What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-04-30 compared with 2020-10-30 · 359 added, 397 removed, 1084 unchanged (41% of the section changed)

3 unchanged sentences

($ in thousands, except per share data)

September 30, 2020

March 31, 2021

December 31, 2020

7 unchanged sentences

Derivative assets, at fair value

Receivable for securities sold, pledged to counterparties

LIABILITIES AND STOCKHOLDERS' EQUITY

12 unchanged sentences

no shares issued

and outstanding as of September 30, 2020 and December 31, 2019

and outstanding as of March 31, 2021 and December 31, 2020

Common Stock, $

shares authorized,

shares issued and outstanding as of September 30, 2020 and

shares issued and outstanding as of March 31, 2021 and

shares issued

9 unchanged sentences

OF OPERATIONS

For the Nine and Three Months Ended September 30, 2020

For the Three Months Ended March 31, 2021 and 2020

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Interest income

1 unchanged sentence

Net interest income

Realized (losses) gains on mortgage-backed securities

Unrealized gains (losses) on mortgage-backed securities

(Losses) gains on derivative and other hedging instruments

Net portfolio (loss) income

Realized losses on mortgage-backed securities

Unrealized (losses) gains on mortgage-backed securities

Gains (losses) on derivative and other hedging instruments

Net portfolio loss

Management fees

6 unchanged sentences

Total expenses

Net (loss) income

Basic net (loss) income per share

Diluted net (loss) income per share

Basic net loss per share

Diluted net loss per share

Weighted Average Shares Outstanding

4 unchanged sentences

OF STOCKHOLDERS' EQUITY

For the Nine and Three Months Ended September 30, 2020

For the Three Months Ended March 31, 2021 and 2020

(in thousands)

2 unchanged sentences

Issuance of common stock pursuant to public offerings, net

Issuance of common stock pursuant to stock based

compensation plan

Amortization of stock based compensation

Shares repurchased and retired

Stock based awards and amortization

Balances, March 31, 2020

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Issuance of common stock pursuant to stock based

compensation plan

Amortization of stock based compensation

Balances, June 30, 2019

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Issuance of common stock pursuant to stock based

compensation plan

Amortization of stock based compensation

Balances, September 30, 2019

Balances, January 1, 2021

1 unchanged sentence

Issuance of common stock pursuant to public offerings, net

Issuance of common stock pursuant to stock based

compensation plan

Amortization of stock based compensation

Stock based awards and amortization

Balances, March 31, 2021

Cash dividends declared

Issuance of common stock pursuant to stock based

compensation plan

Amortization of stock based compensation

Shares repurchased and retired

Balances, June 30, 2020

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Issuance of common stock pursuant to stock based

compensation plan

Amortization of stock based compensation

Balances, September 30, 2020

See Notes to Financial Statements

2 unchanged sentences

OF CASH FLOWS

For the Nine Months Ended September 30, 2020 and 2019

For the Three Months Ended March 31, 2021 and 2020

($ in thousands)

CASH FLOWS FROM OPERATING

Net (loss) income

Adjustments to reconcile net (loss) income to net cash provided by operating

Adjustments to reconcile net loss to net cash provided by (used in) operating

Stock based compensation

Realized and unrealized gains on mortgage-backed securities

Realized and unrealized losses on interest rate swaptions

Realized and unrealized losses on interest rate swaps

Realized and unrealized losses on U.S.

Treasury securities

Realized losses on forward settling to-be-announced securities

Realized and unrealized losses on mortgage-backed securities

Realized and unrealized (gains) losses on interest rate swaptions

Realized and unrealized gains on interest rate floors

Realized and unrealized (gains) losses on interest rate swaps

Realized (gains) losses on forward settling to-be-announced securities

Changes in operating assets and liabilities:

2 unchanged sentences

Other liabilities

Due from affiliates

NET CASH PROVIDED BY OPERATING

Due to (from) affiliates

NET CASH PROVIDED BY (USED IN) OPERATING

CASH FLOWS FROM INVESTING ACTIVITIES:

3 unchanged sentences

Principal repayments

Payments from U.S.

Treasury securities

Proceeds on U.S.

Treasury securities

Net payments on reverse repurchase agreements

Payments on net settlement of to-be-announced securities

Purchase of derivative financial instruments, net of margin cash received

NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES

NET CASH (USED IN) PROVIDED BY INVESTING ACTIVITIES

CASH FLOWS FROM FINANCING ACTIVITIES:

5 unchanged sentences

Proceeds from issuance of common stock, net of issuance costs

Common stock repurchases

NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES

NET (DECREASE) INCREASE IN CASH, CASH EQUIVALENTS

Shares withheld from employee stock awards for payment of taxes

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS

AND RESTRICTED CASH

17 unchanged sentences

Capital, Inc.

the “Company”),

or the “Company”),

was incorporated

11 unchanged sentences

of common stock

On August 2, 2017, Orchid entered into an equity distribution agreement (the “August 2017

Equity Distribution Agreement”) with

two sales agents pursuant to which the Company could offer and sell, from time to time, up

to an aggregate amount of $

shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately

transactions.

The Company issued a total of

shares under the August 2017 Equity Distribution Agreement for aggregate

gross proceeds of approximately $

million, and net proceeds of approximately $

million, net of commissions and fees, prior

to its termination in July 2019.

On July 30, 2019, Orchid entered into an underwriting agreement (the “Underwriting

Agreement”) with Morgan Stanley & Co.

Citigroup Global Markets Inc.

Morgan Securities LLC, as representatives of the underwriters named therein, relating to the

offer and sale of

shares of the Company’s common stock at a price to the public of $

The underwriters

purchased the shares pursuant to the Underwriting Agreement at a price of $

The closing of the offering of

shares of common stock occurred on August 2, 2019, with net proceeds to the Company of

approximately $

million after deduction

of underwriting discounts and commissions and other estimated offering expenses.

On January 23, 2020, Orchid entered into an equity distribution agreement (the

19 unchanged sentences

transactions.

Through September 30, 2020, the Company issued a total of

Through March 31, 2021, the Company issued a total of

shares under the August 2020 Equity Distribution

4 unchanged sentences

commissions and fees.

Beginning in mid-March 2020, the global pandemic associated with the novel

coronavirus COVID-19 (“COVID-19”) and related

economic conditions began to impact our financial position and results of operations.

As a result of the economic, health and market

turmoil brought about by COVID-19, the Agency RMBS market experienced

severe dislocations.

This resulted in falling prices of our

assets and increased margin calls from our repurchase agreement lenders.

Further, as interest rates declined, we faced additional

margin calls related to our various hedge positions.

In order to maintain sufficient cash and liquidity, reduce risk and satisfy margin

calls, we were forced to sell assets at levels significantly below their carrying values and

closed several hedge positions.

RMBS market largely stabilized after the Federal Reserve announced on March 23,

2020 that it would purchase Agency RMBS and

Treasuries in the amounts needed to support smooth market functioning.

As of September 30, 2020, we had

timely satisfied all

margin calls.

The following summarizes the impact COVID-19 has had on our

financial position and results of operations through

September 30, 2020.

We sold approximately $

billion of RMBS during the nine months ended September 30, 2020, realizing losses

On January 20, 2021, Orchid entered into an underwriting agreement (the “January

2021 Underwriting Agreement”) with J.P.

Morgan Securities LLC (“J.P.

Morgan”), relating to the offer and sale of

shares of the Company’s common stock.

Morgan purchased the shares of the Company’s common stock from the Company pursuant

to the January 2021 Underwriting

Agreement at $

In addition, the Company granted J.P.

Morgan a 30-day option to purchase up to an additional

shares of the Company’s common stock on the same terms and conditions, which

Morgan exercised in full on January

The closing of the offering of

shares of the Company’s common stock occurred on January 25, 2021, with net

proceeds to the Company of approximately $

million, net of offering expenses.

On March 2, 2021, Orchid entered into an underwriting agreement (the “March 2021

Underwriting Agreement”) with J.P.

relating to the offer and sale of

shares of the Company’s common stock.

Morgan purchased the shares of the

Company’s common stock from the Company pursuant to the March 2021 Underwriting

Agreement at $

In addition, the

Company granted J.P.

Morgan a 30-day option to purchase up to an additional

shares of the Company’s common stock on

the same terms and conditions, which J.P.

Morgan exercised in full on March 3, 2021.

The closing of the offering of

of the Company’s common stock occurred on March 5, 2021, with net proceeds to the Company

of approximately $

Approximately $

billion of these sales were executed on March 19th and March 20th and

resulted in losses of

approximately $

The losses sustained on these two days were a direct result of the adverse

RMBS market conditions

associated with COVID-19.

