Orchid Island Capital Announces Second Quarter 2024 Results
Second Quarter 2024 Results
-
Net loss of
$5.0 million , or$0.09 per common share, which consists of: -
Net interest expense of
$0.7 million , or$0.01 per common share -
Total expenses of
$4.4 million , or$0.08 per common share -
Net realized and unrealized gains of
$0.1 million , on RMBS and derivative instruments, including net interest income on interest rate swaps -
Second quarter dividends declared and paid of
$0.36 per common share -
Book value per common share of
$8.58 atJune 30, 2024 -
Total return of (1.97)%, comprised of
$0.36 dividend per common share and$0.54 decrease in book value per common share, divided by beginning book value per common share
Other Financial Highlights
-
Orchid maintained a strong liquidity position of
$265.3 million in cash and cash equivalents and unpledged securities (net of unsettled purchased securities), or 48% of stockholders' equity as ofJune 30, 2024 -
Borrowing capacity in excess of
June 30, 2024 outstanding repurchase agreement balances of$4,345.7 million , spread across 22 active lenders -
Company to discuss results on
Friday, July 26, 2024 , at10:00 AM ET - Supplemental materials to be discussed on the call can be downloaded from the investor relations section of the Company’s website at https://ir.orchidislandcapital.com
Management Commentary
Commenting on the second quarter results,
“With the turn in the outlook for monetary policy towards more accommodation equity prices for mortgage REITs have strengthened and we have been able to raise common equity capital via our at-the-market program. We were able to raise approximately
“Looking forward, we anticipate investment opportunities to remain attractive with potential total returns that could improve if the
Details of Second Quarter 2024 Results of Operations
The Company reported net loss of
Prepayments
For the quarter ended
|
|
|
|
|
|
Structured |
|
|
|
|
|
|
|
|
PT RMBS |
|
|
RMBS |
|
|
Total |
|
|||
Three Months Ended |
|
Portfolio (%) |
|
|
Portfolio (%) |
|
|
Portfolio (%) |
|
|||
|
|
|
7.6 |
|
|
|
7.1 |
|
|
|
7.6 |
|
|
|
|
6.0 |
|
|
|
5.9 |
|
|
|
6.0 |
|
|
|
|
5.4 |
|
|
|
7.9 |
|
|
|
5.5 |
|
|
|
|
6.1 |
|
|
|
5.7 |
|
|
|
6.0 |
|
|
|
|
5.6 |
|
|
|
7.0 |
|
|
|
5.6 |
|
|
|
|
3.9 |
|
|
|
5.7 |
|
|
|
4.0 |
|
Portfolio
The following tables summarize certain characteristics of Orchid’s PT RMBS (as defined below) and structured RMBS as of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
|
|
Average |
|
|
||
|
|
|
|
|
|
of |
|
|
Weighted |
|
|
Maturity |
|
|
|||
|
|
Fair |
|
|
Entire |
|
|
Average |
|
|
in |
|
Longest |
||||
Asset Category |
|
Value |
|
|
Portfolio |
|
|
Coupon |
|
|
Months |
|
Maturity |
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate RMBS |
|
$ |
4,509,084 |
|
|
|
99.6 |
% |
|
|
4.72 |
% |
|
|
331 |
|
|
|
|
|
16,447 |
|
|
|
0.4 |
% |
|
|
4.01 |
% |
|
|
217 |
|
|
|
|
|
224 |
|
|
|
0.0 |
% |
|
|
0.00 |
% |
|
|
267 |
|
|
Total Mortgage Assets |
|
$ |
4,525,755 |
|
|
|
100.0 |
% |
|
|
4.68 |
% |
|
|
329 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate RMBS |
|
$ |
3,877,082 |
|
|
|
99.6 |
% |
|
|
4.33 |
% |
|
|
334 |
|
|
|
|
|
16,572 |
|
|
|
0.4 |
% |
|
|
4.01 |
% |
|
|
223 |
|
|
|
|
|
358 |
|
|
|
0.0 |
% |
|
|
0.00 |
% |
|
|
274 |
|
|
Total Mortgage Assets |
|
$ |
3,894,012 |
|
|
|
100.0 |
% |
|
|
4.30 |
% |
|
|
331 |
|
|
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
Percentage of |
|
|
|
|
|
|
Percentage of |
|
||
Agency |
|
Fair Value |
|
|
Entire Portfolio |
|
|
Fair Value |
|
|
Entire Portfolio |
|
||||
Fannie Mae |
|
$ |
2,906,690 |
|
|
|
64.2 |
% |
|
$ |
2,714,192 |
|
|
|
69.7 |
% |
Freddie Mac |
|
|
1,619,065 |
|
|
|
35.8 |
% |
|
|
1,179,820 |
|
|
|
30.3 |
% |
Total Portfolio |
|
$ |
4,525,755 |
|
|
|
100.0 |
% |
|
$ |
3,894,012 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
||
|
|
$ |
102.75 |
|
|
$ |
104.10 |
|
Weighted Average Structured Purchase Price |
|
$ |
18.74 |
|
|
$ |
18.74 |
|
|
|
$ |
94.86 |
|
|
$ |
95.70 |
|
Weighted Average Structured Current Price |
|
$ |
14.24 |
|
|
$ |
13.51 |
|
Effective Duration (1) |
|
|
4.290 |
|
|
|
4.400 |
|
(1) |
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 4.290 indicates that an interest rate increase of 1.0% would be expected to cause a 4.290% decrease in the value of the RMBS in the Company’s investment portfolio at |
Financing, Leverage and Liquidity
As of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
Weighted |
|
||
|
|
Total |
|
|
|
|
|
|
Average |
|
|
Average |
|
|||
|
|
Outstanding |
|
|
% of |
|
|
Borrowing |
|
|
Maturity |
|
||||
Counterparty |
|
Balances |
|
|
Total |
|
|
Rate |
|
|
in Days |
|
||||
ABN AMRO Bank N.V. |
|
$ |
292,120 |
|
|
|
6.6 |
% |
|
|
5.45 |
% |
|
|
40 |
|
DV Securities, LLC Repo |
|
|
276,688 |
|
|
|
6.4 |
% |
|
|
5.45 |
% |
|
|
28 |
|
|
|
|
264,103 |
|
|
|
6.1 |
% |
|
|
5.47 |
% |
|
|
33 |
|
|
|
|
248,837 |
|
|
|
5.7 |
% |
|
|
5.46 |
% |
|
|
8 |
|
|
|
|
245,795 |
|
|
|
5.7 |
% |
|
|
5.46 |
% |
|
|
14 |
|
Banco Santander SA |
|
|
244,119 |
|
|
|
5.6 |
% |
|
|
5.47 |
% |
|
|
36 |
|
|
|
|
243,766 |
|
|
|
5.6 |
% |
|
|
5.45 |
% |
|
|
22 |
|
|
|
|
240,022 |
|
|
|
5.5 |
% |
|
|
5.45 |
% |
|
|
15 |
|
|
|
|
230,733 |
|
|
|
5.3 |
% |
|
|
5.47 |
% |
|
|
15 |
|
|
|
|
220,831 |
|
|
|
5.1 |
% |
|
|
5.45 |
% |
|
|
50 |
|
|
|
|
213,654 |
|
|
|
4.9 |
% |
|
|
5.44 |
% |
|
|
17 |
|
|
|
|
207,923 |
|
|
|
4.8 |
% |
|
|
5.46 |
% |
|
|
15 |
|
Bank of Montreal |
|
|
206,039 |
|
|
|
4.7 |
% |
|
|
5.47 |
% |
|
|
15 |
|
|
|
|
190,252 |
|
|
|
4.4 |
% |
|
|
5.46 |
% |
|
|
40 |
|
|
|
|
189,247 |
|
|
|
4.4 |
% |
|
|
5.47 |
% |
|
|
64 |
|
Merrill Lynch, Pierce, Fenner & Smith |
|
|
187,004 |
|
|
|
4.3 |
% |
|
|
5.48 |
% |
|
|
15 |
|
|
|
|
169,261 |
|
|
|
3.9 |
% |
|
|
5.47 |
% |
|
|
54 |
|
|
|
|
159,516 |
|
|
|
3.7 |
% |
|
|
5.46 |
% |
|
|
16 |
|
|
|
|
150,210 |
|
|
|
3.5 |
% |
|
|
5.46 |
% |
|
|
65 |
|
|
|
|
124,998 |
|
|
|
2.9 |
% |
|
|
5.47 |
% |
|
|
32 |
|
|
|
|
23,454 |
|
|
|
0.5 |
% |
|
|
5.46 |
% |
|
|
18 |
|
|
|
|
17,132 |
|
|
|
0.4 |
% |
|
|
5.47 |
% |
|
|
18 |
|
Total / Weighted Average |
|
$ |
4,345,704 |
|
|
|
100.0 |
% |
|
|
5.46 |
% |
|
|
29 |
|
Hedging
In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding against a rise in interest rates by entering into derivative financial instrument contracts. The Company has not elected hedging treatment under
The table below presents information related to the Company’s T-Note and SOFR futures contracts at
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
|
Average |
|
|
Weighted |
|
|
Weighted |
|
|
|
|
|
|||
|
|
Contract |
|
|
Average |
|
|
Average |
|
|
|
|
|
|||
|
|
Notional |
|
|
Entry |
|
|
Effective |
|
|
Open |
|
||||
Expiration Year |
|
Amount |
|
|
Rate |
|
|
Rate |
|
|
Equity(1) |
|
||||
Treasury Note Futures Contracts (Short Positions)(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
421,500 |
|
|
|
4.42 |
% |
|
|
4.52 |
% |
|
$ |
(2,025 |
) |
SOFR Futures Contracts (Short Positions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
25,000 |
|
|
|
4.27 |
% |
|
|
5.15 |
% |
|
$ |
220 |
|
|
|
|
25,000 |
|
|
|
3.90 |
% |
|
|
4.86 |
% |
|
|
239 |
|
|
|
|
25,000 |
|
|
|
3.58 |
% |
|
|
4.57 |
% |
|
|
245 |
|
|
|
|
25,000 |
|
|
|
3.37 |
% |
|
|
4.32 |
% |
|
|
237 |
|
|
|
|
25,000 |
|
|
|
3.25 |
% |
|
|
4.12 |
% |
|
|
218 |
|
|
|
|
25,000 |
|
|
|
3.21 |
% |
|
|
3.97 |
% |
|
|
191 |
|
(1) |
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. |
(2) | 5-Year T-Note futures contracts were valued at a price of |
The table below presents information related to the Company’s interest rate swap positions at
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
|
Average |
|
|
Average |
|
|||
|
|
Notional |
|
|
Pay |
|
|
Receive |
|
|
Maturity |
|
||||
|
|
Amount |
|
|
Rate |
|
|
Rate |
|
|
(Years) |
|
||||
Expiration > 1 to ≤ 5 years |
|
$ |
1,200,000 |
|
|
|
1.34 |
% |
|
|
5.45 |
% |
|
|
3.6 |
|
Expiration > 5 years |
|
|
1,936,800 |
|
|
|
3.56 |
% |
|
|
5.37 |
% |
|
|
7.5 |
|
|
|
$ |
3,136,800 |
|
|
|
2.71 |
% |
|
|
5.40 |
% |
|
|
6.0 |
|
The following table presents information related to our dual digital option position as of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Option |
|
|
Underlying Swap |
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
||
|
|
|
|
|
|
|
|
|
|
Average |
|
|
|
|
|
|
Average |
|
Average |
|
Average |
|
|||
|
|
|
|
|
|
Fair |
|
|
Months to |
|
|
Notional |
|
|
Fixed |
|
Adjustable |
|
Term |
|
|||||
Expiration |
|
Cost |
|
|
Value |
|
|
Expiration |
|
|
Amount |
|
|
Rate |
|
Rate |
|
(Years) |
|
||||||
Dual Digital Option (1) |
|
$ |
500 |
|
|
$ |
105 |
|
|
|
2.7 |
|
|
$ |
9,412 |
|
|
n/a |
|
n/a |
|
n/a |
|
(1) |
If, on September, 20, 2024, the S&P 500 Index (SPX) is lower than 4,725.166, and the SOFR 10 Year Swap Rate is above 3.883%, the Company will receive the notional amount. If either condition is not met, the Company will receive |
The following table summarizes our contracts to sell TBA securities as of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
|
|
|
|
Net |
|
||
|
Long |
|
Cost |
|
Market |
|
Carrying |
|
||||
|
(Short)(1) |
|
Basis(2) |
|
Value(3) |
|
Value(4) |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
30-Year TBA securities: |
|
|
|
|
|
|
|
|
|
|
|
|
3.0% |
$ |
(400,000 |
) |
$ |
(340,281 |
) |
$ |
(341,125 |
) |
$ |
(844 |
) |
|
$ |
(400,000 |
) |
$ |
(340,281 |
) |
$ |
(341,125 |
) |
$ |
(844 |
) |
(1) |
Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. |
(2) |
Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. |
(3) |
Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. |
(4) |
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. |
Dividends
In addition to other requirements that must be satisfied to qualify as a REIT, we must pay annual dividends to our stockholders of at least 90% of our REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gains. We intend to pay regular monthly dividends to our stockholders and have declared the following dividends since our
(in thousands, except per share data) |
|
|||||||
Year |
|
Per Share Amount |
|
|
Total |
|
||
2013 |
|
$ |
6.975 |
|
|
$ |
4,662 |
|
2014 |
|
|
10.800 |
|
|
|
22,643 |
|
2015 |
|
|
9.600 |
|
|
|
38,748 |
|
2016 |
|
|
8.400 |
|
|
|
41,388 |
|
2017 |
|
|
8.400 |
|
|
|
70,717 |
|
2018 |
|
|
5.350 |
|
|
|
55,814 |
|
2019 |
|
|
4.800 |
|
|
|
54,421 |
|
2020 |
|
|
3.950 |
|
|
|
53,570 |
|
2021 |
|
|
3.900 |
|
|
|
97,601 |
|
2022 |
|
|
2.475 |
|
|
|
87,906 |
|
2023 |
|
|
1.800 |
|
|
|
81,127 |
|
2024 - YTD(1) |
|
|
0.840 |
|
|
|
49,001 |
|
Totals |
|
$ |
67.290 |
|
|
$ |
657,598 |
|
(1) |
On |
Book Value Per Share
The Company's book value per share at
Capital Allocation and Return on
The Company allocates capital to two RMBS sub-portfolios, the pass-through RMBS portfolio, consisting of mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or
The table below details the changes to the respective sub-portfolios during the quarter.
(in thousands) |
|
|||||||||||||||||||
Portfolio Activity for the Quarter |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass- |
|
|
Interest |
|
|
Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Through |
|
|
Only |
|
|
Only |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
Market value - |
|
$ |
3,864,505 |
|
|
$ |
16,326 |
|
|
$ |
247 |
|
|
$ |
16,573 |
|
|
$ |
3,881,078 |
|
Securities purchased |
|
|
768,916 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
768,916 |
|
Securities sold |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Return of investment |
|
|
n/a |
|
|
|
(574 |
) |
|
|
- |
|
|
|
(574 |
) |
|
|
(574 |
) |
Pay-downs |
|
|
(97,695 |
) |
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(97,695 |
) |
Discount accretion due to pay-downs |
|
|
4,402 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
4,402 |
|
Mark to market (losses) gains |
|
|
(31,044 |
) |
|
|
695 |
|
|
|
(23 |
) |
|
|
672 |
|
|
|
(30,372 |
) |
Market value - |
|
$ |
4,509,084 |
|
|
$ |
16,447 |
|
|
$ |
224 |
|
|
$ |
16,671 |
|
|
$ |
4,525,755 |
|
The tables below present the allocation of capital between the respective portfolios at
($ in thousands) |
|
|||||||||||||||||||
Capital Allocation |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass- |
|
|
Interest |
|
|
Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Through |
|
|
Only |
|
|
Only |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value |
|
$ |
4,509,084 |
|
|
$ |
16,447 |
|
|
$ |
224 |
|
|
$ |
16,671 |
|
|
$ |
4,525,755 |
|
Cash |
|
|
257,011 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
257,011 |
|
Borrowings(1) |
|
|
(4,345,704 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(4,345,704 |
) |
Total |
|
$ |
420,391 |
|
|
$ |
16,447 |
|
|
$ |
224 |
|
|
$ |
16,671 |
|
|
$ |
437,062 |
|
% of Total |
|
|
96.2 |
% |
|
|
3.8 |
% |
|
|
0.1 |
% |
|
|
3.8 |
% |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value |
|
$ |
3,864,505 |
|
|
$ |
16,326 |
|
|
$ |
247 |
|
|
$ |
16,573 |
|
|
$ |
3,881,078 |
|
Cash |
|
|
203,620 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
203,620 |
|
Borrowings(2) |
|
|
(3,711,498 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(3,711,498 |
) |
Total |
|
$ |
356,627 |
|
|
$ |
16,326 |
|
|
$ |
247 |
|
|
$ |
16,573 |
|
|
$ |
373,200 |
|
% of Total |
|
|
95.6 |
% |
|
|
4.4 |
% |
|
|
0.1 |
% |
|
|
4.4 |
% |
|
|
100.0 |
% |
(1) |
At |
(2) |
At |
The return on invested capital in the PT RMBS and structured RMBS portfolios was approximately (0.5)% and 6.2%, respectively, for the second quarter of 2024. The combined portfolio generated a return on invested capital of approximately (0.2)%.
($ in thousands) |
|
|||||||||||||||||||
Returns for the Quarter Ended |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass- |
|
|
Interest |
|
|
Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Through |
|
|
Only |
|
|
Only |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
Income (net of borrowing cost) |
|
$ |
(1,056 |
) |
|
$ |
359 |
|
|
$ |
- |
|
|
$ |
359 |
|
|
$ |
(697 |
) |
Realized and unrealized (losses) gains |
|
|
(26,642 |
) |
|
|
695 |
|
|
|
(23 |
) |
|
|
672 |
|
|
|
(25,970 |
) |
Derivative gains |
|
|
26,068 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
26,068 |
|
Total Return |
|
$ |
(1,630 |
) |
|
$ |
1,054 |
|
|
$ |
(23 |
) |
|
$ |
1,031 |
|
|
$ |
(599 |
) |
Beginning Capital Allocation |
|
$ |
356,627 |
|
|
$ |
16,326 |
|
|
$ |
247 |
|
|
$ |
16,573 |
|
|
$ |
373,200 |
|
Return on |
|
|
(0.5 |
)% |
|
|
6.5 |
% |
|
|
(9.3 |
)% |
|
|
6.2 |
% |
|
|
(0.2 |
)% |
Average Capital Allocation(2) |
|
$ |
388,509 |
|
|
$ |
16,387 |
|
|
$ |
236 |
|
|
$ |
16,623 |
|
|
$ |
405,132 |
|
Return on |
|
|
(0.4 |
)% |
|
|
6.4 |
% |
|
|
(9.7 |
)% |
|
|
6.2 |
% |
|
|
(0.1 |
)% |
(1) |
Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage. |
(2) |
Calculated using two data points, the Beginning and Ending Capital Allocation balances. |
(3) |
Calculated by dividing the Total Return by the Average Capital Allocation, expressed as a percentage. |
Stock Offerings
On
On
On
Stock Repurchase Program
On
From the inception of the stock repurchase program through
Earnings Conference Call Details
An earnings conference call and live audio webcast will be hosted
About
Forward Looking Statements
Statements herein relating to matters that are not historical facts, including, but not limited to statements regarding interest rates, inflation, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, portfolio composition, positioning and repositioning, hedging levels, dividends, investment and return opportunities, the supply and demand for Agency RMBS and the performance of the Agency RMBS sector generally, the effect of actual or expected actions of the
Summarized Financial Statements
The following is a summarized presentation of the unaudited balance sheets as of
|
BALANCE SHEETS |
($ in thousands, except per share data) |
(Unaudited - Amounts Subject to Change) |
|
|
|
|
|
|
|
||
ASSETS: |
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value |
|
$ |
4,525,755 |
|
|
$ |
3,894,012 |
|
|
|
|
98,099 |
|
|
|
148,820 |
|
Cash, cash equivalents and restricted cash |
|
|
257,011 |
|
|
|
200,289 |
|
Accrued interest receivable |
|
|
18,988 |
|
|
|
14,951 |
|
Derivative assets, at fair value |
|
|
29,319 |
|
|
|
6,420 |
|
Other assets |
|
|
733 |
|
|
|
455 |
|
Total Assets |
|
$ |
4,929,905 |
|
|
$ |
4,264,947 |
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY |
|
|
|
|
|
|
|
|
Repurchase agreements |
|
$ |
4,345,704 |
|
|
$ |
3,705,649 |
|
Payable for investment securities and TBA transactions |
|
|
- |
|
|
|
60,454 |
|
Dividends payable |
|
|
7,805 |
|
|
|
6,222 |
|
Derivative liabilities, at fair value |
|
|
844 |
|
|
|
12,694 |
|
Accrued interest payable |
|
|
17,597 |
|
|
|
7,939 |
|
Due to affiliates |
|
|
1,086 |
|
|
|
1,013 |
|
Other liabilities |
|
|
937 |
|
|
|
1,031 |
|
Total Liabilities |
|
|
4,373,973 |
|
|
|
3,795,002 |
|
Total Stockholders' Equity |
|
|
555,932 |
|
|
|
469,945 |
|
Total Liabilities and Stockholders' Equity |
|
$ |
4,929,905 |
|
|
$ |
