What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-04-29 compared with 2021-10-29 · 430 added, 425 removed, 980 unchanged (47% of the section changed)

3 unchanged sentences

($ in thousands, except per share data)

September 30,

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

1 unchanged sentence

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

and $0, respectively)

, respectively)

Cash and cash equivalents

2 unchanged sentences

Derivative assets

Receivable for securities sold, pledged to counterparties

LIABILITIES AND STOCKHOLDERS' EQUITY

Repurchase agreements

Payable for unsettled securities purchased

Dividends payable

9 unchanged sentences

no shares issued

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

and outstanding as of March 31, 2022 and December 31, 2021

Common Stock, $

shares authorized,

shares issued and outstanding as of September 30, 2021 and

shares issued and outstanding as of March 31, 2022 and

shares issued

9 unchanged sentences

OF OPERATIONS

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

For the Three Months Ended March 31, 2022 and 2021

($ 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 (losses) gains on mortgage-backed securities

Gains (losses) on derivative and other hedging instruments

Net portfolio (loss) income

Realized losses on mortgage-backed securities

Unrealized losses on mortgage-backed securities and U.S.

Gains on derivative and other hedging instruments

Net portfolio loss

Management fees

Allocated overhead

Accrued incentive compensation

Incentive compensation

Directors' fees and liability insurance

3 unchanged sentences

Total expenses

Net (loss) income

Basic net (loss) income per share

Diluted net (loss) income per share

Basic and diluted net loss per share

Weighted Average Shares Outstanding

4 unchanged sentences

OF STOCKHOLDERS' EQUITY

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

For the Three Months Ended March 31, 2022 and 2021

(in thousands)

4 unchanged sentences

Balances, March 31, 2021

Cash dividends declared

Stock based awards and amortization

Shares repurchased and retired

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, 2022

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Stock based awards and amortization

Balances, March 31, 2022

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Stock based awards and amortization

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 Nine Months Ended September 30, 2021 and 2020

For the Three Months Ended March 31, 2022 and 2021

($ in thousands)

2 unchanged sentences

Stock based compensation

Realized and unrealized losses (gains) on mortgage-backed securities

Realized and unrealized losses on mortgage-backed securities

Unrealized losses on U.S.

Treasury Notes

Realized and unrealized (gains) losses on derivative instruments

Realized and unrealized gains on derivative instruments

Changes in operating assets and liabilities:

2 unchanged sentences

Other liabilities

Due to (from) affiliates

Due to affiliates

NET CASH PROVIDED BY OPERATING

2 unchanged sentences

( 1,764,082 )

( 2,898,616 )

Principal repayments

Purchases of U.S.

Treasury Notes

Net payments on reverse repurchase agreements

Net proceeds from (payments on) derivative instruments

NET CASH (USED IN) PROVIDED BY INVESTING ACTIVITIES

( 1,843,071 )

NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES

CASH FLOWS FROM FINANCING ACTIVITIES:

6 unchanged sentences

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

NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES

( 1,811,221 )

NET (DECREASE) INCREASE IN CASH, CASH EQUIVALENTS

AND RESTRICTED CASH

9 unchanged sentences

Securities acquired settled in later period

Securities sold settled in later period

See Notes to Financial Statements

6 unchanged sentences

was incorporated

for the purpose

of residential

9 unchanged sentences

was the issuance

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

transactions.

The Company issued a total of

shares under the January 2020 Equity Distribution Agreement for

gross proceeds of

approximately $

million, and net proceeds of approximately $

million, after commissions and fees, prior to

its termination in August 2020.

On August 4, 2020, Orchid entered into an equity distribution agreement (the “August

2 unchanged sentences

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

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

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

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

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 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 June 2021 Equity Distribution Agreement for aggregate

gross proceeds of approximately $

million, and net proceeds of approximately $

million, after commissions and fees, prior to

its termination in October 2021.

On October 29, 2021, Orchid entered into an equity distribution agreement (the

“October 2021 Equity Distribution Agreement”) with

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

up to an aggregate amount of $

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

1 unchanged sentence

transactions.