We terminated interest rate swap positions with an aggregate notional value of $

billion and incurred approximately $

million in mark to market losses on the positions through the date of the respective

terminations.

Approximately $

these losses occurred during the three months ended March 31, 2020.

Our RMBS portfolio had a fair market value of approximately $

billion as of September 30, 2020, compared to $

billion as of

December 31, 2019.

The September 30, 2020 balance represents an increase

billion balance as of June 30, 2020

billion balance as of March 31, 2020.

Our outstanding balances under our repurchase agreement borrowings as of September

30, 2020 were approximately $

compared to $

billion as of December 31, 2019, $

billion as of March 31, 2020 and $

billion as of June 30, 2020.

Our stockholders’ equity was $

million as of September 30, 2020, compared to $

million as of December 31, 2019,

million as of March 31, 2020 and $

million as of June 30, 2020.

In response to the Shelter in Place order issued in Florida in March 2020, our

Manager (as defined below) invoked its Disaster

Recovery Plan and its employees are working remotely.

Prior planning resulted in the successful implementation of this plan

operational team members maintain daily communication.

Although the Company cannot estimate the length or gravity of the impact

of the COVID-19 outbreak at this time, if the pandemic

continues, it may continue to have adverse effects on the Company’s results of future operations,

financial position, and liquidity in

fiscal year 2020 and beyond.

In addition, President Trump signed into law the Coronavirus Aid, Relief, and Economic Security (CARES)

Act, which has provided

billions of dollars of relief to individuals, businesses, state and local governments,

and the health care system suffering the impact of

the pandemic, including mortgage loan forbearance and modification programs

to qualifying borrowers who may have difficulty making

their loan payments.

The Company has evaluated the provisions of the CARES

Act and has determined that it will not have a material

effect on the Company’s business, results of operations and financial condition.

The Federal Housing

Financing Agency (the “FHFA”)

has instructed the GSEs on how they will handle servicer advances for loans that

back Agency RMBS that enter into forbearance,

which should limit prepayments during the forbearance period that could have resulted

There can be no assurance as to

how, in the long term, these and other actions by the U.S.

government will affect the efficiency, liquidity and stability of the financial and

mortgage markets.

To the extent the financial or mortgage markets do not respond favorably to any of these actions, or such actions do

not function as intended, our business, results of operations and financial condition may

continue to be materially adversely affected.

million, net of

offering expenses.

COVID-19 Impact

global pandemic

with the novel

began to impact

our financial

of the economic,

market turmoil

about by COVID-19,

severe dislocations.

This resulted

prices of our

from our repurchase

lenders, resulting

adverse effects

on our results

of operations

largely stabilized

Federal Reserve

it would purchase

in the amounts

support smooth

market functioning.

we have timely

stabilize the

the financial

do not function

our business,

and financial

condition may

be materially

of the COVID-19

if the pandemic

it may continue

adverse effects

on the Company’s

future operations,

financial position,

and liquidity

The accompanying

43 unchanged sentences

are reasonable

over the ultimate

economy generally,

and on Orchid’s

particular, makes

any estimates

and assumptions

as of September

30, 2020 inherently

would be absent

and potential

Variable Interest Entities (“VIEs”)

17 unchanged sentences

for repurchase

other derivative

The following

9 unchanged sentences

(in thousands)

September 30, 2020

March 31, 2021

December 31, 2020

41 unchanged sentences

investment in RMBS under the fair value

Electing the fair value option requires the Company to record changes in

fair value in the statement of operations, which, in

Electing the fair value option requires

the Company to record changes in fair value in the statement of operations,

management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the

79 unchanged sentences

but the Company

hedging instruments

in the future.

6 unchanged sentences

of operations.

hedging instruments

at fair value,

2 unchanged sentences

The Company’s

financial instruments

are not designated

1 unchanged sentence

relationships,

economic hedges

its portfolio

Holding derivatives

3 unchanged sentences

and exchanges

may be required

to post collateral

in the market

by a counterparty,

1 unchanged sentence

its collateral

payments provided

of the agreement.

