What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-10-29 compared with 2021-07-30 · 347 added, 437 removed, 1058 unchanged (43% of the section changed)

3 unchanged sentences

($ in thousands, except per share data)

June 30, 2021

December 31, 2020

Mortgage-backed securities, at fair value

Pledged to counterparties

Total mortgage

-backed securities

September 30,

Mortgage-backed securities, at fair value (includes pledged assets

, respectively)

Treasury Notes, at fair value (includes pledged assets of $

and $0, respectively)

Cash and cash equivalents

5 unchanged sentences

Repurchase agreements

Payable for unsettled securities purchased

Dividends payable

9 unchanged sentences

no shares issued

and outstanding as of June 30, 2021 and December 31, 2020

and outstanding as of September 30, 2021 and December 31, 2020

Common Stock, $

shares authorized,

shares issued and outstanding as of June 30, 2021 and

shares issued and outstanding as of September 30, 2021 and

shares issued

9 unchanged sentences

OF OPERATIONS

For the Three and Six Months Ended June 30, 2021 and

For the Three and Nine Months Ended September 30, 2021 and 2020

($ in thousands, except per share data)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Interest income

22 unchanged sentences

OF STOCKHOLDERS' EQUITY

For the Three and Six Months Ended June 30, 2021 and

For the Three and Nine Months Ended September 30, 2021 and 2020

(in thousands)

8 unchanged sentences

Balances, June 30, 2020

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Stock based awards and amortization

Balances, September 30, 2020

Balances, January 1, 2021

7 unchanged sentences

Balances, June 30, 2021

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Stock based awards and amortization

Balances, September 30, 2021

See Notes to Financial Statements

2 unchanged sentences

OF CASH FLOWS

For the Six Months Ended June 30, 2021 and 2020

For the Nine Months Ended September 30, 2021 and 2020

($ in thousands)

CASH FLOWS FROM OPERATING

Adjustments to reconcile net loss to net cash provided by operating

Adjustments to reconcile net loss to net cash provided by operating activities:

Stock based compensation

Realized and unrealized losses (gains) 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 and unrealized losses on U.S.

Treasury securities

Realized losses on forward settling to-be-announced securities

Unrealized losses on U.S.

Treasury Notes

Realized and unrealized (gains) losses on derivative instruments

Changes in operating assets and liabilities:

9 unchanged sentences

Principal repayments

Proceeds from U.S.

Treasury securities

Purchases of U.S.

Treasury Notes

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 proceeds from (payments on) derivative instruments

NET CASH (USED IN) PROVIDED BY INVESTING ACTIVITIES

11 unchanged sentences

AND RESTRICTED CASH

CASH, CASH EQUIVALENTS AND

RESTRICTED CASH, beginning of the period

CASH, CASH EQUIVALENTS AND

RESTRICTED CASH, end of the period

CASH, CASH EQUIVALENTS

AND RESTRICTED CASH, beginning of the period

CASH, CASH EQUIVALENTS

AND RESTRICTED CASH, end of the period

SUPPLEMENTAL DISCLOSURE OF

1 unchanged sentence

Cash paid during the period for:

SUPPLEMENTAL DISCLOSURE OF

NONCASH INVESTING ACTIVITIES:

Securities acquired settled in later period

See Notes to Financial Statements

4 unchanged sentences

Orchid Island

Capital, Inc.

the “Company”),

or the “Company”),

was incorporated

2 unchanged sentences

From incorporation

a wholly owned

of Bimini Capital

date of commencement

owned subsidiary

Capital Management,

of commencement

of operations).

3 unchanged sentences

was the issuance

of common stock

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

“January 2020 Equity Distribution Agreement”) with

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

to an aggregate amount of $

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

privately negotiated

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

up to an aggregate amount of $

of shares of the Company’s common stock in transactions that were deemed to be “at the

market” offerings and privately negotiated

transactions.

8 unchanged sentences

2020 Equity Distribution Agreement”) with

four 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

four 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 negotiated

transactions.

40 unchanged sentences

offering expenses.

