Orchid Island Capital Announces Second Quarter 2022 Results
Orchid Island Capital (NYSE:ORC) reported a net loss of $60.1 million, or $0.34 per share, for Q2 2022, reflecting significant challenges amid rising interest rates and inflation. The company declared a dividend of $0.135 per share, with a book value per share decreasing to $2.87. The Agency RMBS portfolio shrank to $3.9 billion from $6.5 billion, alongside a reduced net interest spread of 2.51%. Economic conditions led to unrealized losses of $82.3 million on RMBS and derivatives. Looking ahead, management anticipates potential outperformance from the Agency RMBS sector despite ongoing challenges.
- Dividend of $0.135 per share declared.
- Management anticipates potential outperformance of Agency RMBS despite challenges.
- Net loss of $60.1 million reported for Q2 2022, a significant increase from $16.9 million in Q2 2021.
- Book value per share decreased by $0.47.
- Total return for the quarter was (10.0%), impacted by dividend and book value decline.
- Agency RMBS portfolio decreased from $6.5 billion to $3.9 billion.
- Net interest spread decreased from 2.82% to 2.51%.
- Significant unrealized losses of $82.3 million on RMBS and derivatives.
Second Quarter 2022 Highlights
-
Net loss of
, or$60.1 million per common share, which consists of:$0.34 -
Net interest income of
, or$27.1 million per common share$0.15 -
Total expenses of
, or$4.9 million per common share$0.03 -
Net realized and unrealized losses of
, or$82.3 million per common share, on RMBS and derivative instruments, including net interest expense on interest rate swaps$0.46
-
Net interest income of
-
Second quarter total dividends declared and paid of
per common share$0.13 5 -
Book value per common share of
at$2.87 June 30, 2022 -
Total return of (10.0)%, comprised of
dividend per common share and$0.13 5 decrease in book value per common share, divided by beginning book value per common share$0.47 -
Company to discuss results on
Friday, August 5, 2022 , 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,
“The Fed pivot that occurred in mid-June led to meaningful widening for Agency RMBS spreads in the days that followed the release of the inflation data and were near the extremes seen in March of 2020. This was particularly true for lower coupon fixed rate Agency RMBS where Orchid’s portfolio is concentrated. The poor performance of Agency RMBS and risk assets generally led to negative returns across the markets and to book value erosion for Orchid. However, while we have recorded significant mark-to-market losses on our portfolio during the second quarter of 2022 and over the last three quarters, most of these losses are unrealized and approximately
“It appears the inflation data is sufficiently strong that the Fed sees the need for a more aggressive response, and the market expects the Fed to continue to raise the Fed Funds rate and tighten financial conditions until inflation appears to moderate sufficiently. The chances such tightening of financial conditions does not cause the economy to contract appear remote and, as stated above, we have already seen evidence this has begun to occur. This appears to be the market’s view as well, as evidenced by the inversion of the
“If, as we expect, the economy slows over the next several quarters, the lack of any credit risk in the Agency RMBS market should lead to relative outperformance for the sector given the very wide spreads available currently. Further, Orchid’s existing portfolio of discount securities retains very favorable convexity, particularly in a decreasing rate environment as the duration, or rate sensitivity, of the securities should not decline materially if rates were to decrease. We believe these two factors leave Orchid well positioned as we move into the second half of 2022 and beyond. In fact, Agency RMBS have performed very well so far in the third quarter and have reversed most of the widening that occurred in June of 2022.”
Details of Second Quarter 2022 Results of Operations
The Company reported net loss of
Book value decreased by
Prepayments
For the quarter ended
|
|
Structured |
|
|
PT RMBS |
RMBS |
Total |
Three Months Ended |
Portfolio (%) |
Portfolio (%) |
Portfolio (%) |
|
8.3 |
13.7 |
9.4 |
|
8.1 |
19.5 |
10.7 |
|
9.0 |
24.6 |
11.4 |
|
9.8 |
25.1 |
12.4 |
|
10.9 |
29.9 |
12.9 |
|
9.9 |
40.3 |
12.0 |
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 |
$ |
3,766,151 |
95.6 |
% |
3.10 |
% |
342 |
|
|
|
173,754 |
4.4 |
% |
3.41 |
% |
249 |
|
|
|
955 |
0.0 |
% |
3.02 |
% |
293 |
|
Total Mortgage Assets |
$ |
3,940,860 |
100.0 |
% |
3.16 |
% |
322 |
|
|
|
|
|
|
|
|
||
Fixed Rate RMBS |
$ |
6,298,189 |
96.7 |
% |
2.93 |
% |
342 |
|
|
|
210,382 |
3.2 |
% |
3.40 |
% |
263 |
|
|
|
2,524 |
0.1 |
% |
3.75 |
% |
300 |
|
Total Mortgage Assets |
$ |
6,511,095 |
100.0 |
% |
3.03 |
% |
325 |
|
($ in thousands) |
|
|
|
|
|
|
||||
|
|
|
||||||||
|
|
|
Percentage of |
|
|
Percentage of |
||||
Agency |
Fair Value |
|
Entire Portfolio |
Fair Value |
|
Entire Portfolio |
||||
Fannie Mae |
$ |
2,591,682 |
|
65.8 |
% |
$ |
4,719,349 |
|
72.5 |
% |
Freddie Mac |
|
1,349,178 |
|
34.2 |
% |
|
1,791,746 |
|
27.5 |
% |
Total Portfolio |
$ |
3,940,860 |
|
100.0 |
% |
$ |
6,511,095 |
|
100.0 |
% |
|
|
|
|
|
|
|
$ |
107.77 |
$ |
107.19 |
|
Weighted Average Structured Purchase Price |
$ |
15.35 |
$ |
15.21 |
|
|
$ |
94.61 |
$ |
105.31 |
|
Weighted Average Structured Current Price |
$ |
16.21 |
$ |
14.08 |
|
Effective Duration (1) |
|
5.900 |
|
3.390 |
(1) |
Effective duration of 5.900 indicates that an interest rate increase of |
Financing, Leverage and Liquidity
As of
($ in thousands) |
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
Weighted |
|
|
Weighted |
||
|
|
Total |
|
|
|
Average |
|
|
Average |
||
|
|
Outstanding |
|
% of |
|
Borrowing |
|
Amount |
Maturity |
||
Counterparty |
|
Balances |
|
Total |
|
Rate |
|
at Risk(1) |
in Days |
||
|
$ |
355,463 |
|
9.4 |
% |
|
1.44 |
% |
$ |
23,431 |
40 |
ABN AMRO Bank N.V. |
|
332,722 |
|
8.9 |
% |
|
0.97 |
% |
|
12,527 |
12 |
|
|
330,133 |
|
8.8 |
% |
|
1.69 |
% |
|
35,065 |
34 |
|
|
320,104 |
|
8.5 |
% |
|
1.15 |
% |
|
15,687 |
16 |
|
|
291,534 |
|
7.8 |
% |
|
1.16 |
% |
|
14,802 |
65 |
|
|
246,670 |
|
6.6 |
% |
|
1.50 |
% |
|
15,636 |
28 |
|
|
228,511 |
|
6.1 |
% |
|
1.23 |
% |
|
9,416 |
26 |
|
|
196,520 |
|
5.2 |
% |
|
1.64 |
% |
|
10,070 |
28 |
|
|
179,465 |
|
4.8 |
% |
|
1.57 |
% |
|
11,301 |
18 |
|
|
173,115 |
|
4.6 |
% |
|
1.34 |
% |
|
10,128 |
27 |
|
|
158,182 |
|
4.2 |
% |
|
1.62 |
% |
|
10,858 |
25 |
|
|
150,941 |
|
4.0 |
% |
|
1.02 |
% |
|
7,416 |
20 |
|
|
144,585 |
|
3.8 |
% |
|
1.58 |
% |
|
7,031 |
18 |
|
|
123,434 |
|
3.3 |
% |
|
1.10 |
% |
|
7,373 |
14 |
|
|
115,434 |
|
3.1 |
% |
|
1.37 |
% |
|
7,055 |
21 |
|
|
115,236 |
|
3.1 |
% |
|
1.20 |
% |
|
8,471 |
18 |
|
|
86,155 |
|
2.3 |
% |
|
1.61 |
% |
|
5,958 |
22 |
|
|
83,356 |
|
2.2 |
% |
|
1.62 |
% |
|
5,124 |
6 |
|
|
60,322 |
|
1.6 |
% |
|
1.17 |
% |
|
3,595 |
18 |
|
|
24,157 |
|
0.6 |
% |
|
1.27 |
% |
|
1,420 |
14 |
|
|
23,337 |
|
0.6 |
% |
|
1.62 |
% |
|
1,454 |
28 |
|
|
19,604 |
|
0.5 |
% |
|
1.52 |
% |
|
3,790 |
14 |
Total / Weighted Average |
$ |
3,758,980 |
|
100.0 |
% |
|
1.36 |
% |
$ |
227,608 |
27 |
(1) | Equal to the sum of the fair value of securities sold, accrued interest receivable and cash posted as collateral (if any), minus the sum of repurchase agreement liabilities, accrued interest payable and the fair value of securities posted by the counterparties (if any). |
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 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) |
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
||
( |
$ |
1,200,500 |
|
3.13 |
% |
|
3.32 |
% |
|
|
4,138 |
|
|
|
|
|
|
|
|
|
|
||
( |
$ |
274,500 |
|
2.64 |
% |
|
2.84 |
% |
|
$ |
2,442 |
(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 |
|
|
|
|
Net |
|
|
||
|
|
|
|
Fixed |
|
Average |
|
|
Estimated |
|
Average |
||
|
|
Notional |
|
Pay |
|
Receive |
|
|
Fair |
|
Maturity |
||
Expiration |
|
Amount |
|
Rate |
|
Rate |
|
|
Value |
|
(Years) |
||
> 3 to ≤ 5 years |
$ |
500,000 |
|
0.84 |
% |
|
1.95 |
% |
|
|
43,221 |
|
4.2 |
> 5 years |
|
900,000 |
|
1.70 |
% |
|
1.32 |
% |
|
|
60,917 |
|
7.1 |
|
$ |
1,400,000 |
|
1.39 |
% |
|
1.54 |
% |
|
$ |
104,138 |
|
6.1 |
The following table presents information related to our interest rate swaption positions as of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Option |
|
Underlying Swap |
||||||||||||||||
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
Average |
|
Weighted |
||||
|
|
|
|
|
|
Average |
|
|
|
|
Average |
|
Adjustable |
|
Average |
||||
|
|
|
|
Fair |
|
Months to |
|
|
Notional |
|
Fixed |
|
Rate |
|
Term |
||||
Expiration |
|
Cost |
|
Value |
|
Expiration |
|
|
Amount |
|
Rate |
|
(LIBOR) |
|
(Years) |
||||
Payer Swaptions - long |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
≤ 1 year |
$ |
31,905 |
|
$ |
65,684 |
|
|
8.3 |
|
$ |
1,282,400 |
|
|
2.44 |
% |
|
3 Month |
|
11.3 |
>1 year ≤ 2 years |
|
24,050 |
|
|
23,168 |
|
|
15.8 |
|
|
728,400 |
|
|
3.00 |
% |
|
3 Month |
|
10.0 |
|
$ |
55,955 |
|
$ |
88,852 |
|
|
11.0 |
|
$ |
2,010,800 |
|
|
2.65 |
% |
|
3 Month |
|
10.8 |
Payer Swaptions - short |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
≤ 1 year |
$ |
(22,250 |
) |
$ |
(43,296 |
) |
|
2.8 |
|
$ |
(1,433,000 |
) |
|
2.65 |
% |
|
3 Month |
|
10.8 |
The following table presents information related to our interest cap positions as of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net |
|
|
|
|
|
|
|
|
Strike |
|
|
|
|
Estimated |
|
|
|
Notional |
|
|
|
|
Swap |
|
Curve |
|
|
Fair |
|
Expiration |
|
Amount |
|
|
Cost |
|
Rate |
|
Spread |
|
|
Value |
|
|
$ |
200,000 |
|
$ |
2,350 |
|
0.09 |
% |
|
10Y2Y |
|
$ |
3,837 |
The following table summarizes our contracts to purchase and sell TBA securities as of
($ in thousands) |
|
|
|
|
|
|
|
|
||||
|
|
Notional |
|
|
|
|
|
Net |
||||
|
|
Amount |
|
Cost |
|
Market |
|
Carrying |
||||
|
|
Long (Short)(1) |
|
Basis(2) |
|
Value(3) |
|
Value(4) |
||||
|
|
|
|
|
|
|
|
|
||||
30-Year TBA securities: |
|
|
|
|
|
|
|
|
||||
|
$ |
(175,000 |
) |
$ |
(153,907 |
) |
$ |
(152,250 |
) |
$ |
1,657 |
|
15-Year TBA securities: |
|
|
|
|
|
|
|
|
||||
|
|
175,000 |
|
|
174,434 |
|
|
174,139 |
|
|
(295 |
) |
|
$ |
- |
|
$ |
20,527 |
|
$ |
21,889 |
|
$ |
1,362 |
|
(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
(in thousands, except per share data) |
|||||||
Year |
|
|
|
Per Share Amount |
|
Total |
|
2013 |
|
|
$ |
1.395 |
$ |
4,662 |
|
2014 |
|
|
|
2.160 |
|
22,643 |
|
2015 |
|
|
|
1.920 |
|
38,748 |
|
2016 |
|
|
|
1.680 |
|
41,388 |
|
2017 |
|
|
|
1.680 |
|
70,717 |
|
2018 |
|
|
|
1.070 |
|
55,814 |
|
2019 |
|
|
|
0.960 |
|
54,421 |
|
2020 |
|
|
|
0.790 |
|
53,570 |
|
2021 |
|
|
|
0.780 |
|
97,601 |
|
2022 - YTD(1) |
|
|
|
0.335 |
|
59,383 |
|
Totals |
|
|
$ |
12.770 |
$ |
498,947 |
(1) |
On |
Book Value Per Share
The Company's book value per share at
Capital Allocation and Return on
The table below details the changes to the respective sub-portfolios during the quarter.
(in thousands) |
|||||||||||||||
Portfolio Activity for the Quarter |
|||||||||||||||
|
|
Structured Security Portfolio |
|
||||||||||||
|
Pass-Through |
Interest-Only |
Inverse Interest |
|
|
||||||||||
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
||||||||||
Market value - |
$ |
4,372,517 |
|
$ |
206,617 |
|
$ |
1,460 |
|
$ |
208,077 |
|
$ |
4,580,594 |
|
Securities purchased |
|
190,638 |
|
|
- |
|
|
- |
|
|
- |
|
|
190,638 |
|
Securities sold |
|
(486,927 |
) |
|
(34,638 |
) |
|
- |
|
|
(34,638 |
) |
|
(521,565 |
) |
(Losses) Gains on sales |
|
(17,440 |
) |
|
1,997 |
|
|
- |
|
|
1,997 |
|
|
(15,443 |
) |
Return of investment |
|
n/a |
|
|
(6,304 |
) |
|
(42 |
) |
|
(6,346 |
) |
|
(6,346 |
) |
Pay-downs |
|
(116,595 |
) |
|
n/a |
|
|
- |
|
|
n/a |
|
|
(116,595 |
) |
Discount accretion due to pay-downs |
|
726 |
|
|
n/a |
|
|
- |
|
|
n/a |
|
|
726 |
|
Mark to market (losses) gains |
|
(176,768 |
) |
|
6,082 |
|
|
(463 |
) |
|
5,619 |
|
|
(171,149 |
) |
Market value - |
$ |
3,766,151 |
|
$ |
173,754 |
|
$ |
955 |
|
$ |
174,709 |
|
$ |
3,940,860 |
|
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 tables below present the allocation of capital between the respective portfolios at
($ in thousands) |
|||||||||||||||
Capital Allocation |
|||||||||||||||
|
|
Structured Security Portfolio |
|
||||||||||||
|
Pass-Through |
Interest-Only |
Inverse Interest |
|
|
||||||||||
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||
Market value |
$ |
3,766,151 |
|
$ |
173,754 |
|
$ |
955 |
|
$ |
174,709 |
|
$ |
3,940,860 |
|
Cash |
|
283,371 |
|
|
- |
|
|
- |
|
|
- |
|
|
283,371 |
|
Borrowings(1) |
|
(3,758,980 |
) |
|
- |
|
|
- |
|
|
- |
|
|
(3,758,980 |
) |
Total |
$ |
290,542 |
|
$ |
173,754 |
|
$ |
955 |
|
$ |
174,709 |
|
$ |
465,251 |
|
% of Total |
|
62.4 |
% |
|
37.3 |
% |
|
0.2 |
% |
|
37.6 |
% |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|||||
Market value |
$ |
4,372,517 |
|
$ |
206,617 |
|
$ |
1,460 |
|
$ |
208,077 |
|
$ |
4,580,594 |
|
Cash |
|
427,445 |
|
|
- |
|
|
- |
|
|
- |
|
|
427,445 |
|
Borrowings(2) |
|
(4,464,109 |
) |
|
- |
|
|
- |
|
|
- |
|
|
(4,464,109 |
) |
Total |
$ |
335,853 |
|
$ |
206,617 |
|
$ |
1,460 |
|
$ |
208,077 |
|
$ |
543,930 |
|
% of Total |
|
61.7 |
% |
|
38.0 |
% |
|
0.3 |
% |
|
38.3 |
% |
|
100.0 |
% |
(1) |
At |
(2) |
At |
The return on invested capital in the PT RMBS and structured RMBS portfolios was approximately (19.7)% and
($ in thousands) |
|||||||||||||||
Returns for the Quarter Ended |
|||||||||||||||
|
|
Structured Security Portfolio |
|
||||||||||||
|
Pass-Through |
Interest-Only |
Inverse Interest |
|
|
||||||||||
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
||||||||||
Income (net of borrowing cost) |
$ |
23,714 |
|
$ |
3,107 |
|
$ |
267 |
|
$ |
3,374 |
|
$ |
27,088 |
|
Realized and unrealized (losses) / gains |
|
(193,657 |
) |
|
8,079 |
|
|
(463 |
) |
|
7,616 |
|
|
(186,041 |
) |
Derivative gains |
|
103,758 |
|
|
n/a |
|
|
n/a |
|
|
n/a |
|
|
103,758 |
|
Total Return |
$ |
(66,185 |
) |
$ |
11,186 |
|
$ |
(196 |
) |
$ |
10,990 |
|
$ |
(55,195 |
) |
Beginning Capital Allocation |
$ |
335,853 |
|
$ |
206,617 |
|
$ |
1,460 |
|
$ |
208,077 |
|
$ |
543,930 |
|
Return on |
|
(19.7 |
)% |
|
5.4 |
% |
|
(13.4 |
)% |
|
5.3 |
% |
|
(10.1 |
)% |
Average Capital Allocation(2) |
$ |
313,198 |
|
$ |
190,186 |
|
$ |
1,208 |
|
$ |
191,394 |
|
$ |
504,592 |
|
Return on |
|
(21.1 |
)% |
|
5.9 |
% |
|
(16.2 |
)% |
|
5.7 |
% |
|
(10.9 |
)% |
(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
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, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, portfolio positioning and repositioning, hedging levels, dividends, growth, the supply and demand for Agency RMBS, 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 |
$ |
3,940,860 |
$ |
6,511,095 |
|
|
|
36,302 |
|
37,175 |
|
Cash, cash equivalents and restricted cash |
|
283,371 |
|
450,442 |
|
Accrued interest receivable |
|
13,932 |
|
18,859 |
|
Derivative assets, at fair value |
|
198,484 |
|
50,786 |
|
Other assets |
|
1,420 |
|
320 |
|
Total Assets |
$ |
4,474,369 |
$ |
7,068,677 |
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY |
|
|
|
|
|
Repurchase agreements |
$ |
3,758,980 |
$ |
6,244,106 |
|
Dividends payable |
|
7,960 |
|
11,530 |
|
Derivative liabilities, at fair value |
|
43,591 |
|
7,589 |
|
Accrued interest payable |
|
3,940 |
|
788 |
|
Due to affiliates |
|
1,138 |
|
1,062 |
|
Other liabilities |
|
152,398 |
|
35,505 |
|
Total Liabilities |
|
3,968,007 |
|
6,300,580 |
|
Total Stockholders' Equity |
|
506,362 |
|
768,097 |
|
Total Liabilities and Stockholders' Equity |
$ |
4,474,369 |
$ |
7,068,677 |
|
Common shares outstanding |
|
176,251,193 |
|
176,993,049 |
|
Book value per share |
$ |
2.87 |
$ |
4.34 |
|
||||||||||||
STATEMENTS OF OPERATIONS |
||||||||||||
($ in thousands, except per share data) |
||||||||||||
(Unaudited - Amounts Subject to Change) |
||||||||||||
|
|
|
|
|
|
|
|
|
||||
|
Six Months Ended |
Three Months Ended |
||||||||||
|
|
2022 |
|
|
2021 |
|
|
2022 |
|
|
2021 |
|
Interest income |
$ |
77,125 |
|
$ |
56,110 |
|
$ |
35,268 |
|
$ |
29,254 |
|
Interest expense |
|
(10,835 |
) |
|
(3,497 |
) |
|
(8,180 |
) |
|
(1,556 |
) |
Net interest income |
|
66,290 |
|
|
52,613 |
|
|
27,088 |
|
|
27,698 |
|
Losses on RMBS and derivative contracts |
|
(265,515 |
) |
|
(91,635 |
) |
|
(82,283 |
) |
|
(40,844 |
) |
Net portfolio loss |
|
(199,225 |
) |
|
(39,022 |
) |
|
(55,195 |
) |
|
(13,146 |
) |
Expenses |
|
9,641 |
|
|
7,212 |
|
|
4,944 |
|
|
3,719 |
|
Net loss |
$ |
(208,866 |
) |
$ |
(46,234 |
) |
$ |
(60,139 |
) |
$ |
(16,865 |
) |
Basic net loss per share |
$ |
(1.18 |
) |
$ |
(0.50 |
) |
$ |
(0.34 |
) |
$ |
(0.17 |
) |
Diluted net loss per share |
$ |
(1.18 |
) |
$ |
(0.50 |
) |
$ |
(0.34 |
) |
$ |
(0.17 |
) |
Weighted Average Shares Outstanding |
|
177,015,963 |
|
|
92,456,082 |
|
|
177,034,159 |
|
|
99,489,065 |
|
Dividends Declared Per Common Share: |
$ |
0.290 |
|
$ |
0.390 |
|
$ |
0.135 |
|
$ |
0.195 |
|
|
|
Three Months Ended |
|||||
Key Balance Sheet Metrics |
|
2022 |
2021 |
||||
Average RMBS(1) |
|
$ |
4,260,727 |
|
$ |
4,504,887 |
|
Average repurchase agreements(1) |
|
|
4,111,544 |
|
|
4,348,192 |
|
Average stockholders' equity(1) |
|
|
549,390 |
|
|
509,999 |
|
Leverage ratio(2) |
|
|
7.8:1 |
|
|
8.2:1 |
|
|
|
|
|
|
|
||
Key Performance Metrics |
|
|
|
|
|
||
Average yield on RMBS(3) |
|
|
3.31 |
% |
|
2.60 |
% |
Average cost of funds(3) |
|
|
0.80 |
% |
|
0.14 |
% |
Average economic cost of funds(4) |
|
|
0.60 |
% |
|
0.61 |
% |
Average interest rate spread(5) |
|
|
2.51 |
% |
|
2.46 |
% |
Average economic interest rate spread(6) |
|
|
2.71 |
% |
|
1.99 |
% |
(1) |
Average RMBS, borrowings and stockholders’ equity balances are calculated using two data points, the beginning and ending balances. |
(2) |
The leverage ratio is calculated by dividing total ending liabilities by ending stockholders’ equity. |
(3) |
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. |
(4) |
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. |
(5) |
Average interest rate spread is calculated by subtracting average cost of funds from average yield on RMBS. |
(6) |
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/20220804005839/en/
Chairman and Chief Executive Officer
https://ir.orchidislandcapital.com
Source:
FAQ
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