To mitigate this risk,

uses only well-established

and exchanges

as counterparties.

receive payments

The Company’s

central clearing

exchanges and

well-established

banks as counterparties,

monitors positions

with individual

counterparties

posted collateral

The fair value

9 unchanged sentences

used to estimate

value for these

these instruments

are presented

11 unchanged sentences

their carrying

the short-term

these financial

2021 and December

to the short-term

financial instruments.

of the majority

use of repurchase

are accounted

64 unchanged sentences

The measurement of

uncertain tax positions is adjusted when new information is available, or when

an event occurs that requires a change.

Recent Accounting

uncertain tax positions is adjusted when new information is available, or

when an event occurs that requires a change.

Pronouncements

27 unchanged sentences

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

aspects of the contract modification and

hedge accounting expedients to derivative contracts affected by the discounting transition.

addition, ASU 2021-01 adds

implementation guidance to permit a company to apply certain optional expedients

to modifications of interest rate indexes used for

margining, discounting or contract price alignment of certain derivatives as a result

of reference rate reform initiatives and extends

optional expedients to account for a derivative contract modified as a continuation of

the existing contract and to continue hedge

accounting when certain critical terms of a hedging relationship change to modifications

made as part of the discounting transition.

guidance in ASU 2021-01 is effective immediately and available generally through December

31, 2022, as reference rate reform

activities occur.

The Company does not believe the adoption of this ASU will have a material impact on its financial statements.

MORTGAGE-BACKED SECURITIES

3 unchanged sentences

RMBS portfolio

as of September

(in thousands)

September 30, 2020

March 31, 2021

December 31, 2020

Pass-Through RMBS Certificates:

Adjustable-rate Mortgages

Fixed-rate Mortgages

6 unchanged sentences

RMBS Certificates

REPURCHASE AGREEMENTS AND REVERSE REPURCHASE

REPURCHASE AGREEMENTS

pledges certain

16 unchanged sentences

release collateral

As of September

requirements.

As of September

Company’s repurchase

2 unchanged sentences

($ in thousands)

September 30, 2020

March 31, 2021

Fair market value of securities pledged, including

10 unchanged sentences

In addition, cash pledged to counterparties for repurchase agreements was approximately

million and $

million as of

September 30, 2020 and December 31, 2019, respectively.

March 31, 2021 and December 31, 2020, respectively.

a lender files

8 unchanged sentences

plus interest

including the accrued interest receivable

such lender, including the accrued interest

and cash posted by the Company as collateral.

14 unchanged sentences

DERIVATIVE AND OTHER HEDGING INSTRUMENTS

and Other Hedging

Assets (Liabilities),

at Fair Value

below summarizes

hedging instruments

2021 and December

(in thousands)

Derivative Instruments and Related Accounts

Derivative and Other Hedging Instruments

Balance Sheet Location

September 30, 2020

March 31, 2021

December 31, 2020

Payer swaptions - long

Interest rate swaps

Derivative assets, at fair value

Payer swaptions (long positions)

Derivative assets, at fair value

Interest rate floors

Derivative assets, at fair value

TBA securities

4 unchanged sentences

Derivative liabilities, at fair value

Payer swaptions - short

Payer swaptions (short positions)

Derivative liabilities, at fair value

8 unchanged sentences

Restricted cash

TBA securities

Other liabilities

Interest rate swaption contracts

18 unchanged sentences

and T-Note futures

September 30,

2020 and December

($ in thousands)

September 30, 2020

March 31, 2021

Expiration Year

Eurodollar Futures Contracts (Short Positions)

Weighted Average

Treasury Note Futures Contracts (Short

December 2020 5-year T-Note futures

(Dec 2020 - Dec 2025 Hedge Period)

June 2021 5-year T-Note futures

(Jun 2021 - Jun 2026 Hedge Period)

($ in thousands)

2 unchanged sentences

Eurodollar Futures Contracts (Short Positions)

Weighted Average

Treasury Note Futures Contracts (Short

5 unchanged sentences

at a price of $

at September 30, 2020 and $

at March 31, 2021 and $

at December 31, 2020.

The contract values of

the short positions were $

The contract values of the

short positions were $

million and $

million at September 30, 2020 and December 31, 2019, respectively.

million at March 31, 2021 and December 31, 2020, respectively.

interest rate

1 unchanged sentence

rate and receive

floating rate

on LIBOR ("payer

rate we receive

swap agreements

13 unchanged sentences

swap positions

2021 and December

($ in thousands)

September 30, 2020

March 31, 2021

Expiration > 3 to ≤ 5 years

2 unchanged sentences

Expiration > 3 to ≤ 5 years

Expiration > 5 years

below presents

1 unchanged sentence

interest rate

floor positions

($ in thousands)

February 3, 2023

below presents

the Company’s

interest rate

swaption positions

open swaption

($ in thousands)

Underlying Swap

September 30, 2020

March 31, 2021

Payer Swaptions - long

1 unchanged sentence

Payer Swaptions - short

The following table

summarizes our contracts

to purchase and

sell TBA securities

as of September

December 31, 2020

Payer Swaptions - long

>1 year ≤ 2 years

Payer Swaptions - short

The following table summarizes our contracts to purchase and sell TBA

securities as of March 31, 2021 and December 31, 2020

($ in thousands)

September 30, 2020

15-Year TBA securities:

March 31, 2021

30-Year TBA securities:

( 1,062,000 )

( 1,114,345 )

( 1,105,807 )

( 1,312,000 )

( 1,371,533 )

( 1,362,077 )

December 31, 2020

11 unchanged sentences

Gain (Loss) From Derivative and Other Hedging Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the statements of operations

for the nine and three months ended September 30, 2020 and 2019.

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)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Eurodollar futures contracts (short positions)

T-Note futures contracts (short position)

Fed Funds futures contracts (short positions)

Interest rate swaps

Payer swaptions - short

Payer swaptions - long

Net TBA securities

Treasury securities - short position

Payer swaptions (short positions)

Payer swaptions (long positions)

Interest rate floors

TBA securities (short positions)

TBA securities (long positions)

Credit Risk-Related Contingent Features

The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event

that the counterparties to these instruments fail to perform their obligations under the contracts.

We minimize this risk by

limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial

institutions with acceptable credit ratings and monitoring positions with individual counterparties.

In addition, we may be

required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value,

notional amount and remaining term of the derivative contract.

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

We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered

exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties.

In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on

the market value, notional amount and remaining term of the derivative contract.

In the event of a default by a counterparty,

receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets

pledged as collateral for our derivatives.

The cash and cash equivalents pledged as collateral for our derivative instruments

are included in restricted cash on our balance sheets.

It is the Company's policy not to offset assets and liabilities

associated with open derivative contracts.

However, the Chicago Mercantile Exchange (“CME”) rules characterize variation

margin transfers as settlement payments, as opposed to adjustments to collateral.

As a result, derivative assets and

liabilities associated with centrally cleared derivatives for which the CME serves as the central clearing party are presented

as if these derivatives had been settled as of the reporting date.

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

6 unchanged sentences

to securities

as of September

(in thousands)

September 30, 2020

March 31, 2021

December 31, 2020

3 unchanged sentences

Accrued interest on pledged securities

Receivable for securities sold

Restricted cash

5 unchanged sentences

and derivative

as of September

(in thousands)

March 31, 2021

December 31, 2020

Assets Pledged to Orchid

September 30, 2020

Treasury securities - fair value

December 31, 2019

our repurchase

32 unchanged sentences

as if the Company

2021 and December

(in thousands)

6 unchanged sentences

Balance Sheet

September 30, 2020

March 31, 2021

Interest rate swaps

Interest rate swaptions

Interest rate floors

TBA securities

December 31, 2020

Interest rate swaps

Interest rate swaptions

TBA securities

(in thousands)

8 unchanged sentences

as Collateral

September 30, 2020

March 31, 2021

Repurchase Agreements

( 4,079,105 )

Interest rate swaps

Interest rate swaptions

TBA securities

( 4,079,105 )

3 unchanged sentences

Interest rate swaps

Interest rate swaptions

TBA securities

7 unchanged sentences

of the actual

collateral received

typically exceeds

4 unchanged sentences

and derivative

hedging instruments.

CAPITAL STOCK

ended September

the year ended

1 unchanged sentence

the following

public offerings

of its common

($ in thousands, except per share amounts)

2 unchanged sentences

First Quarter

At the Market Offering Program

Third Quarter

Follow-on Offerings

First Quarter

At the Market Offering Program

4 unchanged sentences

Third Quarter

Follow-on Offering

Third Quarter

Weighted average price received per share is before deducting

the underwriters’ discount, if applicable, and other offering costs.

