Orchid Island Capital Announces First Quarter 2026 Results
Rhea-AI Summary
Orchid Island Capital (NYSE:ORC) reported a Q1 2026 net loss of $20.0 million (‑$0.11 per share) and declared and paid a $0.36 per share dividend. Net interest income was $57.1 million; net realized and unrealized losses on RMBS and derivatives totaled $69.6 million. Book value per share was $7.08 at March 31, 2026. Liquidity was approximately $759.0 million, repurchase obligations totaled about $10.9 billion with adjusted leverage of 7.8x. CPR for the quarter was ~14.7%.
Positive
- Net interest income $57.1M in Q1 2026
- Liquidity $759.0M in cash and unpledged securities at 3/31/2026
- Repurchase borrowing rate 3.79% weighted average at 3/31/2026
- Portfolio fair value $11.34B of mortgage assets at 3/31/2026
Negative
- Net loss $20.0M for Q1 2026 (‑$0.11 per share)
- Net realized/unrealized losses $69.6M on RMBS and derivatives
- Book value down $0.46 per share in Q1 2026
- Adjusted leverage 7.8x repurchase obligations to equity
News Market Reaction – ORC
In the Apr 24 session, ORC gained 3.07%, reflecting a moderate positive market reaction.
Data tracked by StockTitan Argus on the day of publication.
Key Figures
Previous Earnings Reports
| Date | Event | Sentiment | 24h Move | Catalyst |
|---|---|---|---|---|
| Jan 29 | Quarterly earnings | Positive | -5.7% | Strong Q4 2025 net income and gains on RMBS and derivatives. |
| Jan 14 | Earnings estimates | Positive | +2.8% | Estimated Q4 2025 earnings and book value with solid ROE. |
| Oct 23 | Quarterly earnings | Positive | +2.7% | Q3 2025 net income, RMBS gains, higher book value and liquidity. |
| Jul 24 | Quarterly earnings | Negative | +1.5% | Q2 2025 net loss amid market turbulence and RMBS losses. |
| Apr 24 | Quarterly earnings | Positive | +5.0% | Q1 2025 net income with solid interest income and liquidity. |
24h Move is the share-price change in the day after each event; other market factors may also have contributed.
Earnings-related headlines have often produced mixed reactions, with both strong gains and losses around quarters featuring sizable RMBS derivative swings, and several instances where price moved opposite to headline tone.
Over the past year, Orchid’s earnings updates have alternated between profitable quarters and loss-making, RMBS-driven periods. Positive quarters like Q3 2025 and estimated Q4 2025 results saw constructive price reactions, while the detailed Q4 2025 report on Jan 29 led to a selloff. Earlier 2025 quarters highlighted liquidity, leverage and book value stability. Today’s Q1 2026 loss and book value decline fit this pattern of earnings being tightly tied to RMBS mark-to-market dynamics.
Key Terms
reit financial
rmbs financial
constant prepayment rate financial
effective duration technical
repurchase agreement financial
sofr technical
tba securities financial
interest rate swap agreements financial
AI-generated analysis. How Rhea-AI works. Not financial advice.
VERO BEACH, Fla., April 23, 2026 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (NYSE:ORC) ("Orchid” or the "Company"), a real estate investment trust ("REIT"), today announced results of operations for the three month period ended March 31, 2026.
First Quarter 2026 Results
- Net loss of
$(20.0) million , or$0.11 per common share, which consists of: - Net interest income of
$57.1 million , or$0.30 per common share - Total expenses of
$7.4 million , or$0.04 per common share - Net realized and unrealized losses of
$69.6 million , or$0.37 per common share, on RMBS and derivative instruments, including net interest income on interest rate swaps - First quarter dividends declared and paid of
$0.36 per common share - Book value per common share of
$7.08 at March 31, 2026 - Total return of (1.33)%, comprised of
$0.36 dividend per common share and$0.46 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
$759.0 million in cash and cash equivalents and unpledged securities, or approximately55% of stockholders' equity as of March 31, 2026 - Borrowing capacity in excess of March 31, 2026 outstanding repurchase agreement balances of
$10.9 billion , spread across 28 active lenders - Company to discuss results on Friday, April 24, 2026, at 10:00 AM ET
- Supplemental materials to be discussed on the call can be downloaded from the investor relations section of the Company’s website at https://ir.orchidislandcapital.com
Management Commentary
Commenting on the first quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, “On February 28, 2026, the markets turned sharply when war broke out in the Middle East after Israel and the United States attacked Iran. Up to that point, the Agency RMBS market was performing very well, the catalyst being a pronouncement by President Trump on January 8, 2026 that the GSEs would seek to buy
“The onset of war dramatically changed things. The immediate reaction was for interest rates to increase, risk markets – particularly the stock market – sold off, and implied interest rate volatility increased dramatically. Mortgage sector performance deteriorated quickly as well. Mortgage spreads widened and ended the quarter slightly wider than the end of 2025. Orchid generated a negative
Details of First Quarter 2026 Results of Operations
The Company reported net loss of
Prepayments
For the quarter ended March 31, 2026, Orchid received
| Total | |
| Three Months Ended | Portfolio (%) |
| March 31, 2026 | 14.7 |
| December 31, 2025 | 15.7 |
| September 30, 2025 | 10.1 |
| June 30, 2025 | 10.1 |
| March 31, 2025 | 7.8 |
Portfolio
The following tables summarize certain characteristics of Orchid’s PT RMBS (as defined below) and structured RMBS as of March 31, 2026 and December 31, 2025:
| ($ in thousands) | |||||||||||||||||
| Asset Category | Fair Value | Percentage of Entire Portfolio | Weighted Average Coupon | Weighted Average Maturity in Months | Longest Maturity | ||||||||||||
| March 31, 2026 | |||||||||||||||||
| Fixed Rate RMBS | $ | 11,326,089 | 99.9 | % | 5.60 | % | 339 | 1-Mar-56 | |||||||||
| Other | 12,452 | 0.1 | % | 3.35 | % | 207 | 25-Jul-48 | ||||||||||
| Total Mortgage Assets | $ | 11,338,541 | 100.0 | % | 5.58 | % | 338 | 1-Mar-56 | |||||||||
| December 31, 2025 | |||||||||||||||||
| Fixed Rate RMBS | $ | 10,615,570 | 99.9 | % | 5.67 | % | 341 | 1-Jan-56 | |||||||||
| Other | 13,088 | 0.1 | % | 3.25 | % | 210 | 25-Jul-48 | ||||||||||
| Total Mortgage Assets | $ | 10,628,658 | 100.0 | % | 5.64 | % | 340 | 1-Jan-56 | |||||||||
| ($ in thousands) | ||||||||||||||||
| March 31, 2026 | December 31, 2025 | |||||||||||||||
| Agency | Fair Value | Percentage of Entire Portfolio | Fair Value | Percentage of Entire Portfolio | ||||||||||||
| Fannie Mae | $ | 5,900,504 | 52.0 | % | $ | 5,675,461 | 53.4 | % | ||||||||
| Freddie Mac | 5,438,037 | 48.0 | % | 4,953,197 | 46.6 | % | ||||||||||
| Total Portfolio | $ | 11,338,541 | 100.0 | % | $ | 10,628,658 | 100.0 | % | ||||||||
As of March 31, 2026, the Company's portfolio had an effective duration of 3.005, indicating that an interest rate increase of
Financing, Leverage and Liquidity
As of March 31, 2026, the Company had outstanding repurchase obligations of approximately
| ($ in thousands) | ||||||||||||||||
| Counterparty | Total Outstanding Balances | % of Total | Weighted Average Borrowing Rate | Weighted Average Maturity in Days | ||||||||||||
| Wells Fargo Securities, LLC | $ | 548,008 | 5.02 | % | 3.79 | % | 18 | |||||||||
| Citigroup Global Markets Inc | 505,729 | 4.65 | % | 3.78 | % | 11 | ||||||||||
| Marex Capital Markets Inc. | 504,786 | 4.65 | % | 3.76 | % | 24 | ||||||||||
| Hidden Road Partners Civ US LLC | 501,964 | 4.62 | % | 3.78 | % | 51 | ||||||||||
| ABN AMRO Bank N.V. | 497,665 | 4.58 | % | 3.77 | % | 52 | ||||||||||
| ASL Capital Markets Inc. | 489,064 | 4.50 | % | 3.80 | % | 72 | ||||||||||
| StoneX Financial Inc. | 488,036 | 4.49 | % | 3.79 | % | 155 | ||||||||||
| The Bank of Nova Scotia | 482,071 | 4.44 | % | 3.79 | % | 20 | ||||||||||
| South Street Securities, LLC | 477,914 | 4.40 | % | 3.83 | % | 106 | ||||||||||
| J.P. Morgan Securities LLC | 470,564 | 4.33 | % | 3.78 | % | 24 | ||||||||||
| RBC Capital Markets, LLC | 454,708 | 4.19 | % | 3.83 | % | 97 | ||||||||||
| DV Securities, LLC Repo | 450,719 | 4.15 | % | 3.78 | % | 71 | ||||||||||
| Cantor Fitzgerald & Co | 445,482 | 4.10 | % | 3.79 | % | 26 | ||||||||||
| Clear Street LLC | 437,924 | 4.03 | % | 3.79 | % | 69 | ||||||||||
| Daiwa Securities America Inc. | 432,054 | 3.98 | % | 3.79 | % | 66 | ||||||||||
| Banco Santander SA | 428,017 | 3.94 | % | 3.79 | % | 38 | ||||||||||
| Bank of Montreal | 424,162 | 3.90 | % | 3.80 | % | 13 | ||||||||||
| Goldman, Sachs & Co | 412,584 | 3.80 | % | 3.80 | % | 25 | ||||||||||
| Merrill Lynch, Pierce, Fenner & Smith | 384,964 | 3.54 | % | 3.81 | % | 16 | ||||||||||
| ING Financial Markets LLC | 376,852 | 3.47 | % | 3.80 | % | 13 | ||||||||||
| Mirae Asset Securities (USA) Inc. | 332,010 | 3.06 | % | 3.80 | % | 37 | ||||||||||
| Brean Capital, LLC | 286,317 | 2.64 | % | 3.79 | % | 17 | ||||||||||
| Mitsubishi UFJ Securities (USA), Inc. | 246,498 | 2.27 | % | 3.80 | % | 22 | ||||||||||
| MUFG Securities Canada, Ltd. | 236,975 | 2.18 | % | 3.78 | % | 2 | ||||||||||
| Nomura Securities International, Inc. | 222,189 | 2.05 | % | 3.79 | % | 71 | ||||||||||
| Mizuho Securities USA LLC | 197,403 | 1.82 | % | 3.78 | % | 33 | ||||||||||
| Natixis, New York Branch | 97,612 | 0.90 | % | 3.79 | % | 27 | ||||||||||
| Lucid Prime Fund, LLC | 32,452 | 0.30 | % | 3.79 | % | 16 | ||||||||||
| Total / Weighted Average | $ | 10,864,723 | 100.00 | % | 3.79 | % | 46 | |||||||||
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 U.S. generally accepted accounting principles (“GAAP”) in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. As such, all gains or losses on these instruments are reflected in earnings for all periods presented. At March 31, 2026, such instruments were comprised of U.S. Treasury note (“T-Note”) and Secured Overnight Financing Rate ("SOFR") futures contracts, interest rate swap agreements and contracts to sell to-be-announced ("TBA") securities.
The table below presents information related to the Company’s T-Note and SOFR futures contracts at March 31, 2026.
| ($ in thousands) | ||||||||||||||||
| March 31, 2026 | ||||||||||||||||
| Expiration Year | Average Contract Notional Amount | Weighted Average Entry Rate | Weighted Average Effective Rate | Open Equity(1) | ||||||||||||
| U.S. Treasury Note Futures Contracts (Short Positions)(2) | ||||||||||||||||
| June 2026 5-year T-Note futures (Jun 2026 - Jun 2031 Hedge Period) | $ | 180,000 | 3.86 | % | 3.93 | % | $ | 520 | ||||||||
| June 2026 10-year T-Note futures (Jun 2026 - Jun 2036 Hedge Period) | 53,000 | 3.85 | % | 4.13 | % | 977 | ||||||||||
| June 2026 10-year Ultra futures (Jun 2026 - Jun 2036 Hedge Period) | 60,000 | 4.09 | % | 4.32 | % | 1,223 | ||||||||||
| SOFR Futures Contracts (Short Positions) | ||||||||||||||||
| June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period) | $ | 97,500 | 3.55 | % | 3.68 | % | $ | 123 | ||||||||
| September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period) | 97,500 | 3.38 | % | 3.67 | % | 280 | ||||||||||
| December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period) | 97,500 | 3.27 | % | 3.67 | % | 386 | ||||||||||
| March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period) | 97,500 | 3.22 | % | 3.64 | % | 407 | ||||||||||
| June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period) | 97,500 | 3.21 | % | 3.61 | % | 397 | ||||||||||
| ERIS SOFR Swap Futures Contracts (Short Positions)(3) | ||||||||||||||||
| June 2026 5-Year Term, | $ | 10,000 | 3.42 | % | 3.63 | % | $ | 88 | ||||||||
| (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 |
| (3 | ) | ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position. |
The table below presents information related to the Company’s interest rate swap positions at March 31, 2026.
| ($ in thousands) | ||||||||||||||||
| Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | |||||||||||||
| Expiration > 1 to ≤ 5 years | $ | 4,792,800 | 3.40 | % | 3.68 | % | 3.0 | |||||||||
| Expiration > 5 years | 2,221,400 | 3.90 | % | 3.68 | % | 8.0 | ||||||||||
| $ | 7,014,200 | 3.56 | % | 3.68 | % | 4.6 | ||||||||||
The following table summarizes our contracts to sell TBA securities as of March 31, 2026.
| ($ in thousands) | ||||||||||||||||
| Notional Amount Long (Short)(1) | Cost Basis(2) | Market Value(3) | Net Carrying Value(4) | |||||||||||||
| March 31, 2026 | ||||||||||||||||
| 15-Year TBA securities: | ||||||||||||||||
| $ | 250,000 | $ | 248,506 | $ | 247,871 | $ | (635 | ) | ||||||||
| 30-Year TBA securities: | ||||||||||||||||
| (155,000 | ) | (160,595 | ) | (160,214 | ) | 381 | ||||||||||
| $ | 95,000 | $ | 87,911 | $ | 87,657 | $ | (254 | ) | ||||||||
| (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 | 1.440 | 96,309 | ||||||
| 2025 | 1.440 | 190,930 | ||||||
| 2026 - YTD(1) | 0.460 | 89,100 | ||||||
| Totals | $ | 69.790 | $ | 984,936 | ||||
| (1 | ) | On April 15, 2026, the Company declared a dividend of |
Book Value Per Share
The Company's book value per share at March 31, 2026 was
Stock Offerings
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 could offer and sell, from time to time, up to an aggregate amount of
On February 24, 2025, we entered into an equity distribution agreement (the “February 2025 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 October 27, 2025, we entered into an equity distribution agreement (the “October 2025 Equity Distribution Agreement”) with four 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 March 31, 2026, the Company repurchased a total of 6,257,826 shares at an aggregate cost of approximately
Earnings Conference Call Details
An earnings conference call and live audio webcast will be hosted Friday, April 24, 2026, at 10:00 AM ET. Participants can register and receive dial-in information at https://register-conf.media-server.com/register/BI266e379979aa4520a3ba4758231f2955. A live audio webcast of the conference call can be accessed at https://edge.media-server.com/mmc/p/pp74w7ci or via the investor relations section of the Company's website at https://ir.orchidislandcapital.com. An audio archive of the webcast will be available for 30 days after the call.
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, leverage ratio, 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 U.S. government, including the Fed, market expectations, capital raising, future opportunities and prospects of the Company, the stock repurchase program, geopolitical uncertainty and general economic conditions (including the effects of artificial intelligence, wars, tariffs, trade wars, inflation, the U.S. deficit, U.S. government shutdowns, and the strength of the U.S. dollar), are forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. The reader is cautioned that such forward-looking statements are based on information available at the time and on management's good faith belief with respect to future events, and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in Orchid Island Capital, Inc.'s filings with the Securities and Exchange Commission, including its most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q. Orchid Island Capital, Inc. assumes no obligation to update forward-looking statements to reflect subsequent results, changes in assumptions or changes in other factors affecting forward-looking statements.
Summarized Financial Statements
The following is a summarized presentation of the unaudited balance sheets as of March 31, 2026, and December 31, 2025, and the unaudited quarterly statements of operations for the three months ended March 31, 2026 and 2025. Amounts presented are subject to change.
| ORCHID ISLAND CAPITAL, INC. BALANCE SHEETS ($ in thousands, except per share data) (Unaudited - Amounts Subject to Change) | ||||||||
| March 31, 2026 | December 31, 2025 | |||||||
| ASSETS: | ||||||||
| Mortgage-backed securities, at fair value | $ | 11,338,541 | $ | 10,628,658 | ||||
| U.S. Treasury securities, available-for-sale | 155,095 | 135,133 | ||||||
| Cash, cash equivalents and restricted cash | 760,134 | 724,561 | ||||||
| Accrued interest receivable | 53,880 | 49,127 | ||||||
| Derivative assets, at fair value | 3,008 | 9,253 | ||||||
| Reverse repurchase agreements | 358,740 | 128,613 | ||||||
| Receivable for investment securities and TBA transactions | 597 | - | ||||||
| Other assets | 1,396 | 648 | ||||||
| Total Assets | $ | 12,671,391 | $ | 11,675,993 | ||||
| LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||
| Repurchase agreements | $ | 10,864,723 | $ | 10,115,466 | ||||
| Payable for investment securities and TBA transactions | - | 1,519 | ||||||
| Dividends payable | 23,629 | 21,865 | ||||||
| Derivative liabilities, at fair value | 635 | 1,846 | ||||||
| Accrued interest payable | 28,458 | 31,397 | ||||||
| Due to affiliates | 1,788 | 1,661 | ||||||
| Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 359,202 | 128,724 | ||||||
| Other liabilities | 1,148 | 1,567 | ||||||
| Total Liabilities | 11,279,583 | 10,304,045 | ||||||
| Total Stockholders' Equity | 1,391,808 | 1,371,948 | ||||||
| Total Liabilities and Stockholders' Equity | $ | 12,671,391 | $ | 11,675,993 | ||||
| Common shares outstanding | 196,700,226 | 181,985,900 | ||||||
| Book value per share | $ | 7.08 | $ | 7.54 | ||||
| ORCHID ISLAND CAPITAL, INC. STATEMENTS OF COMPREHENSIVE INCOME (LOSS) ($ in thousands, except per share data) (Unaudited - Amounts Subject to Change) | ||||||||
| Three Months Ended March 31, | ||||||||
| 2026 | 2025 | |||||||
| Interest income | $ | 157,838 | $ | 81,090 | ||||
| Interest expense | (100,775 | ) | (61,377 | ) | ||||
| Net interest income | 57,063 | 19,713 | ||||||
| Losses (gains) on RMBS and derivative contracts | (69,621 | ) | 1,635 | |||||
| Net portfolio (loss) income | (12,558 | ) | 21,348 | |||||
| Expenses | 7,397 | 4,226 | ||||||
| Net (loss) income | $ | (19,955 | ) | $ | 17,122 | |||
| Other comprehensive income | (279 | ) | 250 | |||||
| Comprehensive net | $ | (20,234 | ) | $ | 17,372 | |||
| Basic and diluted net (loss) income per share | $ | (0.11 | ) | $ | 0.18 | |||
| Weighted Average Shares Outstanding | 189,259,574 | 95,174,719 | ||||||
| Dividends Declared Per Common Share: | $ | 0.36 | $ | 0.36 | ||||
| Three Months Ended March 31, | ||||||||
| Key Balance Sheet Metrics | 2026 | 2025 | ||||||
| Average RMBS(1) | $ | 10,983,600 | $ | 5,995,702 | ||||
| Average repurchase agreements(1) | 10,490,095 | 5,722,092 | ||||||
| Average stockholders' equity(1) | 1,381,878 | 762,190 | ||||||
| Adjusted leverage ratio(2) | 7.8:1 | 7.5:1 | ||||||
| Economic leverage ratio(3) | 7.9:1 | 7.8:1 | ||||||
| Key Performance Metrics | ||||||||
| Average yield on RMBS(4) | 5.75 | % | 5.41 | % | ||||
| Average cost of funds(4) | 3.84 | % | 4.29 | % | ||||
| Average economic cost of funds(5) | 3.28 | % | 2.83 | % | ||||
| Average interest rate spread(6) | 1.91 | % | 1.12 | % | ||||
| Average economic interest rate spread(7) | 2.47 | % | 2.58 | % | ||||
| (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 and securities borrowed, 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. |
CONTACT: Orchid Island Capital, Inc. Robert E. Cauley Chairman and Chief Executive Officer 772-231-1400 https://ir.orchidislandcapital.com