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

shares under the June 2021 Equity Distribution

Through March 31, 2022, the Company issued a total of

shares under the October 2021 Equity Distribution

Agreement for aggregate gross proceeds of approximately $

2 unchanged sentences

commissions and fees.

Subsequent to September 30, 2021 and through October

28, 2021, the Company issued a total of

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.

COVID-19 Impact

global pandemic

novel coronavirus

of the economic,

market turmoil

about by COVID-19,

severe dislocations.

This resulted

and increased

adverse effects

on our results

of operations

largely stabilized

“Fed”) announced

that it would

Treasuries in

support smooth

market functioning.

As of September

to the pandemic

various measures

To the extent the

these actions,

our business,

and financial

to be materially

cannot estimate

of the impact

of the COVID-19

adverse effect

on the Company’s

future operations,

and liquidity.

Subsequent to March 31, 2022 through April 29, 2022,

the Company issued no shares under the October 2021

Equity Distribution Agreement.

The accompanying

14 unchanged sentences

ending December

audited financial

of the information

17 unchanged sentences

affecting the

values of RMBS

and derivatives.

the estimates

3 unchanged sentences

the information

as of September

Variable Interest Entities (“VIEs”)

28 unchanged sentences

(in thousands)

September 30, 2021

March 31, 2022

December 31, 2021

29 unchanged sentences

(“PT”) residential

backed (“RMBS”)

backed securities

and collateralized

1 unchanged sentence

(“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.

refer to IO and IIO securities as structured RMBS.

The Company also invests

We refer to RMBS

and CMOs as PT RMBS.

to IO and IIO securities as structured RMBS.

The Company also invests in U.S.

Treasury Notes, primarily to satisfy collateral

35 unchanged sentences

Treasury Notes

Notes is based

on the stated

are not amortized.

in unrealized

are reflected

gains (losses)

2 unchanged sentences

For IO securities,

carrying value

and the effective

between income

and the interest

is characterized

of investment

each reporting

carrying value.

effective yield

5 unchanged sentences

IIO securities,

effective yield

value applicable

to the security.

each reporting

as unrealized

mortgage-backed

in the accompanying

of operations.

3 unchanged sentences

asset/liability

The principal

Treasury Note

federal funds

(“Fed Funds”)

and Eurodollar

4 unchanged sentences

and “to-be-announced”

(“TBA”) securities

transactions,

but the Company

other derivative

hedging instruments

14 unchanged sentences

its portfolio

in cash receipts

on the statement

of cash flows.

Cash payments

and cash receipts

from settlements

of derivatives,

current period

net cash settlements

are classified

as an investing

on the statements

of cash flows.

Holding derivatives

6 unchanged sentences

its collateral

receive payments

payments provided

of the agreement.

25 unchanged sentences

their carrying

these financial

to the short-term

of the majority

5 unchanged sentences

in the respective

and Obligations

under Reverse

Treasury securities

through reverse

master repurchase

as securities

and recognize

an obligation

at fair value

on the balance

of the underlying

The securities

in connection

reverse repurchase

risk exposure

counterparties.

have maturities

Manager Compensation

7 unchanged sentences

Basic earnings

is calculated

as net income

8 unchanged sentences

is anti-dilutive.

Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under

the Internal Revenue Code of 1986,

as amended (the “Code”).

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 basis.

In addition, a REIT must meet other

provisions of the Code to retain its tax status.

Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions

will be sustained upon examination

to non-employee

and employees

of the Manager.

awards issued

include performance

units, deferred

and immediately

and recognized

for all stock-based

payment awards

made to employees

award’s respective

service period

graded vesting

do not estimate

we adjust for

in the periods

Orchid has elected and is organized and operated so as to qualify to be taxed as a

real estate investment trust (“REIT”) under the

Internal Revenue Code of 1986, as amended (the “Code”).

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

income provided that they distribute to their stockholders all of their REIT taxable income

on an annual basis.

A REIT must distribute at

least 90% of its REIT taxable income, determined without regard to the

deductions for dividends paid and excluding net capital gain,

and meet other requirements of the Code to retain its tax status.

Orchid assesses the likelihood, based on their technical merit, that uncertain tax

positions will be sustained upon examination

based on the facts, circumstances and information available at the end of each period.

13 unchanged sentences

for modifications

on debt instruments, leases,

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

London Interbank

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.

8 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).

In January 2021, the FASB issued ASU 2021-01 “

Reference Rate Reform (Topic 848

).” ASU 2021-01 expands the scope of ASC

2 unchanged sentences

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

addition, ASU 2021-01 adds

ASU 2021-01 adds

implementation guidance to permit a company to apply certain optional expedients

4 unchanged sentences

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.

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

2 unchanged sentences

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 AND U.S.

TREASURY NOTES

The following

2 unchanged sentences

RMBS portfolio

as of September

(in thousands)

September 30, 2021

March 31, 2022

December 31, 2021

1 unchanged sentence

Fixed-rate Mortgages

Fixed-rate CMOs

Total Pass-Through

4 unchanged sentences

RMBS Certificates

Treasury Notes

value of approximately

million, respectively,

its derivative

counterparties.

The following

Three Months Ended March 31,

Proceeds from sales of RMBS

Carrying value of RMBS sold

( 1,464,125 )

Net (loss) gain on sales of RMBS

Gross gain on sales of RMBS

Gross loss on sales of RMBS

Net (loss) gain on sales of RMBS

REPURCHASE AGREEMENTS

15 unchanged sentences

calls." Similarly,

met all margin

requirements.

As of September

the Company’s

2 unchanged sentences

($ in thousands)

September 30, 2021

March 31, 2022

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, 2021 and December 31, 2020, respectively.

$113.6 million and $57.3 million as of

March 31, 2022 and December 31, 2021, respectively.

of a repurchase

8 unchanged sentences

plus interest

such lender, including the accrued

interest receivable

including the accrued interest receivable

and cash posted by the Company as collateral.

16 unchanged sentences

Balance Sheet Location

September 30, 2021

March 31, 2022

December 31, 2021

3 unchanged sentences

Derivative assets, at fair value

Interest rate floors

Derivative assets, at fair value

TBA securities

Interest rate caps

Derivative assets, at fair value

13 unchanged sentences

TBA securities

Restricted cash

TBA securities

Other liabilities

Interest rate swaption contracts

Restricted cash

Interest rate swaption contracts

Other liabilities

Interest rate swap contracts

Restricted cash

Interest rate swap contracts

Treasury Notes

balances on derivative contracts

12 unchanged sentences

the Company’s

and T-Note futures

T-Note futures

($ in thousands)

September 30, 2021

March 31, 2022

Expiration Year

Eurodollar Futures Contracts (Short Positions)

Treasury Note Futures Contracts (Short

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)

June 2022 5-year T-Note futures

(Jun 2022 - Jun 2027 Hedge Period)

June 2022 10-year Ultra futures

(Jun 2022 - Jun 2032 Hedge Period)

($ in thousands)

1 unchanged sentence

Expiration Year

Eurodollar Futures Contracts (Short Positions)

Treasury Note Futures Contracts (Short

1 unchanged sentence

(Mar 2022 - Mar 2027 Hedge Period)

March 2022 10-year Ultra futures

(Mar 2022 - Mar 2032 Hedge Period)

Open equity represents the cumulative gains (losses) recorded on open

2 unchanged sentences

futures contracts were valued at a price of $

at September 30, 2021 and $

at March 31, 2022 and $

at December 31, 2021.

values of the short positions were $

The contract values

of the short positions were $

million and $

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

million at March 31, 2022 and December 31, 2021, respectively.

10-Year Ultra

futures contracts were valued at a price of $

at September 30, 2021.

contracts were valued at a price of $

at March 31, 2022 and $

at December 31, 2021.

The contract value of the short position was

September 30, 2021.

million and $

million at March 31, 2022 and December 31, 2021, respectively

floating rate

LIBOR ("payer

receive under

index ("payer

rate we receive

swap agreements

has the effect

11 unchanged sentences

($ in thousands)

September 30, 2021

March 31, 2022

Expiration > 3 to ≤ 5 years

5 unchanged sentences

the Company’s

rate cap positions

($ in thousands)

February 8, 2024

February 3, 2023

below presents

3 unchanged sentences

Underlying Swap

September 30, 2021

March 31, 2022

Payer Swaptions - long

6 unchanged sentences

Payer Swaptions - short

outstanding TBA contracts as of September 30, 2021.

( 1,331,500 )

outstanding TBA contracts as of March 31, 2022.

($ in thousands)

5 unchanged sentences

(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

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 nine and three months ended September 30, 2021 and 2020.

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, 2022 and 2021.

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

Eurodollar futures contracts (short positions)

Three Months Ended March 31,

T-Note futures contracts (short position)

Eurodollar futures contracts (short positions)

Interest rate swaps

1 unchanged sentence

Payer swaptions (long positions)

Interest rate caps

Interest rate floors

1 unchanged sentence

TBA securities (long positions)

Treasury securities (short positions)

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

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.

recognized in the event

that the counterparties to these

instruments fail to perform their

obligations under the contracts.

minimize this risk

our counterparties

for instruments which

are not centrally

registered exchange

to major financial

acceptable credit

monitoring positions

individual counterparties.

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

difficulty obtaining

collateral for

our derivatives.

equivalents pledged as collateral for our derivative instruments are included

in restricted cash on our balance sheets.

derivative assets

and liabilities

associated with

centrally cleared

derivatives for

clearing party are presented as if these derivatives had been settled as of the reporting

PLEDGED ASSETS

5 unchanged sentences

to securities

as of September

(in thousands)

September 30, 2021

March 31, 2022

December 31, 2021

10 unchanged sentences

counterparties

reverse repurchase

and derivative

as of September

(in thousands)

September 30, 2021

March 31, 2022

December 31, 2021

Assets Pledged to Orchid

Treasury securities - fair value

our repurchase

are not recorded

in the balance

retains ownership

of the security.

from counterparties

as collateral

reverse repurchase

are recognized

as obligations

under reverse

balance sheet.

Cash received

is recognized

and cash equivalents

cash equivalents

with a corresponding

amount recognized

as an increase

in the balance

12 unchanged sentences

such arrangements

as of September

(in thousands)

6 unchanged sentences

Balance Sheet

September 30, 2021

March 31, 2022

Interest rate swaps

Interest rate swaptions

Interest rate floors

Interest rate caps

December 31, 2021

1 unchanged sentence

Interest rate swaptions

TBA securities

(in thousands)

8 unchanged sentences

as Collateral

September 30, 2021

March 31, 2022

Repurchase Agreements

( 4,350,520 )

Interest rate swaps

Interest rate swaptions

16 unchanged sentences

CAPITAL STOCK

ended September

ended December

did not complete

the following

7 unchanged sentences

First Quarter

At the Market Offering Programs

Second Quarter

At the Market Offering Program

Third Quarter

At the Market Offering Program

First Quarter

At the Market Offering Program

Second Quarter

7 unchanged sentences

offering costs.

The Company has entered into nine equity distribution agreements,

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

The Company has entered into ten equity distribution agreements, nine of which have

either been terminated because all shares were sold or

were replaced with a subsequent agreement.

11 unchanged sentences

Company’s then outstanding share count.

As part of the stock repurchase program,

shares may be purchased in open market

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

to any trading plan that may be adopted in

accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended

(the “Exchange Act”).

Open market repurchases

will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions

on the method, timing, price and volume of

open market stock repurchases.

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

discontinued at the Company’s discretion without prior notice.

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

Company repurchased a total of

On December 9, 2021, the Board of Directors approved an increase in the

number of shares of the Company’s common stock

available in the stock repurchase program for up to an additional

shares, bringing the remaining authorization under the

stock repurchase program to

shares, representing approximately 10% of the Company’s then outstanding shares

common stock.

As part of the stock repurchase program, shares may be purchased in open market

transactions, block purchases, through

privately negotiated transactions, or pursuant to any trading plan that may be adopted

in accordance with Rule 10b5-1 of the Securities

Exchange Act of 1934, as amended (the “Exchange Act”).

Open market repurchases will be made in accordance with Exchange Act

Rule 10b-18, which sets certain restrictions on the method, timing, price

and volume of open market stock repurchases.

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.

The 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 March 31, 2022, the Company

repurchased a total of

shares at an aggregate cost of approximately $

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

No shares were repurchased during the three months ended March

31, 2022 or during the year ended December 31, 2021.

remaining authorization under the stock repurchase program as of March 31, 2022 was

Cash Dividends

1 unchanged sentence

(in thousands, except per share amounts)

October 12, 2021

April 13, 2022

, the Company declared a dividend of $

per share to be paid on

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.

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, 2022.

STOCK INCENTIVE PLAN

In April 2021, the Company’s Board of Directors adopted, and the stockholders approved, the Orchid Island Capital, Inc.

2021 Equity Incentive Plan (the “2021 Incentive Plan”) to replace the Orchid Island Capital, Inc.

2012 Equity Incentive Plan

(the “2012 Incentive Plan” and together with the 2021 Incentive Plan, the “Incentive Plans”).

The 2021 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 2021 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.

The 2021 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

shares of the Company’s common stock that may be issued under the 2021 Incentive Plan.

Incentive Plan replaces the 2012 Incentive Plan, and no further grants will be made under the 2012 Incentive Plan.

However, any outstanding awards under the 2012 Incentive Plan will continue in accordance with the terms of the 2012

Incentive Plan and any award agreement executed in connection with such outstanding awards.

Performance Units

The Company has issued, and may in the future issue additional, performance units under the Incentive Plans to certain

executive officers and employees of its Manager.

“Performance Units” vest after the end of a defined performance period,

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.

The Performance Units contain dividend equivalent rights, which entitle the Participants

to receive distributions declared by the Company on common stock, but do not include the right to vote the underlying

shares of common stock.

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

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 nine months ended

September 30, 2021 and 2020.

the Company’s

and the stockholders

Island Capital,

“2021 Incentive

Orchid Island

Equity Incentive

“2012 Incentive

2021 Incentive

Plan provides

for the award

of stock options,

rights, stock

award, performance

dividend equivalents

other equity-based

Plan is administered

by the Compensation

of the Company’s

the Company’s

will administer

not employees

of the Company

or its affiliates.

Plan provides

a fully diluted

of the awards,

the Company’s

2021 Incentive

Plan replaces

be made under

2012 Incentive

in accordance

in the future

issue additional,

the Incentive

certain executive

of its Manager.

defined performance

period, based

on satisfaction

the performance

in the performance

unit agreement.

each Performance

of the Company’s

common stock,

be cancelled.

The Performance

contain dividend

rights, which

distributions

by the Company

common stock.

as an executive

or the Manager.

the Performance

on the statements

of operations,

is recognized

vesting period

once it becomes

will be achieved.

The following

table presents

Units outstanding

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended March 31,

Unvested, beginning of period

5 unchanged sentences

Weighted-average remaining vesting term (in years)

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

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 Plans to certain executive officers and employees of its Manager.

The following table presents information related

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 the future

issue additional,

vested common

the Incentive

certain executive

of its Manager.

The following

table presents

issued during

vested shares

expense, were

service performed

respectively.

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended March 31,

Fully vested shares granted

1 unchanged sentence

Compensation expense related to fully vested shares of common stock awards

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.

Deferred Stock Units

Non-employee directors receive a portion of their compensation in the form of deferred stock unit awards (“DSUs”)

pursuant to the Incentive Plans.

Each DSU represents a right to receive one share of the Company’s common stock.

DSUs are immediately vested and are settled at a future date based on the election of the individual participant.

contain dividend equivalent rights, which entitle the participant to receive distributions declared by the Company on common

These dividend equivalent rights are settled 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 nine months ended September 30,

2021 and 2020.

their compensation

awards (“DSUs”)

the Company’s

common stock.

employee director

or her compensation

are immediately

on the election

of the individual

in directors’

in the statements

of operations.

contain dividend

rights, which

receive distributions

by the Company

These dividend

cash or additional

at the participant’s

do not include

common stock.

The following

table presents

($ 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, 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

ownership tests.

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.

at March 31, 2022.

The Company will generally not be subject to U.S.

federal income tax on

its REIT taxable income to the extent that it distributes its

REIT 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,

determined without regard to the

deductions for dividends paid and excluding net capital gain, to its stockholders,

annually to maintain REIT status.

An amount equal to

the sum of which 85% of its REIT ordinary income and 95% of its REIT

capital gain net income, plus certain undistributed income from

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

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

and meets certain

other requirements.

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 and meets certain other requirements.

EARNINGS PER SHARE (EPS)

1 unchanged sentence

unvested Performance

income available

participation

dividend participation

have no contractual

Because there

unvested Performance

are not included

1 unchanged sentence

when no income

are considered

participating

3 unchanged sentences

(in thousands, except per share information)

Nine Months Ended September 30,

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

7 unchanged sentences

in a particular

of a restriction

the effect of

a restriction

non-performance.

1 unchanged sentence

sheet amounts

at fair value

measurements.

9 unchanged sentences

active markets,

and model-based

are observable

65 unchanged sentences

of the underlying

the underlying

were originated,

36 unchanged sentences

the principal

or most advantageous

would transact

and considers

looks to active

and observable

When possible,

price identical

When identical

looks to market

active markets,

market observable

similar assets.

7 unchanged sentences

Quoted Prices

September 30, 2021

March 31, 2022

Mortgage-backed securities

2 unchanged sentences

Interest rate swaptions

Interest rate floors

Interest rate caps

December 31, 2021

Mortgage-backed securities

Treasury Notes

Interest rate swaps

1 unchanged sentence

TBA securities

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

During the three months ended March 31, 2022 and 2021, there were no transfers

of financial assets or liabilities between levels 1,

RELATED PARTY TRANSACTIONS

Management Agreement

The Company is externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a

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.

Under the terms of the

management agreement, the Manager is responsible for administering the business activities and day-to-day operations of

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 1.25% 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.

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

million and $

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

The management agreement has been renewed

February 20, 2023

and provides for automatic one-

year extension options thereafter and is subject to certain termination rights.

Under the terms of the management agreement, the

Manager is responsible for administering the business activities and day-to-day

operations of the Company.

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 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

One-twelfth of 1.00% of the Company’s month-end equity that is greater than $500

On April 1, 2022, pursuant to the third amendment to the management agreement

entered into on November 16, 2021, the

Manager began providing certain repurchase agreement trading, clearing and

administrative services to the Company that had been

previously provided by AVM, L.P.

under an agreement terminated on March 31, 2022.

In consideration for such services, the Company

will pay the following fees to the Manager:

A daily fee equal to the outstanding principal balance of repurchase agreement funding

in place as of the end of such day

multiplied by 1.5 basis points for the amount of aggregate outstanding principal balance

less than or equal to $5 billion, and

multiplied by 1.0 basis points for any amount of aggregate outstanding principal

balance in excess of $5 billion, and

A fee for the clearing and operational services provided by personnel

of the Manager equal to $10,000 per month.

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

Should the 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.

expenses recorded for the management fee and allocated overhead incurred

were approximately $

million and $

million for the nine and

three months ended September 30, 2020, respectively.

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

million for the three months ended March 31, 2022 and 2021, respectively.

At March 31, 2022 and December 31, 2021,

the net amount

due to affiliates was approximately $

7 unchanged sentences

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

In addition, as of September

30, 2021, Bimini

In addition, as of March 31,

%, 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