At the Market Offering Program

Fourth Quarter

Weighted average price received per share is after deducting

the underwriters’ discount, if applicable, and other offering

Net proceeds are net of the underwriters’ discount, if applicable, and

1 unchanged sentence

The Company has entered into eight equity distribution agreements,

seven of which have either been terminated because all shares were

seven of which have either been terminated because all shares were sold

or were replaced with a subsequent agreement.

Stock Repurchase Program

July 29, 2015

, the Company’s Board of Directors authorized the repurchase of up to

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to

shares of the Company’s

3 unchanged sentences

shares of the Company's common stock.

Coupled with the 783,757 shares remaining

from the original 2,000,000

Coupled with the

shares remaining from the original

share authorization, the increased authorization brought the total authorization to

18 unchanged sentences

discontinued at the Company’s discretion without prior notice.

From the inception of the stock repurchase program through September 30, 2020, the

Company repurchased a total of

From the inception of the stock repurchase program through March 31, 2021, the Company

repurchased a total of

shares at an aggregate cost of approximately $

million, including commissions and fees, for a weighted average price

During the nine months ended September 30, 2020, the Company repurchased

shares at an aggregate cost of

approximately $

million, including commissions and fees, for a weighted average price of

During the nine months

ended September 30, 2019, the Company repurchased a total of

shares at an aggregate cost of approximately $

including commissions and fees, for a weighted average price of $

The remaining authorization under the repurchase

program as of September 30, 2020 was

No shares were repurchased during the three months ended March 31, 2021

The remaining authorization under the

repurchase program as of March 31, 2021 was

Cash Dividends

1 unchanged sentence

(in thousands, except per share amounts)

On October 14, 2020, the Company declared a dividend of $

per share to be paid on November 25, 2020.

The effect of this dividend is

included in the table above, but is not reflected in the Company’s

financial statements as of September 30, 2020.

April 14, 2021

, the Company declared a dividend of $

per share to be paid on

The effect of this dividend is included in

the table above but is not reflected in the Company’s financial statements

as of March 31, 2021.

STOCK INCENTIVE PLAN

8 unchanged sentences

Company’s full Board of Directors will administer awards made to directors who are not employees of the Company or its

The Incentive Plan provides for awards of up to an aggregate of

% of the issued and outstanding shares of our

The Incentive Plan provides for awards of up to an aggregate of 10% of the issued and outstanding shares of our

common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregate

13 unchanged sentences

Performance Units are subject to forfeiture should the participant no longer serve as an executive

officer or employee of the Company.

Compensation expense for the Performance Units is recognized over 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 nine months ended

September 30, 2020 and 2019.

officer or employee of the Company or the Manager.

Compensation expense for the Performance Units is recognized over

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)

Nine Months Ended September 30,

Three Months Ended March 31,

Unvested, beginning of period

6 unchanged sentences

The number of shares of common stock issuable upon the vesting of the remaining outstanding Performance Units was

reduced as a result of the book value impairment event that occurred pursuant to the Company's Long Term

Compensation Plans (the "Plans").

The book value impairment event occurred when the Company's book value per share

declined by more than 15% during the quarter ended March 31, 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%.

reduced in the third quarter of 2020 as a result of the book value impairment event that occurred pursuant to the Company's

Incentive Compensation Plans (the "Plans").

The book value impairment event occurred when the Company's

book value per share declined by more than 15% during the quarter ended March 31, 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%.

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,

Fully vested shares granted

Weighted average grant date price per share

Compensation expense related to fully vested shares of common stock awards

The awards issued during the three months ended March 31, 2021 were granted

with respect to service performed in 2020.

Approximately

$600,000 of compensation expense related to the 2021 awards was

accrued and recognized in 2020.

Deferred Stock Units

11 unchanged sentences

common stock.

The following table presents information related to the DSUs outstanding during the nine months ended September 30,

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)

Nine Months Ended September 30,

Three Months Ended March 31,

Outstanding, beginning of period

7 unchanged sentences

Management is not aware of any reported or unreported contingencies

at September 30, 2020.

at March 31, 2021.

The Company will generally not be subject to federal income tax on its REIT taxable

income to the extent that it distributes its REIT

income to the extent it distributes its REIT

taxable income to its stockholders and satisfies the ongoing REIT requirements, including

1 unchanged sentence

ownership tests.

