Fair Value | 35,057,000 | 33,227,000 |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 25,254,000 | 7,000 |
Liabilities, at Fair Value | 0 | 24,711,000 |
Restricted cash | 12,214,000 | 19,761,000 |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 9,456,000 | 3,559,000 |
Liabilities, at Fair Value | 0 | 786,000 |
Restricted cash | 1,781,000 | 284,000 |
Other Liabilities | 7,407,000 | 2,520,000 |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 585,000 | 489,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Other Liabilities | 13,962,000 | 3,563,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Liabilities, at Fair Value | 35,057,000 | 7,730,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 58,643,000 | 17,433,000 |
Interest Rate Floor [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | $ 2,399,000 | $ 0 |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - Year 2021 Expiration [Member] - Short [Member] - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Entry Rate | 1.01% | 1.03% |
Locked-In LIBOR Rate | 0.21% | 0.18% |
Open Equity | $ (301,000) | $ (424,000) |
Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Entry Rate | 0.88% | 0.72% |
Locked-In LIBOR Rate | 1.17% | 0.67% |
Open Equity | $ 1,036,000 | $ (186,000) |
Dollar Price | 123.40 | 126.16 |
Notional Value | $ 85,100,000 | $ 87,100,000 |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - Swap [Member] - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,355,000,000 | $ 820,000,000 |
Average Fixed Pay Rate | 0.79% | 1.14% |
Average Receive Rate | 0.20% | 0.23% |
Net Estimated Fair Value | $ 25,254,000 | $ (24,704,000) |
Average Maturity | 5 years 8 months 12 days | 4 years 3 months 18 days |
3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 955,000,000 | $ 620,000,000 |
Average Fixed Pay Rate | 0.64% | 1.29% |
Average Receive Rate | 0.21% | 0.22% |
Net Estimated Fair Value | $ 15,286,000 | $ (23,760,000) |
Average Maturity | 4 years 9 months 18 days | 3 years 7 months 6 days |
More Than Five Years [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 400,000,000 | $ 200,000,000 |
Average Fixed Pay Rate | 1.16% | 0.67% |
Average Receive Rate | 0.18% | 0.23% |
Net Estimated Fair Value | $ 9,968,000 | $ (944,000) |
Average Maturity | 8 years 1 month 6 days | 6 years 4 months 24 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - Payer Swaption [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 16,860 | |
Net Estimated Fair Value | $ 17,433 | |
Derivative Instruments Average Months To Expiration | 11 months | |
Notional Amount | $ 500,000 | |
Derivative Average Fixed Interest Rate | 1.26% | |
Term (Years) | 9 years | |
Less Than Or Equal To One Year [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 10,720 | $ 4,660 |
Net Estimated Fair Value | $ 35,057 | $ 7,730 |
Derivative Instruments Average Months To Expiration | 10 months 3 days | 5 months 12 days |
Notional Amount | $ 782,850 | $ 507,700 |
Derivative Average Fixed Interest Rate | 2.20% | 1.49% |
Term (Years) | 15 years | 12 years 9 months 18 days |
Less Than Or Equal To One Year [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 3,450 | |
Net Estimated Fair Value | $ 5 | |
Derivative Instruments Average Months To Expiration | 2 months 15 days | |
Notional Amount | $ 675,000 | |
Derivative Average Fixed Interest Rate | 0.95% | |
Term (Years) | 4 years | |
One Year To Two Years [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | $ 25,390 | $ 13,410 |
Net Estimated Fair Value | $ 58,643 | $ 17,428 |
Derivative Instruments Average Months To Expiration | 22 months 3 days | 17 months 12 days |
Notional Amount | $ 1,027,200 | $ 1,175,000 |
Derivative Average Fixed Interest Rate | 2.20% | 1.49% |
Term (Years) | 15 years | 12 years 9 months 18 days |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - 30 Year [Member] - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,312,000,000 | $ 137,000,000 |
Cost Basis | 1,371,533,000 | 136,635,000 |
Market Value Of TBA Contract | 1,362,077,000 | 139,408,000 |
Net Estimated Fair Value | 9,456,000 | 2,773,000 |
2.0% [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 465,000,000 | |
Cost Basis | 479,531,000 | |
Market Value Of TBA Contract | 483,090,000 | |
Net Estimated Fair Value | 3,559,000 | |
2.5% [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 250,000,000 | |
Cost Basis | 257,188,000 | |
Market Value Of TBA Contract | 256,270,000 | |
Net Estimated Fair Value | 918,000 | |
3.0% [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 1,062,000,000 | 328,000,000 |
Cost Basis | 1,114,345,000 | 342,896,000 |
Market Value Of TBA Contract | 1,105,807,000 | 343,682,000 |
Net Estimated Fair Value | $ 8,538,000 | $ (786,000) |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate floor positions (Details) - Interest Rate Floor [Member] $ in Thousands | Mar. 31, 2021USD ($) |
Derivatives, Fair Value [Line Items] | |
Notional Amount | $ 150,000 |
Cost Basis | $ 1,015 |
Derivative Floor Interest Rate | 0.94% |
Derivative Asset, Fair Value, Gross Asset | $ 2,399 |
Thirty Year Vs Five Year [Member] | |
Derivatives, Fair Value [Line Items] | |
Notional Amount | 70,000 |
Cost Basis | $ 511 |
Derivative Floor Interest Rate | 0.76% |
Derivative Asset, Fair Value, Gross Asset | $ 1,435 |
Ten Year Vs Two Year [Member] | |
Derivatives, Fair Value [Line Items] | |
Notional Amount | 80,000 |
Cost Basis | $ 504 |
Derivative Floor Interest Rate | 1.10% |
Derivative Asset, Fair Value, Gross Asset | $ 964 |
DERIVATIVE FINANCIAL INSTRUME_8
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | $ 45,472 | $ (82,858) |
Eurodollar Future [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | 12 | (8,217) |
Treasury Note Future [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | 2,476 | (4,339) |
Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | 27,123 | (60,623) |
Payer Swaption [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | (26,167) | 0 |
Payer Swaption [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | 40,070 | (2,589) |
Interest Rate Floor [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | 1,384 | 0 |
TBA Contracts [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | 9,133 | (7,090) |
TBA Contracts [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
(Losses) gains on derivative instruments | $ (8,559) | $ 0 |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 4,120,500,000 | $ 3,719,906,000 |
Accrued interest receivable | 10,852,000 | 9,721,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 154,977,000 | 414,000 |
Restricted cash | 117,155,000 | 79,363,000 |
Total Assets Pledged To Counterparties | 4,403,204,000 | 3,808,905,000 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 10,572,000 | 9,636,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 154,977,000 | 0 |
Restricted cash | 102,575,000 | 58,829,000 |
Total Assets Pledged To Counterparties | 4,388,624,000 | 3,788,371,000 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 0 | 0 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 0 | 0 |
Restricted cash | 14,580,000 | 20,534,000 |
Total Assets Pledged To Counterparties | 14,580,000 | 20,534,000 |
Total Pledged [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 10,572,000 | 9,636,000 |
OtherReceivablesFromBrokerDealersAndClearingOrganizations | 154,977,000 | 0 |
Restricted cash | 117,155,000 | 79,363,000 |
Total Assets Pledged To Counterparties | 4,403,204,000 | 3,808,905,000 |
Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 4,120,500,000 | 3,719,906,000 |
Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 4,081,596,000 | 3,692,811,000 |
Residential Mortgage Backed Securities [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 38,904,000 | 27,095,000 |
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 | 4,081,596,000 | 3,692,811,000 |
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 | 38,904,000 | 27,095,000 |
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 |
Residential Mortgage Backed Securities [Member] | Total Pledged [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 4,081,596,000 | 3,692,811,000 |
Residential Mortgage Backed Securities [Member] | Total Pledged [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 38,904,000 | $ 27,095,000 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 22,205 | $ 6,456 |
Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 21,468 | 6,203 |
US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 737 | 253 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 836 | 373 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 99 | 120 |
Repurchase Agreement [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 737 | 253 |
Derivative Agreements [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 21,369 | 6,083 |
Derivative Agreements [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 21,369 | 6,083 |
Derivative Agreements [Member] | US Treasury Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 0 | $ 0 |
OFFSETTING ASSETS AND LIABILI_3
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | $ 95,752 | $ 20,999 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 95,752 | 20,999 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (21,369) | (6,083) |
Net Amount Of Assets | 74,383 | 14,916 |
Payer Swaption [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 58,643 | 17,433 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 58,643 | 17,433 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (13,962) | (3,563) |
Net Amount Of Assets | 44,681 | 13,870 |
TBA Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 9,456 | 3,559 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 9,456 | 3,559 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (7,407) | (2,520) |
Net Amount Of Assets | 2,049 | 1,039 |
Swap [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 25,254 | 7 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 25,254 | 7 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | 0 |
Net Amount Of Assets | 25,254 | $ 7 |
Interest Rate Floor [Member] | ||
Offsetting Assets [Line Items] | ||
Gross Amount Of Recognized Assets | 2,399 | |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | |
Net Amount Of Assets Presented In The Balance Sheet | 2,399 | |
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 | $ 2,399 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 4,216,737 | $ 3,628,813 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 4,216,737 | 3,628,813 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (4,079,105) | (3,536,757) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (102,575) | (78,874) |
Net Amount Of Liabilities | 35,057 | 13,182 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 4,181,680 | 3,595,586 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 4,181,680 | 3,595,586 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (4,079,105) | (3,536,757) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (102,575) | (58,829) |
Net Amount Of Liabilities | 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 24,711 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 24,711 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (19,761) | |
Net Amount Of Liabilities | 4,950 | |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 786 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 786 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (284) | |
Net Amount Of Liabilities | 502 | |
Payer Swaption [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 35,057 | 7,730 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 35,057 | 7,730 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | 0 |
Net Amount Of Liabilities | $ 35,057 | $ 7,730 |
CAPITAL STOCK - Completed publi
CAPITAL STOCK - Completed public offerings ofcommon stock (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||||
Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | |
Stock Issued During Period Shares New Issues | 18,248,048,000 | 13,019,240 | ||||||
Stock Issued During Period, Value, New Issues | $ 96,908,000 | $ 71,050,000 | ||||||
At the Market Offering Program [Member] | ||||||||
Weighted Average Price Received Per Share | $ 5.10 | $ 5.32 | $ 5.06 | $ 0 | $ 6.13 | $ 0 | $ 6.13 | $ 5.32 |
Stock Issued During Period Shares New Issues | 308,048 | 6,775,187 | 3,073,326 | 0 | 3,170,727 | 0 | 3,170,727 | |
Stock Issued During Period, Value, New Issues | $ 1,572,000 | $ 36,037,000 | $ 15,566,000 | $ 0 | $ 19,447,000 | $ 0 | $ 19,447,000 | |
Follow-on Offering [Member] | ||||||||
Weighted Average Price Received Per Share | $ 5.31 | |||||||
Stock Issued During Period Shares New Issues | 17,940,000 | |||||||
Stock Issued During Period, Value, New Issues | $ 95,336,000 |
CAPITAL STOCK - Share Repurchas
CAPITAL STOCK - Share Repurchase Progam (Narrative) (Details) - Common Stock [Member] - USD ($) $ / shares in Units, $ in Millions | 68 Months Ended | ||
Mar. 31, 2021 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Member] | |||
Share Repurchase Program [Line Items] | |||
Stock Repurchased and Retired During Period, Shares | 5,685,511 | ||
Stock Repurchased and Retired During Period, Value | $ 40.4 | ||
Weighted Average Share Repurchase Price | $ 7.10 | ||
Share Repurchase Program [Member] | Maximum [Member] | |||
Share Repurchase Program [Line Items] | |||
Share Repurchase | 5,306,579 | ||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 837,311 | ||
Initial Repurchase Program [Member] | Maximum [Member] | |||
Share Repurchase Program [Line Items] | |||
Share Repurchase | 2,000,000 | 2,000,000 | |
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 783,757 | ||
Program Increase [Member] | Maximum [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 | Apr. 14, 2021 | Mar. 31, 2021 | Mar. 31, 2020 | Aug. 01, 2017 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2020 |
Dividends Payable [Line Items] | |||||||||||||
Per Share Amount | $ 0.195 | $ 0.240 | |||||||||||
Total | $ 17,226 | $ 15,670 | |||||||||||
Dividend Declared [Member] | |||||||||||||
Dividends Payable [Line Items] | |||||||||||||
Per Share Amount | $ 0.260 | $ 1.680 | $ 0.790 | $ 0.960 | $ 1.070 | $ 1.680 | $ 1.680 | $ 1.920 | $ 2.160 | $ 1.395 | $ 11.915 | ||
Total | $ 23,374 | $ 70,717 | $ 53,570 | $ 54,421 | $ 55,814 | $ 70,717 | $ 41,388 | $ 38,748 | $ 22,643 | $ 4,662 | $ 365,337 | ||
Dividend Declared [Member] | Subsequent Event [Member] | |||||||||||||
Dividends Payable [Line Items] | |||||||||||||
Dividends Payable, Date Declared | Apr. 14, 2021 | ||||||||||||
Dividends Payable, Date to be Paid | May 26, 2021 | ||||||||||||
Per Share Amount | $ 0.065 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) | Mar. 31, 2021shares |
Employee Benefits And Share Based Compensation [Abstract] | |
Maximum Number of Shares to Be Issued the Plan | 4,000,000 |
STOCK INCENTIVE PLAN - Performa
STOCK INCENTIVE PLAN - Performance Units (Details) - Performance Shares [Member] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 4,554 | 19,021 |
Granted | 137,897 | 0 |
Vested | 2,277 | 4,153 |
Nonvested - Ending Balance | 140,174 | 14,868 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 7.45 | $ 7.78 |
Granted | 5.88 | 0 |
Vested | 7.45 | 8.20 |
Nonvested - Ending Balance | $ 5.91 | $ 7.66 |
Intrinsic Value of Nonvested | $ 842 | $ 44 |
Weighted Average Remaining Term | 2 years 1 month 6 days | 8 months 12 days |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 812 | $ 27 |
Share Based Compensation | $ 3 | $ 14 |
STOCK INCENTIVE PLAN - Share Aw
STOCK INCENTIVE PLAN - Share Awards (Details) - Share Awards [Member] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 137,897 | 0 |
ShareBasedCompensationArrangementByShareBasedPaymentAwardOptionsGrantsInPeriodWeightedAverageGrantDateFairValue | $ 5.88 | $ 0 |
Share Based Compensation | $ 811 | $ 0 |
STOCK INCENTIVE PLAN - Deferred
STOCK INCENTIVE PLAN - Deferred Stock Units (Details) - Deferred Stock Units [Member] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Incentive Share Activity, Shares | ||
Outstanding, beginning of period | 90,946 | 43,570 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 10,422 | 9,008 |
Deferred Stock Units Issued | 0 | 0 |
Outstanding, end of period | 101,368 | 52,578 |
SharebasedCompensationArrangementBySharebasedPaymentAwardOptionsNonvestedWeightedAverageGrantDateFairValueAbstract | ||
Outstanding, beginning of period | $ 5.44 | $ 6.56 |
Granted | 5.31 | 5.69 |
Deferred Stock Units Issued Grant Date Value | 0 | 0 |
Outstanding, end of period | $ 5.43 | $ 6.41 |
Share Based Compensation | $ 45 | $ 45 |
Intrinsic Value of Nonvested | $ 609 | $ 155 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | ||
Net Income (Loss) Available to Common Stockholders, Basic | $ (29,369,000) | $ (91,199,000) |
Net Income (Loss) Available to Common Stockholders, Diluted | $ (29,369,000) | $ (91,199,000) |
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | ||
Common Shares Outstanding | 94,411,000 | 66,237,000 |
Effect of Weighting | (9,066,000) | (1,647,000) |
Weighted Average Shares - Basic and Diluted | 85,344,954 | 64,590,205 |
Income (Loss) Per Share - Basic | $ (0.34) | $ (1.41) |
Income (Loss) Pe Share - Diluted | $ (0.34) | $ (1.41) |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 242,000 | 67,000 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 4,338,536 | $ 3,726,895 |
Derivative, Fair Value, Net | 95,752 | 20,999 |
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] | Interest Rate Floor [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 | 4,338,536 | 3,726,895 |
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 | 25,254 | (24,704) |
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 | 23,586 | 9,703 |
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 | 9,456 | 2,773 |
Fair Value, Inputs, Level 2 [Member] | Interest Rate Floor [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative, Fair Value, Net | 2,399 | |
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] | Interest Rate Floor [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 | ||
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Due to affiliates | $ 712 | $ 632 | |
Bimini Advisors, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Management Fees And Allocated Expenses | 2,000 | $ 1,700 | |
Due to affiliates | $ 700 | $ 600 |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) | Mar. 31, 2021shares |
Bimini Capital Management Inc [Member] | |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 2,595,357 |