Orchid Island Capital Announces Second Quarter 2024 Results
Orchid Island Capital (NYSE:ORC) reported Q2 2024 results with a net loss of $5.0 million, or $0.09 per share. Key highlights include:
- Net interest expense of $0.7 million
- Total expenses of $4.4 million
- Dividends of $0.36 per share declared and paid
- Book value per share decreased to $8.58
- Total return of -1.97%
- Strong liquidity position of $265.3 million
- Portfolio size increased by 16.6% in Q2
The company raised approximately $100.7 million in equity capital during Q2, deploying proceeds into Agency RMBS at attractive spreads. Management sees potential for improved returns if the Federal Reserve begins easing monetary policy. Prepayment speeds remained low at 7.6% CPR for the quarter.
Orchid Island Capital (NYSE:ORC) ha riportato i risultati del secondo trimestre 2024 con una perdita netta di 5,0 milioni di dollari, pari a 0,09 dollari per azione. I punti salienti includono:
- Spese di interessi nette di 0,7 milioni di dollari
- Spese totali di 4,4 milioni di dollari
- Dividendi di 0,36 dollari per azione dichiarati e pagati
- Valore contabile per azione diminuito a 8,58 dollari
- Rendimento totale di -1,97%
- Posizione di liquidità solida di 265,3 milioni di dollari
- Dimensione del portafoglio aumentata del 16,6% nel secondo trimestre
L'azienda ha raccolto circa 100,7 milioni di dollari in capitale azionario durante il secondo trimestre, destinando i proventi in Agency RMBS a spread interessanti. La gestione vede potenziale per ritorni migliorati se la Federal Reserve inizia ad allentare la politica monetaria. Le velocità di rimborso sono rimaste basse al 7,6% CPR per il trimestre.
Orchid Island Capital (NYSE:ORC) reportó los resultados del segundo trimestre de 2024 con una pérdida neta de 5,0 millones de dólares, o 0,09 dólares por acción. Los puntos destacados incluyen:
- Gastos por intereses netos de 0,7 millones de dólares
- Gastos totales de 4,4 millones de dólares
- Dividendos de 0,36 dólares por acción declarados y pagados
- Valor contable por acción disminuido a 8,58 dólares
- Rendimiento total de -1,97%
- Posición de liquidez sólida de 265,3 millones de dólares
- Tamaño de la cartera aumentada en un 16,6% en el segundo trimestre
La compañía recaudó aproximadamente 100,7 millones de dólares en capital accionario durante el segundo trimestre, destinando los ingresos a Agency RMBS con márgenes atractivos. La dirección ve potencial para mejorar los rendimientos si la Reserva Federal comienza a reducir la política monetaria. Las tasas de prepago permanecieron bajas en un 7,6% CPR para el trimestre.
오키드 아일랜드 캐피탈 (NYSE:ORC)은 2024년 2분기 결과를 보고하며 500만 달러의 순손실, 즉 주당 0.09달러를 기록했다고 발표했습니다. 주요 하이라이트는 다음과 같습니다:
- 순이자 비용 70만 달러
- 총 비용 440만 달러
- 주당 0.36달러의 배당금이 선언되고 지급됨
- 주당 숙소가 8.58달러로 감소
- 총 수익률 -1.97%
- 2억 6,530만 달러의 강력한 유동성 위치
- 2분기 포트폴리오 규모가 16.6% 증가
회사는 2분기 동안 약 1억 7만 달러의 주식 자본을 조달하여, 매력적인 스프레드에서 에이전시 RMBS에 배치하였습니다. 경영진은 연방준비제도(Federal Reserve)가 통화정책을 완화하기 시작할 경우 개선된 수익률의 가능성을 보고 있습니다. 2분기 동안 조기 상환 속도는 7.6% CPR로 낮은 수준을 유지했습니다.
Orchid Island Capital (NYSE:ORC) a rapporté des résultats pour le deuxième trimestre 2024 avec une perte nette de 5,0 millions de dollars, soit 0,09 dollar par action. Les faits saillants comprennent :
- Charge d'intérêt nette de 0,7 million de dollars
- Dépenses totales de 4,4 millions de dollars
- Dividendes de 0,36 dollar par action déclarés et payés
- Valeur comptable par action diminuée à 8,58 dollars
- Rendement total de -1,97%
- Position de liquidité solide de 265,3 millions de dollars
- Taille du portefeuille augmentée de 16,6% au T2
L'entreprise a levé environ 100,7 millions de dollars en capital-actions au cours du T2, utilisant le produit dans des Agency RMBS à des spreads attractifs. La direction voit un potentiel d'amélioration des rendements si la Réserve fédérale commence à assouplir sa politique monétaire. Les vitesses de prépaiement sont restées faibles à 7,6% CPR pour le trimestre.
Orchid Island Capital (NYSE:ORC) berichtete für das zweite Quartal 2024 über einen Nettoverlust von 5,0 Millionen Dollar, oder 0,09 Dollar pro Aktie. Die wichtigsten Punkte sind:
- Nettokosten für Zinsen von 0,7 Millionen Dollar
- Gesamtausgaben von 4,4 Millionen Dollar
- Erklärte und gezahlte Dividenden von 0,36 Dollar pro Aktie
- Buchwert pro Aktie sank auf 8,58 Dollar
- Gesamtrendite von -1,97%
- Starke Liquiditätsposition von 265,3 Millionen Dollar
- Portfoliogröße im 2. Quartal um 16,6% gestiegen
Das Unternehmen hat im zweiten Quartal rund 100,7 Millionen Dollar an Eigenkapital aufgenommen und die Erlöse in Agency RMBS mit attraktiven Spreads investiert. Das Management sieht Potenzial für verbesserte Renditen, wenn die Federal Reserve beginnt, die Geldpolitik zu lockern. Die Vorfinanzierungsgeschwindigkeiten blieben im Quartal mit 7,6% CPR niedrig.
- Raised $100.7 million in equity capital during Q2
- Increased portfolio size by 16.6% in Q2
- Strong liquidity position of $265.3 million
- Low prepayment speeds at 7.6% CPR
- Net loss of $5.0 million ($0.09 per share) in Q2
- Book value per share decreased by $0.54 to $8.58
- Negative total return of -1.97% for the quarter
Orchid Island Capital's Q2 2024 results reveal some concerning trends:
- The company reported a net loss of $5.0 million ($0.09 per share), compared to net income of $10.2 million in Q2 2023. This significant swing to a loss is troubling.
- Book value per share decreased by $0.54 to $8.58, driven by the net loss and dividend distribution.
- Total return was -1.97% for the quarter, indicating negative performance.
- The company's adjusted leverage ratio remains high at 7.8 to 1.
On a more positive note:
- Interest income increased by $4.2 million from Q1 2024.
- The yield on Agency RMBS improved slightly to 5.05% from 5.03% in Q1.
- Borrowing costs decreased to 5.34% from 5.54% in Q1.
- The company raised approximately $100.7 million in equity capital during Q2, allowing it to increase its portfolio size by 16.6%.
Overall, while there are some positive developments in terms of yield and portfolio growth, the swing to a net loss and decline in book value are significant concerns. The company's high leverage also adds risk in a potentially volatile interest rate environment.
Second Quarter 2024 Results
-
Net loss of
$5.0 million $0.09 -
Net interest expense of
$0.7 million $0.01 -
Total expenses of
$4.4 million $0.08 -
Net realized and unrealized gains of
$0.1 million -
Second quarter dividends declared and paid of
$0.36 -
Book value per common share of
$8.58 -
Total return of (1.97)%, comprised of
$0.36 $0.54
Other Financial Highlights
-
Orchid maintained a strong liquidity position of
$265.3 million 48% of stockholders' equity as of June 30, 2024 -
Borrowing capacity in excess of June 30, 2024 outstanding repurchase agreement balances of
$4,345.7 million - Company to discuss results on Friday, July 26, 2024, at 10:00 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, Robert E. Cauley, Chairman and Chief Executive Officer, said, “The long-awaited pivot on the part of Federal Reserve may finally be at hand. Persistently strong growth of the
“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 Federal Reserve were to begin easing monetary policy, especially so if the banking community became active in the Agency RMBS space again. Absent such a development, total returns available today are still quite attractive and hedged net-interest spreads are ample in relation to the current dividend level.”
Details of Second Quarter 2024 Results of Operations
The Company reported net loss of
Prepayments
For the quarter ended June 30, 2024, Orchid received
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Structured |
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PT RMBS |
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RMBS |
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Total |
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Three Months Ended |
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Portfolio (%) |
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Portfolio (%) |
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Portfolio (%) |
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June 30, 2024 |
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7.6 |
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7.1 |
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7.6 |
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March 31, 2024 |
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6.0 |
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5.9 |
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6.0 |
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December 31, 2023 |
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5.4 |
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7.9 |
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5.5 |
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September 30, 2023 |
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6.1 |
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5.7 |
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6.0 |
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June 30, 2023 |
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5.6 |
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7.0 |
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5.6 |
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March 31, 2023 |
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3.9 |
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5.7 |
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4.0 |
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Portfolio
The following tables summarize certain characteristics of Orchid’s PT RMBS (as defined below) and structured RMBS as of June 30, 2024 and December 31, 2023:
($ in thousands) |
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Weighted |
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Percentage |
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Average |
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of |
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Weighted |
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Maturity |
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Fair |
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Entire |
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Average |
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in |
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Longest |
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Asset Category |
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Value |
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Portfolio |
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Coupon |
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Months |
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Maturity |
||||
June 30, 2024 |
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Fixed Rate RMBS |
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$ |
4,509,084 |
|
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99.6 |
% |
|
|
4.72 |
% |
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|
331 |
|
1-Jun-54 |
Interest-Only Securities |
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16,447 |
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0.4 |
% |
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4.01 |
% |
|
|
217 |
|
25-Jul-48 |
Inverse Interest-Only Securities |
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224 |
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0.0 |
% |
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0.00 |
% |
|
|
267 |
|
15-Jun-42 |
Total Mortgage Assets |
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$ |
4,525,755 |
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100.0 |
% |
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4.68 |
% |
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329 |
|
1-Jun-54 |
December 31, 2023 |
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Fixed Rate RMBS |
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$ |
3,877,082 |
|
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99.6 |
% |
|
|
4.33 |
% |
|
|
334 |
|
1-Nov-53 |
Interest-Only Securities |
|
|
16,572 |
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0.4 |
% |
|
|
4.01 |
% |
|
|
223 |
|
25-Jul-48 |
Inverse Interest-Only Securities |
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358 |
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0.0 |
% |
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|
0.00 |
% |
|
|
274 |
|
15-Jun-42 |
Total Mortgage Assets |
|
$ |
3,894,012 |
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|
100.0 |
% |
|
|
4.30 |
% |
|
|
331 |
|
1-Nov-53 |
($ in thousands) |
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June 30, 2024 |
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December 31, 2023 |
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Percentage of |
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Percentage of |
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Agency |
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Fair Value |
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Entire Portfolio |
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Fair Value |
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Entire Portfolio |
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Fannie Mae |
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$ |
2,906,690 |
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64.2 |
% |
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$ |
2,714,192 |
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69.7 |
% |
Freddie Mac |
|
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1,619,065 |
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35.8 |
% |
|
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1,179,820 |
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30.3 |
% |
Total Portfolio |
|
$ |
4,525,755 |
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|
100.0 |
% |
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$ |
3,894,012 |
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100.0 |
% |
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June 30, 2024 |
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December 31, 2023 |
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Weighted Average Pass-through Purchase Price |
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$ |
102.75 |
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$ |
104.10 |
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Weighted Average Structured Purchase Price |
|
$ |
18.74 |
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$ |
18.74 |
|
Weighted Average Pass-through Current Price |
|
$ |
94.86 |
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$ |
95.70 |
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Weighted Average Structured Current Price |
|
$ |
14.24 |
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$ |
13.51 |
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Effective Duration (1) |
|
|
4.290 |
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|
4.400 |
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(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 |
Financing, Leverage and Liquidity
As of June 30, 2024, the Company had outstanding repurchase obligations of approximately
($ in thousands) |
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Weighted |
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Weighted |
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Total |
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Average |
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Average |
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Outstanding |
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% of |
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Borrowing |
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Maturity |
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Counterparty |
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Balances |
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Total |
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Rate |
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in Days |
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||||
ABN AMRO Bank N.V. |
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$ |
292,120 |
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6.6 |
% |
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5.45 |
% |
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40 |
|
DV Securities, LLC Repo |
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276,688 |
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6.4 |
% |
|
|
5.45 |
% |
|
|
28 |
|
Mitsubishi UFJ Securities ( |
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264,103 |
|
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6.1 |
% |
|
|
5.47 |
% |
|
|
33 |
|
JPMorgan Securities LLC |
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248,837 |
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5.7 |
% |
|
|
5.46 |
% |
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8 |
|
Wells Fargo Bank, N.A. |
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245,795 |
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5.7 |
% |
|
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5.46 |
% |
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14 |
|
Banco Santander SA |
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|
244,119 |
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5.6 |
% |
|
|
5.47 |
% |
|
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36 |
|
Citigroup Global Markets Inc. |
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243,766 |
|
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5.6 |
% |
|
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5.45 |
% |
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22 |
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Cantor Fitzgerald & Co |
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240,022 |
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|
|
5.5 |
% |
|
|
5.45 |
% |
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|
15 |
|
RBC Capital Markets, LLC |
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|
230,733 |
|
|
|
5.3 |
% |
|
|
5.47 |
% |
|
|
15 |
|
Marex Capital Markets Inc. |
|
|
220,831 |
|
|
|
5.1 |
% |
|
|
5.45 |
% |
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|
50 |
|
ASL Capital Markets Inc. |
|
|
213,654 |
|
|
|
4.9 |
% |
|
|
5.44 |
% |
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17 |
|
Goldman, Sachs & Co. |
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|
207,923 |
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4.8 |
% |
|
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5.46 |
% |
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15 |
|
Bank of Montreal |
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206,039 |
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4.7 |
% |
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5.47 |
% |
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15 |
|
Clear Street LLC |
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190,252 |
|
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4.4 |
% |
|
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5.46 |
% |
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|
40 |
|
Mirae Asset Securities ( |
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189,247 |
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4.4 |
% |
|
|
5.47 |
% |
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|
64 |
|
Merrill Lynch, Pierce, Fenner & Smith |
|
|
187,004 |
|
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|
4.3 |
% |
|
|
5.48 |
% |
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|
15 |
|
Daiwa Securities America Inc. |
|
|
169,261 |
|
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|
3.9 |
% |
|
|
5.47 |
% |
|
|
54 |
|
StoneX Financial Inc. |
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|
159,516 |
|
|
|
3.7 |
% |
|
|
5.46 |
% |
|
|
16 |
|
South Street Securities, LLC |
|
|
150,210 |
|
|
|
3.5 |
% |
|
|
5.46 |
% |
|
|
65 |
|
ING Financial Markets LLC |
|
|
124,998 |
|
|
|
2.9 |
% |
|
|
5.47 |
% |
|
|
32 |
|
Lucid Prime Fund, LLC |
|
|
23,454 |
|
|
|
0.5 |
% |
|
|
5.46 |
% |
|
|
18 |
|
Lucid Cash Fund USG LLC |
|
|
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 June 30, 2024.
($ in thousands) |
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June 30, 2024 |
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Average |
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Weighted |
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Weighted |
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Contract |
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Average |
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Average |
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Notional |
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Entry |
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Effective |
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Open |
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Expiration Year |
|
Amount |
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|
Rate |
|
|
Rate |
|
|
Equity(1) |
|
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Treasury Note Futures Contracts (Short Positions)(2) |
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September 2024 5-year T-Note futures (Sep 2024 - Sep 2029 Hedge Period) |
|
$ |
421,500 |
|
|
|
4.42 |
% |
|
|
4.52 |
% |
|
$ |
(2,025 |
) |
SOFR Futures Contracts (Short Positions) |
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December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period) |
|
$ |
25,000 |
|
|
|
4.27 |
% |
|
|
5.15 |
% |
|
$ |
220 |
|
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period) |
|
|
25,000 |
|
|
|
3.90 |
% |
|
|
4.86 |
% |
|
|
239 |
|
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period) |
|
|
25,000 |
|
|
|
3.58 |
% |
|
|
4.57 |
% |
|
|
245 |
|
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period) |
|
|
25,000 |
|
|
|
3.37 |
% |
|
|
4.32 |
% |
|
|
237 |
|
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period) |
|
|
25,000 |
|
|
|
3.25 |
% |
|
|
4.12 |
% |
|
|
218 |
|
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period) |
|
|
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 June 30, 2024.
($ 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 June 30, 2024.
($ 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 |
The following table summarizes our contracts to sell TBA securities as of June 30, 2024.
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
|
|
|
|
Net |
|
||
|
Long |
|
Cost |
|
Market |
|
Carrying |
|
||||
|
(Short)(1) |
|
Basis(2) |
|
Value(3) |
|
Value(4) |
|
||||
June 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
30-Year TBA securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(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
(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 July 10, 2024, the Company declared a dividend of |
Book Value Per Share
The Company's book value per share at June 30, 2024 was
Capital Allocation and Return on Invested Capital
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 Ginnie Mae (the “GSEs”) and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT RMBS”), and the structured RMBS portfolio, consisting of interest-only (“IO”) and inverse interest-only (“IIO”) securities. As of June 30, 2024, approximately
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 - March 31, 2024 |
|
$ |
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 - June 30, 2024 |
|
$ |
4,509,084 |
|
|
$ |
16,447 |
|
|
$ |
224 |
|
|
$ |
16,671 |
|
|
$ |
4,525,755 |
|
The tables below present the allocation of capital between the respective portfolios at June 30, 2024 and March 31, 2024, and the return on invested capital for each sub-portfolio for the three month period ended June 30, 2024.
($ in thousands) |
|
|||||||||||||||||||
Capital Allocation |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass- |
|
|
Interest |
|
|
Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Through |
|
|
Only |
|
|
Only |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
June 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
% |
March 31, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 June 30, 2024, there were outstanding repurchase agreement balances of |
(2) |
At March 31, 2024, there were outstanding repurchase agreement balances of |
The return on invested capital in the PT RMBS and structured RMBS portfolios was approximately (0.5)% and
($ in thousands) |
|
|||||||||||||||||||
Returns for the Quarter Ended June 30, 2024 |
|
|||||||||||||||||||
|
|
|
|
|
|
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 Invested Capital for the Quarter(1) |
|
|
(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 Average Invested Capital for the Quarter(3) |
|
|
(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 October 29, 2021, we entered into an equity distribution agreement (the “October 2021 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of
On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of
On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of
Stock Repurchase Program
On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 400,000 shares of our common stock. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is 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. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 904,564 shares of the Company’s common stock. Coupled with the 156,751 shares remaining from the original 400,000 share authorization, the increased authorization brought the total authorization to 1,061,316 shares, representing
From the inception of the stock repurchase program through June 30, 2024, the Company repurchased a total of 5,081,134 shares at an aggregate cost of approximately
Earnings Conference Call Details
An earnings conference call and live audio webcast will be hosted Friday, July 26, 2024, at 10:00 AM ET. The conference call may be accessed by dialing toll free (800)715-9871. The conference passcode is 8307491. The supplemental materials may be downloaded from the investor relations section of the Company’s website at https://ir.orchidislandcapital.com. A live audio webcast of the conference call can be accessed via the investor relations section of the Company’s website at https://ir.orchidislandcapital.com, and an audio archive of the webcast will be available until August 25, 2024.
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates, and CMOs issued by the GSEs, and (ii) structured Agency RMBS, such as IOs, IIOs and principal only securities, among other types of structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
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 June 30, 2024, and December 31, 2023, and the unaudited quarterly statements of operations for the six and three months ended June 30, 2024 and 2023. Amounts presented are subject to change.
ORCHID ISLAND CAPITAL, INC. |
BALANCE SHEETS |
($ in thousands, except per share data) |
(Unaudited - Amounts Subject to Change) |
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||
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 |
|
ORCHID ISLAND CAPITAL, INC. |
STATEMENTS OF COMPREHENSIVE INCOME (LOSS) |
($ in thousands, except per share data) |
(Unaudited - Amounts Subject to Change) |
|
|
Six Months Ended June 30, |
|
|
Three Months Ended June 30, |
|
||||||||||
|
|
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 June 30, |
|
|||||
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/
Orchid Island Capital, Inc.
Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
https://ir.orchidislandcapital.com
Source: Orchid Island Capital, Inc.
FAQ
What was Orchid Island Capital's (ORC) net income/loss for Q2 2024?
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