A REIT must generally distribute at least 90% of its REIT taxable

income to its stockholders, of which 85% generally

A REIT must generally distribute at least 90% of its REIT

taxable income to its stockholders, of which 85% generally

must be distributed within the taxable year, in order to avoid the imposition of an excise tax.

8 unchanged sentences

were outstanding

nine and three

basic and diluted

2 unchanged sentences

income available

stock, as they

have dividend

participation

Deferred Stock

no contractual

such obligation,

to common stock,

dividend participation

unvested Performance

have no contractual

such obligation,

are not included

6 unchanged sentences

and denominator

ended September

the three months

(in thousands, except per share information)

Nine Months Ended September

Three Months Ended September

Three Months Ended March 31,

Basic and diluted EPS per common share:

Numerator for basic and diluted EPS per share of common stock:

Net (loss) income - Basic and diluted

Net loss - Basic and diluted

Weighted average shares of common stock:

Shares of common stock outstanding at the balance sheet date

Unvested dividend eligible share based compensation

outstanding at the balance sheet date

Effect of weighting

Weighted average shares-basic and diluted

Net (loss) income per common share:

Net loss per common share:

Basic and diluted

49 unchanged sentences

to the subject

asset or liability.

The Company's

RMBS, interest

interest rate

and TBA securities

Level 2 valuations,

TBA securities

2 valuations,

and such valuations

3 unchanged sentences

pricing sources

broker quotes,

when available.

price estimates

may vary, the Company

certain judgments

estimates may

and assumptions

the appropriate

the fair values.

and the independent

the independent

pricing sources

valuation techniques

of the Company’s

2 unchanged sentences

the most recent

identical assets,

like or identical

assets (including

security coupon,

maturity, yield,

and prepayment

spread pricing

market credit

(option adjusted

spread, spread

Treasury curve

benchmark such

curve or spread

to a benchmark

such as a TBA),

and model driven

4 unchanged sentences

The appropriate

spread pricing

based on market

pricing method

used is based

source determines

5 unchanged sentences

characteristics

market observation

and the asset

4 unchanged sentences

of the asset,

the stability

stability and

predictability

1 unchanged sentence

asset, whether

the guarantor

of the security

if applicable,

the maturity, the

1 unchanged sentence

the underlying

were originated,

loan to value

1 unchanged sentence

of the underlying

and other variables

if appropriate.

The fair value

2 unchanged sentences

adjusted spread.

value option),

The Company’s

futures contracts

1 valuations,

exchange-traded

market prices

readily available.

Futures contracts

The Company’s

interest rate

swaps, interest

interest rate

The fair value

is determined

using a discounted

using forward

market interest

are observable

rate swaptions

is determined

using an option

pricing model.

value option),

and TBA securities

were recorded

at fair value

on a recurring

ended September

value measurements,

measurements,

considers the

most advantageous

market in which

6 unchanged sentences

When identical

in active markets,

active markets,

looks to market

similar assets.

The following

9 unchanged sentences

Quoted Prices

September 30, 2020

March 31, 2021

Mortgage-backed securities

1 unchanged sentence

Interest rate swaptions

Interest rate floors

TBA securities

2 unchanged sentences

Interest rate swaps

Interest rate swaptions

TBA securities

During the nine and three months ended September 30, 2020 and 2019, there were no transfers

of financial assets or liabilities

between levels 1, 2 or 3.

During the three months ended March 31, 2021 and 2020, there were no transfers

of financial assets or liabilities between levels 1,

RELATED PARTY

2 unchanged sentences

management agreement.

The management agreement has been renewed through

February 20, 2021

and provides for

extension options thereafter and is subject to certain termination rights.

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.

Under the terms of the

12 unchanged sentences

expenses recorded for the management fee and costs incurred were approximately $

for the nine and three months ended September 30, 2020, respectively, and

million for the nine and

three months ended September 30, 2019, respectively.

At September 30,

2020 and December 31, 2019, the net amount

due to affiliates was approximately

million and $

for the three months ended March 31, 2021 and 2020, respectively.

March 31, 2021 and December 31, 2020, the net

amount due to affiliates was approximately $

million and $

million, respectively.

5 unchanged sentences

Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini.

In addition, as of September

In addition, as of March

31, 2021, Bimini

, of the Company’s common stock.

shares, or 2.8%, of the Company’s common stock.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements