Q3 2023 Earnings Supplemental Materials
October 27, 2023
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Disclaimers
Forward-Looking Information
This presentation contains forward-looking statements and information. Statements that are not historical facts, including statements about our beliefs and expectations, are forward-looking statements. Forward-looking statements include statements preceded by, followed by or that include the words "may," "could," "would," "should," "believe," "expect," "anticipate," "plan," "estimate," "target," "project," "intend" and similar expressions. These statements include, among others, statements regarding our expected performance, anticipated returns on our investments, the mortgage backed securities markets, financing and hedging strategies, and means to implement those strategies, and actual or anticipated actions of the Federal Reserve (the "Fed"), and the impact of those actual or anticipated actions on the Company.
The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. Some of these factors are described under the caption ''Risk Factors'' in our Annual Report on Form 10-K. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward looking statements, whether as a result of new information, future events or otherwise.
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Table of Contents
Topic Point
- Financial Results
- Market Developments
- Portfolio Characteristics, Credit & Hedge Positions
- Appendix
Slide(s)
4 - 8
9 - 13
14 - 23
24 - 33
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Financial Results
4
Financial Highlights for the Quarter Ended September 30, 2023
Net Income (Loss)1
Q3 23 | Q2 23 |
$(1.68) | $0.25 |
Total Return 2
Q3 23 | Q2 23 |
(15.77)% | 0.78% |
1. | Data is on a per share basis | |
2. | Equal to (a) the sum of dividends declared and paid during the quarter and changes in book | |
value during the quarter, divided by (b) book value at the beginning of the quarter | ||
Source: Company Press Releases | 5 |
Book Value 1
Q3 23 | Q2 23 |
$8.92 | $11.16 |
Dividend Declared 1
Q3 23 | Q2 23 |
$0.48 | $0.48 |
Portfolio Highlights for the Quarter Ended September 30, 2023
Average MBS Balances
(in millions) | ||
Q3 23 | Q2 23 | |
$4,447 | $4,187 | |
Speeds | |
(3mo. Portfolio CPR) | |
Q3 23 | Q2 23 |
6.0 | 5.6 |
Economic Leverage Ratio 1
Q3 23 | Q2 23 |
8.5 | 8.1 |
Liquidity 2
Q3 23 | Q2 23 |
35.1% | 41.6% |
- The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity
- Liquidity is calculated as the percentage of unrestricted cash and cash equivalents and unpledged RMBS to stockholders' equity
Source: Company Press Releases | 6 |
Orchid Island Capital Financial Results for the Three Months Ended September 30, 2023
Income Statement | Balance Sheet |
($ in thousands, except for per share data) | ($ in thousands, except for per share data) |
Three Months Ended September 30, | ||||
2023 | 2022 | |||
Interest income | $ | 50,107 | $ | 35,610 |
Interest expense | (58,705) | (21,361) | ||
Net interest (expense) income | (8,598) | 14,249 | ||
Losses on RMBS and derivative contracts | (66,890) | (94,433) | ||
Net portfolio loss | (75,488) | (80,184) | ||
Expenses | 4,644 | 4,329 | ||
Net loss | $ | (80,132) | $ | (84,513) |
Basic and diluted net loss per share | $ | (1.68) | $ | (2.40) |
Weighted Average Shares Outstanding | 47,773,409 | 35,205,888 | ||
Dividends Declared Per Common Share: | $ | 0.48 | $ | 0.545 |
30-Sep-23 | 31-Dec-22 | |||
ASSETS: | ||||
Mortgage-backed securities | $ | 4,520,225 | $ | 3,540,002 |
U.S. Treasury securities | 98,326 | 36,382 | ||
Cash, cash equivalents and restricted cash | 278,217 | 237,219 | ||
Accrued interest receivable | 17,316 | 11,519 | ||
Derivative assets, at fair value | 20,605 | 40,172 | ||
Other assets | 2,204 | 442 | ||
Total Assets | $ | 4,936,893 | $ | 3,865,736 |
LIABILITIES AND STOCKHOLDERS' | ||||
EQUITY | ||||
Repurchase agreements | $ | 4,426,947 | $ | 3,378,445 |
Dividends payable | 8,398 | 5,908 | ||
Derivative liabilities, at fair value | 2,731 | 7,161 | ||
Accrued interest payable | 15,836 | 9,209 | ||
Due to affiliates | 1,252 | 1,131 | ||
Other liabilities | 14,888 | 25,119 | ||
Total Liabilities | 4,470,052 | 3,426,973 | ||
Total Stockholders' Equity | 466,841 | 438,763 | ||
Total Liabilities and Stockholders' Equity | $ | 4,936,893 | $ | 3,865,736 |
Common shares outstanding | 52,332,306 | 36,764,983 | ||
Book value per share | $ | 8.92 | $ | 11.93 |
Source: Company Financials | 7 |
Orchid Island Capital Financial Results for the Three Months Ended September 30, 2023
Adjusted Economic Income in Dollars ($ in thousands)
Q3 2023 | Q2 2023 | Q1 2023 | Q4 2022 | ||||||
Interest income | $ | 50,107 | $ | 39,911 | $ | 38,012 | $ | 31,897 | |
Plus/(minus) discount accretion/premium amortization due to paydowns | 7,252 | 4,886 | 4,774 | 6,748 | |||||
Less interest expense on repurchase agreement funding | 58,705 | 48,671 | 42,217 | 29,512 | |||||
Gains/(losses) on hedging derivative instruments attributable to current period1 | 24,440 | 23,482 | 19,211 | 9,414 | |||||
Less Expenses | 4,644 | 4,818 | 5,003 | 5,849 | |||||
Adjusted economic income | 18,450 | 14,790 | 14,777 | 12,698 | |||||
Dividends declared | $ | 23,823 | $ | 19,671 | $ | 18,807 | $ | 17,246 | |
Adjusted Economic Income per Share* | |||||||||
Q3 2023 | Q2 2023 | Q1 2023 | Q4 2022 | ||||||
Interest income | $ | 1.05 | $ | 0.99 | $ | 0.99 | $ | 0.87 | |
Plus/(minus) discount accretion/premium amortization due to paydowns | 0.15 | 0.12 | 0.12 | 0.18 | |||||
Less interest expense on repurchase agreement funding | 1.23 | 1.21 | 1.10 | 0.80 | |||||
Gains/(losses) on hedging derivative instruments attributable to current period1 | 0.51 | 0.58 | 0.50 | 0.26 | |||||
Less Expenses | 0.10 | 0.12 | 0.13 | 0.16 | |||||
Adjusted economic income | 0.38 | 0.36 | 0.38 | 0.35 | |||||
Dividends declared | $ | 0.48 | $ | 0.48 | $ | 0.48 | $ | 0.48 | |
*Weighted average shares for the period ending 09/30/2023 was 47,773,409 | |||||||||
1. See slide 30 for a reconciliation of this non-GAAP financial measure |
Source: Company Financials | 8 |
Market Developments
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U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve
US Treasury Curve | SOFR Swap Curve |
5.0% | 5.0% |
2Yr | 5Yr | 7Yr | 10Yr | ||||||
30Yr | 4.0% | 5Yr | |||||||
(%) | 4.0% | (%) | 2Yr | ||||||
1Yr | 3Yr | ||||||||
Yield | 06/30/23 | Yield | 3Yr | ||||||
6Mo | 1Yr | ||||||||
3.0% | 09/30/23 | 3.0% | 6Mo | ||||||
3Mo | |||||||||
10/20/23 | 3Mo | ||||||||
1Mo | 1Mo | ||||||||
2.0% | 2.0% |
3.0% | 3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread | ||||||||||||||
2.0% | |||||||||||||||
(%) | 1.0% | High: 2.972% 09/05/13 | |||||||||||||
Yield | |||||||||||||||
0.0% | |||||||||||||||
-1.0% | |||||||||||||||
-2.0% | Aug-13 | Aug-14 | Aug-15 | Aug-16 | Aug-17 | Aug-18 | Aug-19 | ||||||||
Feb-13 | Feb-14 | Feb-15 | Feb-16 | Feb-17 | Feb-18 | Feb-19 | Feb-20 | ||||||||
Source: Bloomberg Data | 10 |
7Yr 10Yr
30Yr
06/30/23
09/30/23 10/20/23
10/20/23: -0.54%
Low: -1.868% 05/03/23
Aug-20 | Feb-21 | Aug-21 | Feb-22 | Aug-22 | Feb-23 | Aug-23 |
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Orchid Island Capital Inc. published this content on 26 October 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 26 October 2023 20:22:06 UTC.