On June 22, 2021, Orchid entered into an equity distribution agreement (the “June

2021 Equity Distribution Agreement”) with four

On June 22, 2021, Orchid entered into an equity distribution agreement

(the “June 2021 Equity Distribution Agreement”) with four

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

3 unchanged sentences

transactions.

Through June 30, 2021, the Company issued a total of

Through September 30, 2021, the Company issued a total of

shares under the June 2021 Equity Distribution

3 unchanged sentences

commissions and fees.

Subsequent to June 30, 2021 and through July 30, 2021,

Subsequent to September 30, 2021 and through October

28, 2021, the Company issued a total of

under the June 2021 Equity Distribution Agreement for aggregate gross proceeds

of approximately $

million, and net proceeds of

approximately $

shares under the June 2021 Equity Distribution Agreement for aggregate

gross proceeds of approximately $

million, and net

proceeds of approximately $

million, after commissions and fees.

1 unchanged sentence

global pandemic

with the novel

began to impact

our financial

novel coronavirus

of the economic,

3 unchanged sentences

This resulted

prices of our

from our repurchase

lenders, resulting

and increased

adverse effects

2 unchanged sentences

largely stabilized

Federal Reserve

it would purchase

in the amounts

“Fed”) announced

that it would

Treasuries in

support smooth

market functioning.

we have timely

satisfied all

margin calls.

market continues

and the various

stabilize the

mortgage markets

do not respond

do not function

business, results

of operations

As of September

to the pandemic

various measures

To the extent the

these actions,

our business,

and financial

condition may

be materially

to be materially

cannot estimate

of the impact

of the COVID-19

adverse effect

Company’s results

financial position,

on the Company’s

future operations,

and liquidity.

The accompanying

in accordance

with accounting

1 unchanged sentence

States (“GAAP”)

financial information

the instructions

8 of Regulation

5 unchanged sentences

all adjustments

June 30, 2021

are not necessarily

of the results

the year ending

sheet at December

from the audited

financial statements

ending December

audited financial

of the information

1 unchanged sentence

complete financial

the financial

and footnotes

5 unchanged sentences

in conformity

requires management

to make estimates

3 unchanged sentences

of the financial

expenses during

the reporting

results could

1 unchanged sentence

affecting the

values of RMBS

and derivatives.

the estimates

2 unchanged sentences

are reasonable

the information

as of September

Variable Interest Entities (“VIEs”)

1 unchanged sentence

Our interests in these VIEs are passive in

nature and are not expected to result in us obtaining a controlling financial interest in

these VIEs in the future.

nature and are not expected to result in us obtaining a controlling financial interest

in these VIEs in the future.

As a result, we do not

5 unchanged sentences

Cash and Cash Equivalents and Restricted Cash

Cash and cash

cash equivalents

cash on deposit

with financial

7 unchanged sentences

a reconciliation

of cash, cash

cash equivalents,

and restricted

1 unchanged sentence

position that

same such amounts

the statement

1 unchanged sentence

(in thousands)

June 30, 2021

September 30, 2021

December 31, 2020

3 unchanged sentences

and restricted cash

maintains cash

clearing members.

cash balances

excess margin

exchange clearing

exceed federally

insured limits.

has not experienced

these balances.

1 unchanged sentence

insures eligible

up to $250,000

per depositor

1 unchanged sentence

customer accounts

that are segregated

from the general

counterparty.

general funds

of the counterparty.

Company limits

banks and exchange

clearing members

to only large,

exchange clearing

believes that

any significant

3 unchanged sentences

Mortgage-Backed

Treasury Notes

invests primarily

(“PT”) residential

mortgage backed

issued by Freddie

or Ginnie Mae

collateralized

mortgage obligations

backed (“RMBS”)

and collateralized

interest-only

(“IO”) securities

interest-only

(“IIO”) securities

representing interest in or obligations backed by pools of RMBS.

We refer to RMBS and CMOs as PT RMBS.

to IO and IIO securities as structured RMBS.

The Company has elected to account for its

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,

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.

purchases that

of the balance

We refer to RMBS and

CMOs as PT RMBS.

refer to IO and IIO securities as structured RMBS.

The Company also invests

Treasury Notes, primarily to satisfy collateral

requirements of derivative counterparties.

The Company has elected to account

for its investment in RMBS and U.S.

Treasury Notes

under the fair value option.

Electing the fair value option requires the Company

to record changes in fair value in the statement of

operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period

is consistent with the underlying economics and how the portfolio is managed.

records securities

balance sheet

in the portfolio

an offsetting

liability recorded,

whereas securities

have not settled

balance sheet

date are removed

from the RMBS

of the balance

the portfolio

an offsetting

receivable recorded.

asset or paid

paid to transfer

the liability

2 unchanged sentences

at the measurement

The fair value

the transaction

liability either

the principal

liability, or in

value measurement

the liability

either occurs

in the principal

or liability, or

in the absence

of a principal

market, occurs

or liability.

on independent

2 unchanged sentences

when available.

RMBS securities

interest rate

of the security.

discounts present

not amortized.

resulting from

monthly principal

are reflected

Treasury Notes

are not amortized.

in unrealized

gains (losses)

the statements

in the statements

of operations.

1 unchanged sentence

carrying value

effective yield.

The difference

and the effective

between income

1 unchanged sentence

of investment

carrying value.

At each reporting

each reporting

effective yield

prospectively

the new estimate

of prepayments

and the contractual

the security.

IIO securities,

effective yield

the index value

value applicable

to the security.

of RMBS during

gains or losses

on mortgage-backed

as unrealized

mortgage-backed

in the accompanying

3 unchanged sentences

hedging instruments

interest rate

risk, facilitate

asset/liability

principal instruments

that the Company

The principal

Treasury Note

Fed Funds and

and Eurodollar

futures contracts,

short positions

interest rate

enter in interest

Treasury securities,

rate swaptions”)

7 unchanged sentences

as derivative

Gains and losses

losses associated

in gain (loss)

5 unchanged sentences

in fair value

for each period.

The Company’s

are not designated

as hedge accounting

relationships,

6 unchanged sentences

by a counterparty,

may have difficulty

difficulty recovering

its collateral

receive payments

of the agreement.

The Company’s

central clearing

exchanges and

well-established

and well-established

banks as counterparties,

monitors positions

with individual

1 unchanged sentence

posted collateral

The fair value

value of financial

it is practicable

the financial

futures contracts,

interest rate

swaps, interest

and TBA securities

of the financial

and T-Note futures

are accounted

1 unchanged sentence

and assumptions

used to estimate

estimate fair

these instruments

4 unchanged sentences

cash, accrued

interest receivable,

for securities

1 unchanged sentence

due to affiliates,

unsettled securities

accrued interest

generally approximates

their carrying

2021 and December

to the short-term

financial instruments.

these financial

of the majority

3 unchanged sentences

transactions,

amounts, including

accrued interest,

in the respective

Reverse Repurchase

and Obligations

to Return Securities

Borrowed under

Reverse Repurchase

to cover short

sales of U.S.

under Reverse

Treasury securities

1 unchanged sentence

master repurchase

We account for

these as securities

as securities

and recognize

an obligation

to return the

at fair value

3 unchanged sentences

in connection

with our reverse

reverse repurchase

risk exposure

counterparties.

2 unchanged sentences

is externally

Bimini Advisors,

limited liability

2 unchanged sentences

fee and reimbursement

expenses, which

the management

expensed during

of the management

Basic earnings

is calculated

as net income

or loss attributable

to common stockholders

average number

of common stock

stock outstanding

or subscribed

EPS is calculated

using the treasury

stock or two-class

stock equivalents,

are not included

if the result

4 unchanged sentences

REITs are generally not subject to federal income tax on their REIT taxable income provided that they

distribute to their stockholders at least 90% of their REIT taxable income on an annual

distribute to their stockholders at least 90% of their REIT taxable income on an

annual basis.

In addition, a REIT must meet other

7 unchanged sentences

The measurement of

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

when an event occurs that requires a change.

uncertain tax positions is adjusted when new information is available,

or when an event occurs that requires a change.

Recent Accounting

Pronouncements

3 unchanged sentences

Reform on Financial Reporting.

ASU 2020-04 provides optional expedients and exceptions to GAAP requirements for

modifications

on debt instruments, leases, derivatives, and other contracts, related to the expected market

transition from the London Interbank

ASU 2020-04 provides optional expedients and exceptions to GAAP requirements

for modifications

on debt instruments, leases,

derivatives, and other contracts, related to the expected market transition from the

London Interbank

Offered Rate (“LIBOR”), and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates.

10 unchanged sentences

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

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.

4 unchanged sentences

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

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

4 unchanged sentences

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

MORTGAGE-BACKED

MORTGAGE-BACKED SECURITIES

The following

2 unchanged sentences

RMBS portfolio

as of September

(in thousands)

June 30, 2021

September 30, 2021

December 31, 2020

14 unchanged sentences

institutions.

Interest rates

generally fixed

based on prevailing

on prevailing

rates corresponding

1 unchanged sentence

pledged securities

typically require

to post additional

will typically

post additional

down borrowings

1 unchanged sentence

requirements,

to as "margin

calls." Similarly,

release collateral

requirements.

Company’s repurchase

As of September

the Company’s

had remaining

1 unchanged sentence

($ in thousands)

June 30, 2021

September 30, 2021

Fair market value of securities pledged, including

12 unchanged sentences

million as of

June 30, 2021 and December 31, 2020, respectively.

a lender files

for bankruptcy,

might experience

September 30, 2021 and December 31, 2020, respectively.

of a repurchase

bankruptcy, the

Company might

difficulty recovering

5 unchanged sentences

plus interest

including the accrued interest receivable

such lender, including the accrued

interest receivable

and cash posted by the Company as collateral.

had an aggregate

risk (the difference

the Company, including

interest payable

and securities

posted by the

and cash pledged

including accrued

amount loaned

to the Company,

the counterparty

value of securities

on such securities)

with all counterparties

counterparties

of approximately

have an amount

any individual

that was greater

the Company’s

equity at June

Company’s equity

DERIVATIVE AND OTHER HEDGING INSTRUMENTS

4 unchanged sentences

Balance Sheet Location

June 30, 2021

September 30, 2021

December 31, 2020

30 unchanged sentences

Restricted cash

Interest rate swap contracts

Treasury Notes

balances on derivative contracts

1 unchanged sentence

T-Note futures

are cash settled

futures contracts

settled futures

on an interest

gains and losses

losses credited

the Company’s

7 unchanged sentences

and T-Note futures

June 30, 2021

($ in thousands)

June 30, 2021

September 30, 2021

Expiration Year

1 unchanged sentence

Treasury Note Futures Contracts (Short

September 2021 5-year T-Note futures

(Sep 2021 - Sep 2026 Hedge Period)

September 2021 10-year Ultra futures

(Sep 2021 - Sep 2031 Hedge Period)

December 2021 5-year T-Note futures

(Dec 2021 - Dec 2026 Hedge Period)

December 2021 10-year Ultra futures

(Dec 2021 - Dec 2031 Hedge Period)

($ in thousands)

9 unchanged sentences

futures contracts were valued at a price of $

at June 30, 2021 and $

at September 30, 2021 and $

at December 31, 2020.

The contract values of

the short positions were $

values of the short positions were $

million and $

million at June 30, 2021 and December 31, 2020, respectively.

10-Year Ultra futures

were valued at a price of $

at June 30, 2021.

million at September 30, 2021 and December 31, 2020, respectively.

10-Year Ultra

futures contracts were valued at a price of $

at September 30, 2021.

The contract value of the short position was $

million at June 30, 2021.

interest rate

swap agreements,

rate and receive

on LIBOR ("payer

rate we receive

swap agreements

September 30, 2021.

floating rate

LIBOR ("payer

receive under

has the effect

3 unchanged sentences

of our repurchase

and cash flows

on such liabilities.

We are typically

post collateral

to post collateral

on our interest

1 unchanged sentence

the Company’s

interest rate

swap positions

2021 and December

($ in thousands)

June 30, 2021

September 30, 2021

Expiration > 3 to ≤ 5 years

5 unchanged sentences

the Company’s

interest rate

floor positions

($ in thousands)

3 unchanged sentences

the Company’s

interest rate

swaption positions

rate swaption

($ in thousands)

Underlying Swap

June 30, 2021

September 30, 2021

Payer Swaptions - long

6 unchanged sentences

Payer Swaptions - short

The following table summarizes our contracts to purchase and sell TBA

securities as of June 30, 2021 and December 31, 2020

outstanding TBA contracts as of September 30, 2021.

($ in thousands)

June 30, 2021

30-Year TBA securities:

December 31, 2020

30-Year TBA securities:

Notional amount represents the par value (or principal balance) of the

underlying Agency RMBS.

Cost basis represents the forward price to be paid (received) for the

underlying Agency RMBS.

Notional amount represents the par value (or principal balance) of the underlying

Cost basis represents the forward price to be paid (received) for the underlying

Market value represents the current market value of the TBA securities

(or of the underlying Agency RMBS) as of period-end.

Net carrying value represents the difference between the market

value and the cost basis of the TBA securities as of period-end

and is reported

Net carrying value represents the difference between the market value

and the cost basis of the TBA securities as of period-end and is reported

in derivative assets (liabilities) at fair value in our balance sheets.

1 unchanged sentence

The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of

operations for the six and three months ended June 30, 2021 and 2020.

operations for the nine and three months ended September 30, 2021 and 2020.

(in thousands)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Eurodollar futures contracts (short positions)

31 unchanged sentences

and derivative

including securities

pledged related

to securities

as of September

(in thousands)

June 30, 2021

September 30, 2021

December 31, 2020

2 unchanged sentences

Structured RMBS - fair value

Treasury Notes

Accrued interest on pledged securities

7 unchanged sentences

and derivative

as of September

(in thousands)

June 30, 2021

September 30, 2021

December 31, 2020

6 unchanged sentences

of the security.

received from

counterparties

from counterparties

as collateral

5 unchanged sentences

Cash received

cash equivalents

is recognized

and cash equivalents

with a corresponding

amount recognized

or other liabilities

in the balance

6 unchanged sentences

for the right

or in the event

transactions.

the transactions.

these arrangements

3 unchanged sentences

such arrangements

as if the Company

2021 and December

as of September

(in thousands)

6 unchanged sentences

Balance Sheet

June 30, 2021

September 30, 2021

Interest rate swaps

1 unchanged sentence

Interest rate floors

TBA securities

December 31, 2020

12 unchanged sentences

as Collateral

June 30, 2021

September 30, 2021

Repurchase Agreements

10 unchanged sentences

( 3,536,757 )

disclosed for

for collateral

not exceeding

the net amount

asset or liability

in the balance

The fair value

of the actual

typically exceeds

5 for a discussion

of collateral

received against

or for repurchase

for repurchase

and derivative

hedging instruments.

CAPITAL STOCK

the year ended

Company completed

ended September

ended December

the following

public offerings

of its common

($ in thousands, except per share amounts)

7 unchanged sentences

At the Market Offering Program

Third Quarter

At the Market Offering Program

First Quarter

5 unchanged sentences

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

other offering costs.

Weighted average price received per share is after deducting the underwriters’

discount, if applicable, and other offering costs.

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

offering costs.

The Company has entered into nine equity distribution agreements,

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

eight of which have either been terminated because all shares were sold or

were replaced with a subsequent agreement.

8 unchanged sentences

shares remaining from the original

share authorization, the increased authorization brought the total authorization to

share authorization, the increased authorization brought the total authorization

shares, representing 10% of the

Company’s then outstanding share count.

As part of the stock repurchase program, shares

may be purchased in open market

As part of the stock repurchase program,

shares may be purchased in open market

transactions, block purchases, through privately negotiated transactions, or pursuant

6 unchanged sentences

open market stock repurchases.

The timing, manner, price and amount of any repurchases will be determined by the Company

The timing, manner, price and amount of any repurchases will be determined

by the Company in its

discretion and will be subject to economic and market conditions, stock price, applicable

legal requirements and other factors.

authorization does not obligate the Company to acquire any particular amount of

common stock and the program may be suspended or

authorization does not obligate the Company to acquire any particular amount

of common stock and the program may be suspended or

discontinued at the Company’s discretion without prior notice.

From the inception of the stock repurchase program through June 30, 2021, the Company

repurchased a total of

at an aggregate cost of approximately $

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

No shares were repurchased during the six months ended June 30, 2021.

the six months ended June 30, 2020, the Company

repurchased a total of

From the inception of the stock repurchase program through September 30, 2021, the

Company repurchased a total of

shares at an aggregate cost of approximately $

million, including commissions and fees, for a

weighted average price of $

The remaining authorization under the repurchase program as of June 30,

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

No shares were repurchased during the nine months ended September

During the nine months ended September 30,

2020, the Company repurchased a total of

shares at an aggregate cost of approximately $

million, including commissions

and fees, for a weighted average price of $

The remaining authorization under the repurchase program as of September

Cash Dividends

The table below presents the cash dividends declared on the Company’s common stock.

The table below presents the cash dividends declared on the Company’s common

(in thousands, except per share amounts)

July 14, 2021

October 12, 2021

, the Company declared a dividend of $

per share to be paid on

August 27, 2021

The effect of this dividend is included

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

as of June 30, 2021.

November 26, 2021

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, 2021.

STOCK INCENTIVE PLAN

31 unchanged sentences

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 six months ended June

30, 2021 and 2020.

The following table presents information related to Performance Units outstanding during the nine months ended

September 30, 2021 and 2020.

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 30,

Unvested, beginning of period

17 unchanged sentences

The following table presents information related

to fully vested common stock issued during the six months ended June 30, 2021 and 2020.

All of the fully vested shares of

common stock issued during the three months ended June 30, 2021, and the related compensation expense, were granted

with respect to service performed during the previous fiscal year.

to fully vested common stock issued during the nine months ended September 30, 2021 and 2020.

All of the fully vested

shares of common stock issued during the three months ended September 30, 2021, and the related compensation

expense, were granted with respect to service performed during the previous fiscal year.

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 30,

Fully vested shares granted

1 unchanged sentence

Compensation expense related to fully vested shares of common stock awards

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

granted with respect to service performed in 2020.

The awards issued during the nine months ended September 30, 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.

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

and recognized in 2020.

Deferred Stock Units

7 unchanged sentences

include the right to vote the underlying shares of common stock.

The following table presents information related to the DSUs outstanding during the six months ended June 30, 2021

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

2021 and 2020.

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 30,

Outstanding, beginning of period

7 unchanged sentences

Management is not aware of any reported or unreported contingencies

at June 30, 2021.

at September 30, 2021.

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

income to the extent it distributes its REIT

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

meeting certain asset, income and stock

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

including meeting certain asset, income and stock

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.

The remaining balance

may be distributed

The remaining

balance may be distributed

up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution

2 unchanged sentences

EARNINGS PER SHARE (EPS)

eligible Performance

Deferred Stock

were outstanding

six and three

June 30, 2021

The basic and

share computations

include these

1 unchanged sentence

income available

they have dividend

participation

unvested Performance

have no contractual

no such obligation,

Deferred Stock

Because there

unvested Performance

are not included

EPS computations

when no income

they are considered

are considered

participating

3 unchanged sentences

(in thousands, except per share information)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September

Basic and diluted EPS per common share:

8 unchanged sentences

Net (loss) income per common share:

Basic and diluted

Anti-dilutive incentive shares not included in calculation.

The framework

would be received

asset or paid

(an exit price).

paid to transfer

measure should

asset or liability,

liability, including

the assumptions

1 unchanged sentence

in a particular

the effect of

a restriction

of a restriction

non-performance.

Required disclosures

include stratification

4 unchanged sentences

quoted market

identical assets

or liabilities

active markets

(which include

exchanges and

over-the-counter

sufficient volume),

and over-the-counter

Level 2 valuations,

2 unchanged sentences

active markets,

similar instruments

are observable

2 unchanged sentences

from model-based

that use significant

in the market,

but observable

based on Company-specific

Company-specific

Company’s own

estimates for

for assumptions

or liability.

include option

2 unchanged sentences

use of market

prices of assets

or liabilities

directly comparable

to the subject

asset or liability.

The Company's

2 unchanged sentences

and such valuations

currently are

are determined

by the Company

based on independent

pricing sources

2 unchanged sentences

and assumptions

the fair values.

use to calculate

the independent

pricing sources

valuation techniques

of the Company’s

1 unchanged sentence

include observing

the most recent

like or identical

recent market

assets (including

security coupon,

maturity, yield,

6 unchanged sentences

spread, spread

curve or spread

to a benchmark

such as a TBA),

and model driven

(the discounted

6 unchanged sentences

source determines

observed trade

trade activity

assets similar

to those being

spread is then

adjusted based

being priced.

is then adjusted

characteristics

3 unchanged sentences

Those characteristics

of asset, the

expected life

of the asset,

stability and

predictability

and predictability

of the expected

asset, whether

of the security

if applicable,

the maturity, the

issuer, size of

the maturity,

the issuer, size

of the underlying

the underlying

1 unchanged sentence

loan to value

the underlying

loans reside,

1 unchanged sentence

if appropriate.

The fair value

of the security

is determined

adjusted spread.

The Company’s

quoted prices

for identical

are classified

Level 1 assets.

The Company’s

futures contracts

5 unchanged sentences

The Company’s

interest rate

The fair value

rate swaptions

value of interest

is determined

12 unchanged sentences

on a recurring

June 30, 2021

When determining

measurements,

considers the

most advantageous

market in which

it would transact

the principal

or most advantageous

would transact

and considers

possible, the

Company looks

to active and

looks to active

and observable

price identical

When identical

in active markets,

looks to market

2 unchanged sentences

table presents

financial assets

(liabilities)

assets (liabilities)

at fair value

on a recurring

June 30, 2021

contracts are

a net position

netting arrangements.

1 unchanged sentence

Quoted Prices

June 30, 2021

September 30, 2021

Mortgage-backed securities

Treasury Notes

Interest rate swaps

1 unchanged sentence

Interest rate floors

TBA securities

December 31, 2020

3 unchanged sentences

TBA securities

During the six and three months ended June 30, 2021 and 2020, there were

no transfers of financial assets or liabilities between

levels 1, 2 or 3.

During the nine and three months ended September 30, 2021 and 2020, there were

no transfers of financial assets or liabilities

between levels 1, 2 or 3.

RELATED PARTY

7 unchanged sentences

The Manager receives a monthly management fee in the amount of:

One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity,

as defined in the management

One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, as defined in the management

One-twelfth of 1.25% of the Company’s month-end equity that is greater than $250 million and less than or

8 unchanged sentences

million and $

for the six and three months ended June 30, 2021, respectively, and $

for the nine and three months ended September 30, 2021, respectively, and $

million and $

million for the six and three

months ended June 30, 2020, respectively.

At June 30, 2021 and December 31, 2020, the net amount due to affiliates

approximately $

million for the nine and

three months ended September 30, 2020, respectively.

At September 30, 2021 and December 31, 2020, the net amount

due to affiliates was approximately $

million and $

2 unchanged sentences

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

Chairman of the Board of Directors of Bimini and owns shares of common stock

Haas, IV, our Chief Financial

1 unchanged sentence

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

In addition, as of June

30, 2021, Bimini owned

In addition, as of September

30, 2021, Bimini

%, 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