What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-10-28 compared with 2022-08-05 · 224 added, 157 removed, 1303 unchanged (23% of the section changed)

3 unchanged sentences

($ in thousands, except per share data)

September 30,

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

6 unchanged sentences

Derivative assets

Receivable for securities sold, pledged to counterparties

LIABILITIES AND STOCKHOLDERS' EQUITY

11 unchanged sentences

no shares issued

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

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

Common Stock, $

shares authorized,

shares issued and outstanding as of June 30, 2022 and

shares issued and outstanding as of September 30, 2022 and

shares issued

9 unchanged sentences

OF OPERATIONS

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

For the Three and Nine Months Ended September 30, 2022 and 2021

($ 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

4 unchanged sentences

Treasury Notes

Gains (losses) on derivative and other hedging instruments

Net portfolio loss

Gains on derivative and other hedging instruments

Net portfolio (loss) income

Management fees

6 unchanged sentences

Total expenses

Basic and diluted net loss per share

Net (loss) income

Basic and diluted net (loss) income per share

Weighted Average Shares Outstanding

4 unchanged sentences

OF STOCKHOLDERS' EQUITY

For the Six Months Ended June 30, 2022 and 2021

For the Nine Months Ended September 30, 2022 and 2021

(in thousands)

8 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

Balances, January 1, 2022

6 unchanged sentences

Balances, June 30, 2022

Cash dividends declared

Stock based awards and amortization

Shares repurchased and retired

Balances, September 30, 2022

See Notes to Financial Statements

2 unchanged sentences

OF CASH FLOWS

For the Six Months Ended June 30, 2022 and 2021

For the Nine Months Ended September 30, 2022 and 2021

($ in thousands)

15 unchanged sentences

Principal repayments

Purchases of U.S.

Treasury Notes

Net proceeds from (payments on) derivative instruments

23 unchanged sentences

NONCASH INVESTING ACTIVITIES:

Securities sold settled in later period

Securities acquired settled in later period

See Notes to Financial Statements

10 unchanged sentences

From incorporation

initial public

owned subsidiary

2 unchanged sentences

of operations).

From incorporation

incorporation

through November

1 unchanged sentence

was the issuance

stock to Bimini.

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

11 unchanged sentences

its termination in June 2021.

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

2021 Underwriting Agreement”) with J.P.

On January 20, 2021, Orchid entered into an underwriting

agreement (the “January 2021 Underwriting Agreement”) with

Morgan Securities LLC (“J.P.

6 unchanged sentences

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

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

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

Morgan exercised in full on January 21,

The closing of the offering of

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

proceeds to the Company of approximately $

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

the Company of approximately $

million, net of offering expenses.

6 unchanged sentences

Agreement at $

In addition, the

Company granted J.P.

the Company granted J.P.

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

11 unchanged sentences

an aggregate amount of $

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

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 June 2021 Equity Distribution Agreement for aggregate

gross 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, prior to

its termination in October 2021.

million, after commissions and fees, prior to its

termination in October 2021.

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

5 unchanged sentences

transactions.

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

shares under the October 2021 Equity Distribution

Agreement for aggregate gross proceeds of approximately $

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

shares under the October 2021 Equity

Distribution Agreement for aggregate gross proceeds of approximately $

million, and net proceeds of approximately $

million, after

commissions and fees.

No shares were issued under the October 2021 Equity

Distribution Agreement during the six months ended

June 30, 2022.

after commissions and fees.

No shares were issued under the October 2021

Equity Distribution Agreement during the nine months

ended September 30, 2022.

The accompanying

11 unchanged sentences

all adjustments

not necessarily

ended September

are not necessarily

of the results

ending December

sheet at December

of the information

24 unchanged sentences

the information

On August 30, 2022, the Company effected a 1-for-5 reverse stock split of its common

stock and proportionately decreased the

number of authorized shares of common stock.

All share, per share, deferred stock unit (“DSU”) and performance unit (“PU”)

information has been retroactively adjusted to reflect the reverse split.

The shares of common stock retain a par value of $0.01 per

Variable Interest Entities (“VIEs”)

24 unchanged sentences

position that

the statement

the same such

amounts shown

in the statement

of cash flows.

(in thousands)

June 30, 2022

September 30, 2022

December 31, 2021

43 unchanged sentences

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

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.

particular reporting period and is consistent with the underlying economics and how the

portfolio is managed.

records securities

4 unchanged sentences

of the balance

the portfolio

from the portfolio

an offsetting

40 unchanged sentences

to the security.

of RMBS during

each reporting

54 unchanged sentences

its collateral

receive payments

payments provided

of the agreement.

23 unchanged sentences

due to affiliates,

for unsettled

accrued interest

their carrying

to the short-term

these financial

of the majority

20 unchanged sentences

EPS is calculated

stock or two-class

stock equivalents,

62 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.

8 unchanged sentences

modifications made as part of the discounting transition.

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

31, 2022, as reference rate reform

guidance in ASU 2021-01 is effective

immediately and available generally through December 31, 2022, as reference

activities occur.

6 unchanged sentences

RMBS portfolio

as of September

(in thousands)

June 30, 2022

September 30, 2022

December 31, 2021

7 unchanged sentences

RMBS Certificates

As of September

Treasury Notes

value of approximately

million, respectively,

respectively, primarily

its derivative

2 unchanged sentences

the Company’s

Six Months Ended June 30,

Nine Months Ended September 30,

Proceeds from sales of RMBS

23 unchanged sentences

calls." Similarly,

met all margin

requirements.

As of September

the Company’s

2 unchanged sentences

($ in thousands)

June 30, 2022

September 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.

Includes repurchase agreements with outstanding principal balances of approximately

million as of September 30, 2022, with interest

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

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

1 unchanged sentence

million as of

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

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

of a repurchase

8 unchanged sentences

plus interest

such lender, including the accrued interest

including the accrued interest receivable

and cash posted by the Company as collateral.

had an aggregate

the Company, including

amount loaned

to the Company,

the counterparty

and cash pledged

accrued interest

value of securities

on such securities)

1 unchanged sentence

of approximately

have an amount

any individual

4 unchanged sentences

hedging instruments

as of September

(in thousands)

1 unchanged sentence

Balance Sheet Location

June 30, 2022

September 30, 2022

December 31, 2021

42 unchanged sentences

($ in thousands)

June 30, 2022

September 30, 2022

Expiration Year

Treasury Note Futures Contracts (Short

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)

December 2022 5-year T-Note futures

(Dec 2022 - Dec 2027 Hedge Period)

December 2022 10-year Ultra futures

(Dec 2022 - Dec 2032 Hedge Period)

($ in thousands)

10 unchanged sentences

futures contracts were valued at a price of $

at June 30, 2022 and $

at September 30, 2022 and $

at December 31, 2021.

The contract values of

the short positions were $

values of the short positions were $

million and $

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

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

10-Year Ultra

contracts were valued at a price of $

at June 30, 2022 and $

futures contracts were valued at a price of $

at September 30, 2022 and $

at December 31, 2021.

The contract value of the short position was

The contract value of the short

position was $

million and $

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

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

("payer swaps").

9 unchanged sentences

to post collateral

interest rate

swap agreements.

below presents

1 unchanged sentence

($ in thousands)

June 30, 2022

September 30, 2022

Expiration > 3 to ≤ 5 years

13 unchanged sentences

Underlying Swap

June 30, 2022

September 30, 2022

Payer Swaptions - long

>1 year ≤ 2 years

Payer Swaptions - short

( 1,433,000 )

December 31, 2021

3 unchanged sentences

( 1,331,500 )

The following table summarizes

the Company’s contracts to

purchase and sell TBA

securities as of June

30, 2022 and December

December 31, 2021.

($ in thousands)

June 30, 2022

30-Year TBA securities:

September 30, 2022

30-Year TBA securities:

10 unchanged sentences

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, 2022 and 2021.

the nine and three months ended September 30, 2022 and 2021.

(in thousands)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

T-Note futures contracts (short position)

55 unchanged sentences

not yet settled,

as of September

(in thousands)

June 30, 2022

September 30, 2022

December 31, 2021

13 unchanged sentences

and derivative

as of September

(in thousands)

June 30, 2022

September 30, 2022

December 31, 2021

20 unchanged sentences

such arrangements

as of September

(in thousands)

6 unchanged sentences

Balance Sheet

June 30, 2022

September 30, 2022

Interest rate swaps

15 unchanged sentences

as Collateral

June 30, 2022

September 30, 2022

Repurchase Agreements

19 unchanged sentences

CAPITAL STOCK

1-for-5 reverse

of its common

proportionately

common stock.

and performance

unit information

been retroactively

did not complete

the six months

ended December

33 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

3 unchanged sentences

common stock.

On October 12, 2022, 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 18% of the Company’s then outstanding shares

common stock.

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

4 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 June 30, 2022, the Company

repurchased a total of

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 $

The stock repurchase program has no termination date.

From the inception of the stock repurchase program through September 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

During the nine months ended September 30, 2022, the Company repurchased

shares at an aggregate

cost of approximately $

million, including commissions and fees, for a weighted average

No shares were

repurchased during the year ended December 31, 2021.

The remaining authorization

under the stock repurchase program as of June

Subsequent to September

30, 2022, and through October 27, 2022, 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 stock repurchase

program as of October

Cash Dividends

1 unchanged sentence

(in thousands, except per share amounts)

July 13, 2022

October 12, 2022

, the Company declared a dividend of $

per share to be paid on

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.

November 28, 2022

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, 2022.

STOCK INCENTIVE PLAN

59 unchanged sentences

is recognized

over the remaining

vesting period

4 unchanged sentences

Units outstanding

ended September

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 30,

Unvested, beginning of period

5 unchanged sentences

Weighted-average remaining vesting term (in years)

stock issuable

the remaining

value impairment

Company’s 2012

Equity Incentive

Company’s book

share decline

Plans provide

event occurs,

are outstanding

quarter period

shall be reduced

in the future

7 unchanged sentences

issued during

the six months

the nine months

ended September

issued during

the six months

and the related

1 unchanged sentence

service performed

ended December

respectively.

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 30,

Fully vested shares granted

2 unchanged sentences

their compensation

awards (“DSUs”)

of DSU awards

to the Incentive

DSU represents

the Company’s

common stock.

employee director

or her compensation

each non-employee

her compensation

are immediately

on the election

of the individual

the individual

in directors’

in the statements

liability insurance

of operations.

1 unchanged sentence

rights, which

receive distributions

by the Company

distributions

common stock.

These dividend

cash or additional

at the participant’s

do not include

the participant’s

common stock.

1 unchanged sentence

table presents

ended September

($ 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, 2022.

at September 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

is income available

income available

participation

unvested Performance

have no contractual

Because there

Deferred Stock

unvested Performance

are not included

EPS computations

when no income

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 30,

Basic and diluted EPS per common share:

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

Net loss - Basic and diluted

Net (loss) income - 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 per common share:

Net (loss) income per common share:

Basic and diluted

62 unchanged sentences

spreads (option

adjusted spread,

zero volatility

Treasury curve

10 unchanged sentences

assets similar

to those being

then adjusted

being priced.

is then adjusted

characteristics

10 unchanged sentences

the underlying

were originated,

loan to value

31 unchanged sentences

on a recurring

When determining

measurements,

the principal

most advantageous

or most advantageous

would transact

14 unchanged sentences

Quoted Prices

June 30, 2022

September 30, 2022

Mortgage-backed securities

10 unchanged sentences

TBA securities

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.

During the nine and three months ended September 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.

28 unchanged sentences

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 six and three months ended June 30, 2022, respectively, and $

million for the nine and three months ended September 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 for the nine and three

months ended September 30, 2021, respectively.

At September 30, 2022 and December 31, 2021, the net amount due to

affiliates was

approximately $

million and $

8 unchanged sentences

In addition, as of

June 30, 2022, Bimini owned

September 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