4,264,947 |
|
Common shares outstanding |
|
|
64,824,374 |
|
|
|
51,636,074 |
|
Book value per share |
|
$ |
8.58 |
|
|
$ |
9.10 |
|
|
STATEMENTS OF COMPREHENSIVE INCOME (LOSS) |
($ in thousands, except per share data) |
(Unaudited - Amounts Subject to Change) |
|
|
Six Months Ended |
|
|
Three Months Ended |
|
||||||||||
|
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Interest income |
|
$ |
101,935 |
|
|
$ |
77,923 |
|
|
$ |
53,064 |
|
|
$ |
39,911 |
|
Interest expense |
|
|
(105,122 |
) |
|
|
(90,888 |
) |
|
|
(53,761 |
) |
|
|
(48,671 |
) |
Net interest expense |
|
|
(3,187 |
) |
|
|
(12,965 |
) |
|
|
(697 |
) |
|
|
(8,760 |
) |
Gains on RMBS and derivative contracts |
|
|
26,102 |
|
|
|
36,567 |
|
|
|
98 |
|
|
|
23,828 |
|
Net portfolio income (loss) |
|
|
22,915 |
|
|
|
23,602 |
|
|
|
(599 |
) |
|
|
15,068 |
|
Expenses |
|
|
8,118 |
|
|
|
9,823 |
|
|
|
4,380 |
|
|
|
4,819 |
|
Net income (loss) |
|
$ |
14,797 |
|
|
$ |
13,779 |
|
|
$ |
(4,979 |
) |
|
$ |
10,249 |
|
Other comprehensive loss |
|
|
(10 |
) |
|
|
- |
|
|
|
37 |
|
|
|
- |
|
Comprehensive net income (loss) |
|
$ |
14,787 |
|
|
$ |
13,779 |
|
|
$ |
(4,942 |
) |
|
$ |
10,249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic and diluted net income (loss) per share |
|
$ |
0.27 |
|
|
$ |
0.35 |
|
|
$ |
(0.09 |
) |
|
$ |
0.25 |
|
Weighted Average Shares Outstanding |
|
|
54,798,596 |
|
|
|
39,356,054 |
|
|
|
57,763,857 |
|
|
|
40,210,844 |
|
Dividends Declared Per Common Share: |
|
$ |
0.720 |
|
|
$ |
0.960 |
|
|
$ |
0.360 |
|
|
$ |
0.480 |
|
|
|
Three Months Ended |
|
|||||
Key Balance Sheet Metrics |
|
2024 |
|
|
2023 |
|
||
Average RMBS(1) |
|
$ |
4,203,416 |
|
|
$ |
4,186,939 |
|
Average repurchase agreements(1) |
|
|
4,028,601 |
|
|
|
3,985,577 |
|
Average stockholders' equity(1) |
|
|
518,782 |
|
|
|
470,723 |
|
Adjusted leverage ratio - as of period end(2) |
|
7.8:1 |
|
|
8.6:1 |
|
||
Economic leverage ratio - as of period end(3) |
|
7.1:1 |
|
|
8.1:1 |
|
||
|
|
|
|
|
|
|
|
|
Key Performance Metrics |
|
|
|
|
|
|
|
|
Average yield on RMBS(4) |
|
|
5.05 |
% |
|
|
3.81 |
% |
Average cost of funds(4) |
|
|
5.34 |
% |
|
|
4.88 |
% |
Average economic cost of funds(5) |
|
|
2.41 |
% |
|
|
2.53 |
% |
Average interest rate spread(6) |
|
|
(0.29 |
)% |
|
|
(1.07 |
)% |
Average economic interest rate spread(7) |
|
|
2.64 |
% |
|
|
1.28 |
% |
(1) |
Average RMBS, borrowings and stockholders’ equity balances are calculated using two data points, the beginning and ending balances. |
(2) |
The adjusted leverage ratio is calculated by dividing ending repurchase agreement liabilities by ending stockholders’ equity. |
(3) |
The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity. |
(4) |
Portfolio yields and costs of funds are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the quarterly periods presented. |
(5) |
Represents the interest cost of our borrowings and the effect of derivative agreements attributed to the period related to hedging activities, divided by average borrowings. |
(6) |
Average interest rate spread is calculated by subtracting average cost of funds from average yield on RMBS. |
(7) |
Average economic interest rate spread is calculated by subtracting average economic cost of funds from average yield on RMBS. |
View source version on businesswire.com: https://www.businesswire.com/news/home/20240725406726/en/
Chairman and Chief Executive Officer
https://ir.orchidislandcapital.com
Source: