What changed in this filing

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Item 1. Financial Statements

2022-08-05 compared with 2022-04-29 · 243 added, 193 removed, 1217 unchanged (26% of the section changed)

24 unchanged sentences

no shares issued

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

and outstanding as of June 30, 2022 and December 31, 2021

Common Stock, $

shares authorized,

shares issued and outstanding as of March 31, 2022 and

shares issued and outstanding as of June 30, 2022 and

shares issued

9 unchanged sentences

OF OPERATIONS

For the Three Months Ended March 31, 2022 and 2021

For the Three and Six Months Ended June 30, 2022 and 2021

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Interest income

1 unchanged sentence

Net interest income

Realized losses on mortgage-backed securities

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

Gains on derivative and other hedging instruments

Realized (losses) gains on mortgage-backed securities

Unrealized (losses) gains on mortgage-backed securities and

Treasury Notes

Gains (losses) on derivative and other hedging instruments

Net portfolio loss

14 unchanged sentences

OF STOCKHOLDERS' EQUITY

For the Three Months Ended March 31, 2022 and 2021

For the Six Months Ended June 30, 2022 and 2021

(in thousands)

4 unchanged sentences

Balances, March 31, 2021

Cash dividends declared

Issuance of common stock pursuant to public offerings, net

Stock based awards and amortization

Balances, June 30, 2021

Balances, January 1, 2022

2 unchanged sentences

Balances, March 31, 2022

Cash dividends declared

Stock based awards and amortization

Shares repurchased and retired

Balances, June 30, 2022

See Notes to Financial Statements

2 unchanged sentences

OF CASH FLOWS

For the Three Months Ended March 31, 2022 and 2021

For the Six Months Ended June 30, 2022 and 2021

($ in thousands)

2 unchanged sentences

Stock based compensation

Realized and unrealized losses on mortgage-backed securities

Unrealized losses on U.S.

Treasury Notes

Realized losses on mortgage-backed securities

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

Realized and unrealized gains on derivative instruments

11 unchanged sentences

NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES

( 1,063,982 )

CASH FLOWS FROM FINANCING ACTIVITIES:

5 unchanged sentences

Proceeds from issuance of common stock, net of issuance costs

Shares repurchased and retired

Shares withheld from employee stock awards for payment of taxes

12 unchanged sentences

NONCASH INVESTING ACTIVITIES:

Securities acquired settled in later period

Securities sold settled in later period

66 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 could offer and sell, from time to time, up to

15 unchanged sentences

transactions.

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

Through June 30, 2022, the Company issued a total of

shares under the October 2021 Equity Distribution

3 unchanged sentences

commissions and fees.

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

the Company issued no shares under the October 2021

Equity Distribution Agreement.

No shares were issued under the October 2021 Equity

Distribution Agreement during the six months ended

June 30, 2022.

The accompanying

11 unchanged sentences

all adjustments

are not necessarily

not necessarily

of the results

27 unchanged sentences

Variable Interest Entities (“VIEs”)

We obtain interests in VIEs through our investments in mortgage-backed securities.

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.

As a result, we do not

consolidate these VIEs and we account for our interest in these VIEs as mortgage-backed

See Note 2 for additional

information regarding our investments in mortgage-backed securities.

Our maximum exposure to loss for these VIEs is the carrying

value of the mortgage-backed securities.

The Company obtains interests in VIEs through its investments in mortgage-backed

The Company’s interests in these

VIEs are passive in nature and are not expected to result in the Company obtaining a

controlling financial interest in these VIEs in the

As a result, the Company does not consolidate these VIEs and accounts

for these interests in these VIEs as mortgage-backed

See Note 2 for additional information regarding the Company’s investments in

mortgage-backed securities.

exposure to loss for these VIEs is the carrying value of the mortgage-backed securities.

Cash and Cash Equivalents and Restricted Cash

17 unchanged sentences

(in thousands)

March 31, 2022

June 30, 2022

December 31, 2021

36 unchanged sentences

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 also invests in U.S.

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.

to RMBS and CMOs as PT

The Company refers to IO and IIO securities as structured RMBS.

also invests in U.S.

Treasury Notes, primarily

to satisfy collateral requirements of derivative counterparties.

The Company has elected

to account for its investment in RMBS and

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 the Company’s operations for a

particular reporting period and is consistent with the underlying economics and

how the portfolio is managed.

records securities

103 unchanged sentences

its collateral

payments provided

receive payments

of the agreement.

23 unchanged sentences

due to affiliates,

for unsettled

accrued interest

their carrying

to the short-term

of the majority

14 unchanged sentences

Basic earnings

is calculated

as net income

2 unchanged sentences

stock outstanding

or subscribed

EPS is calculated

1 unchanged sentence

stock equivalents,

are not included

if the result

11 unchanged sentences

made to employees

Company’s common

award’s respective

1 unchanged sentence

graded vesting

do not estimate

we adjust for

rather, adjusts

for forfeitures

in the periods

37 unchanged sentences

The Company does not

believe the adoption of this ASU will have a material impact on its consolidated financial

believe the adoption of this ASU will have a material impact on its financial statements.

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

24 unchanged sentences

(in thousands)

March 31, 2022

June 30, 2022

December 31, 2021

13 unchanged sentences

The following

Three Months Ended March 31,

the Company’s

Six Months Ended June 30,

Proceeds from sales of RMBS

1 unchanged sentence

( 2,001,135 )

( 1,686,948 )

Net (loss) gain on sales of RMBS

25 unchanged sentences

($ in thousands)

March 31, 2022

June 30, 2022

Fair market value of securities pledged, including

9 unchanged sentences

Net weighted average borrowing rate

Includes a repurchase agreement with an outstanding principal balance of

approximately $48.9 million as of June 30, 2022, with an interest rate

indexed to Secured Overnight Financing Rate (“SOFR”) that reprices daily.

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

$113.6 million and $57.3 million as of

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

million and $

million as of

June 30, 2022 and December 31, 2021, respectively.

of a repurchase

8 unchanged sentences

plus interest

including the accrued interest receivable

such lender, including the accrued interest

and cash posted by the Company as collateral.

had an aggregate

amount loaned

to the Company,

the Company, including

the counterparty

value of securities

and cash pledged

accrued interest

on such securities)

1 unchanged sentence

of approximately

have an amount

any individual

2 unchanged sentences

below summarizes

Company’s derivative

hedging instruments

2 unchanged sentences

Balance Sheet Location

March 31, 2022

June 30, 2022

December 31, 2021

5 unchanged sentences

Derivative assets, at fair value

TBA securities

Derivative assets, at fair value

Total derivative

12 unchanged sentences

TBA securities

Restricted cash

TBA securities

Other liabilities

17 unchanged sentences

($ in thousands)

March 31, 2022

June 30, 2022

Expiration Year

Treasury Note Futures Contracts (Short

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)

September 2022 5-year T-Note futures

(Sep 2022 - Sep 2027 Hedge Period)

September 2022 10-year Ultra futures

(Sep 2022 - Sep 2032 Hedge Period)

($ in thousands)

10 unchanged sentences

futures contracts were valued at a price of $

at March 31, 2022 and $

at June 30, 2022 and $

at December 31, 2021.

The contract values

of the short positions were $

The contract values of

the short positions were $

million and $

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

million at June 30, 2022 and December 31, 2021, respectively.

10-Year Ultra

contracts were valued at a price of $

at March 31, 2022 and $

at June 30, 2022 and $

at December 31, 2021.

1 unchanged sentence

million and $

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

floating rate

index ("payer

rate we receive

million at June 30, 2022 and December 31, 2021, respectively

("payer swaps").

Company receives

swap agreements

6 unchanged sentences

on such liabilities.

We are typically

to post collateral

on our interest

below presents

1 unchanged sentence

($ in thousands)

March 31, 2022

June 30, 2022

Expiration > 3 to ≤ 5 years

13 unchanged sentences

Underlying Swap

March 31, 2022

June 30, 2022

Payer Swaptions - long

7 unchanged sentences

( 1,331,500 )

outstanding TBA contracts as of March 31, 2022.

The following table summarizes

the Company’s contracts to

purchase and sell TBA

securities as of June

30, 2022 and December

($ in thousands)

June 30, 2022

30-Year TBA securities:

15-Year TBA securities:

December 31, 2021

6 unchanged sentences

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.

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

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

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

the three months ended March 31, 2022 and 2021.

the six and three months ended June 30, 2022 and 2021.

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

T-Note futures contracts (short position)

12 unchanged sentences

obligations under the contracts.

minimize this risk

our counterparties

attempts to minimize

limiting its counterparties

for instruments which

are not centrally

registered exchange

to major financial

acceptable credit

monitoring positions

registered exchange to

major financial institutions

with acceptable credit

monitoring positions with

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

addition, the Company

pledge assets

as collateral

derivatives, whose

amounts vary over

market value, notional

amount and remaining

the derivative contract.

by a counterparty, the

not receive payments

The cash and cash equivalents pledged as collateral for the Company derivative instruments

are included in restricted cash

on its balance sheets.

It is the Company's policy not

to offset assets and liabilities associated

with open derivative contracts.

However, Chicago

Intercontinental

opposed to adjustments to collateral.

a result, derivative assets and liabilities

associated with centrally cleared derivatives for

the CME or ICE serves as the central clearing party are presented as if these derivatives

had been settled as of the reporting date.

PLEDGED ASSETS

2 unchanged sentences

below summarizes

the Company’s

assets pledged

as collateral

under repurchase

and derivative

pledged related

to securities

by type, including

not yet settled,

(in thousands)

March 31, 2022

June 30, 2022

December 31, 2021

9 unchanged sentences

assets pledged

counterparties

to the Company

from counterparties

under repurchase

and derivative

(in thousands)

March 31, 2022

June 30, 2022

December 31, 2021

28 unchanged sentences

Balance Sheet

March 31, 2022

June 30, 2022

Interest rate swaps

1 unchanged sentence

Interest rate caps

TBA securities

December 31, 2021

11 unchanged sentences

as Collateral

March 31, 2022

June 30, 2022

Repurchase Agreements

1 unchanged sentence

Interest rate swaptions

TBA securities

( 3,707,850 )

16 unchanged sentences

did not complete

the six months

ended December

the following

32 unchanged sentences

Company’s then outstanding share count.

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

number of shares of the Company’s common stock

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

1 unchanged sentence

stock repurchase program to

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

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

common stock.

5 unchanged sentences

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

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.

3 unchanged sentences

without prior notice.

From the inception of the stock repurchase program through March 31, 2022, the Company

From the inception of the stock repurchase program through June 30, 2022, the Company

repurchased a total of

shares at an aggregate cost of approximately $

at an aggregate cost of approximately $

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

During the six months ended June 30, 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 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

No shares were

repurchased during the year ended December 31, 2021.

The remaining authorization

under the stock repurchase program as of June

Cash Dividends

1 unchanged sentence

(in thousands, except per share amounts)

April 13, 2022

July 13, 2022

, 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, 2022.

August 29, 2022

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, 2022.

STOCK INCENTIVE PLAN

23 unchanged sentences

Plan provides

a fully diluted

the Company’s

diluted basis)

of the awards,

2 unchanged sentences

2021 Incentive

Plan replaces

2012 Incentive

be made under

2012 Incentive

in accordance

in the future

25 unchanged sentences

is recognized

over the remaining

vesting period

5 unchanged sentences

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Unvested, beginning of period

14 unchanged sentences

issued during

vested shares

the six months

issued during

the six months

and the related

expense, were

2 unchanged sentences

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Fully vested shares granted

25 unchanged sentences

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Outstanding, beginning of period

7 unchanged sentences

Management is not aware of any reported or unreported contingencies

at March 31, 2022.

at June 30, 2022.

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

17 unchanged sentences

EARNINGS PER SHARE (EPS)

six and three

share computations

include these

unvested Performance

dividend participation

is income available

participation

unvested Performance

have no contractual

Because there

are not included

Deferred Stock

EPS computations

5 unchanged sentences

(in thousands, except per share information)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Basic and diluted EPS per common share:

55 unchanged sentences

pricing sources

price estimates

may vary, the

may vary, the Company

certain judgments

and assumptions

7 unchanged sentences

assets (including

maturity, yield,

and prepayment

spread pricing

coupon, maturity,

speeds), spread

market credit

spreads (option

adjusted spread,

zero volatility

spread, spread

Treasury curve

to a benchmark

(the discounted

method, Black

upon observable

Black Scholes

term structure

The appropriate

pricing method

used is based

spread pricing

market convention.

source determines

trade activity

or observable

assets similar

being priced.

is then adjusted

to those being

then adjusted

characteristics

market observation

and the asset

1 unchanged sentence

Those characteristics

expected life

of the asset,

and predictability

predictability

of the expected

of the security

if applicable,

the maturity,

the issuer, size

of the underlying

were originated,

or adjustable,

the guarantor

the maturity, the

issuer, size of

the underlying

loan to value

2 unchanged sentences

of the underlying

if appropriate.

The Company’s

27 unchanged sentences

on a recurring

When determining

measurements,

the principal

most advantageous

would transact

and considers

When possible,

looks to active

and observable

price identical

When identical

active markets,

market observable

looks to market

similar assets.

7 unchanged sentences

Quoted Prices

March 31, 2022

June 30, 2022

Mortgage-backed securities

3 unchanged sentences

Interest rate caps

TBA securities

December 31, 2021

4 unchanged sentences

TBA securities

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

of financial assets or liabilities between levels 1,

During the six and three months ended June 30, 2022 and 2021, there were

no transfers of financial assets or liabilities between

levels 1, 2 or 3.

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.

24 unchanged sentences

less than or equal to $5 billion, and

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

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

balance in excess of $5 billion, and

1 unchanged sentence

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

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

7 unchanged sentences

million and $

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 $

million for the six and three months ended June 30, 2022, respectively, and $

million and $

million for the six and three months

ended June 30, 2021, respectively.

At June 30, 2022 and December 31, 2021, the net amount due to affiliates was approximately

million and $

million, respectively.

Other Relationships with Bimini

Robert Cauley, our Chief Executive Officer and Chairman of our Board of Directors, also serves as Chief Executive Officer and

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

Haas, IV, our Chief Financial

Officer, Chief Investment Officer, Secretary and a member of our Board of Directors, also serves as the Chief Financial Officer, Chief

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

In addition, as of March 31,

Robert Cauley, the Company’s Chief Executive Officer and Chairman of the 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 Bimini.

Haas, IV, the

Company’s Chief Financial Officer, Chief Investment Officer, Secretary and a member of the Board of Directors, also serves as the

Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini.

In addition, as of

June 30, 2022, Bimini owned

%, 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