Orchid Island Capital posts Q3 loss on widening spreads after Fed rate hikes
Orchid Island Capital (NYSE:ORC) Q3 results were hurt by declining net interest income and losses on its residential mortgage-backed securities and derivatives contracts during the quarter, the company said Thursday. The Federal Reserve aggressively raised rates, which led to widening spreads between agency RMBS securities relative to comparable duration U.S. Treasurys or swaps.
"Actions by the Fed as described above may prevent the sector from performing well in the near term but, if the economy does contract and enter a recession, the sector could do well on a relative performance basis owing to the lack of credit exposure of Agency RMBS," said Chairman and CEO Robert E. Cauley.
Q3 GAAP EPS of -$2.40 vs. $1.00 in the year-ago quarter.
Q3 net interest income of $14.2M fell from $27.1M in Q2 and from $32.6M in Q3 2021.
Book value per common share of $11.42 at Sept. 30, 2022 vs. $14.36 at June 30.
During the quarter, Orchid Island (ORC) received $96.6M in scheduled and unscheduled repayments and prepayments, equating to a 3-month constant prepayment rate of ~6.5%. That compared with $122.4M in repayments/prepayments for a CPR of ~9.4% in Q2.
Total return of -16.7%, comprised of $0.545 dividend per common share and $2.94 decrease in book value per common share, divided by beginning book value per common share.
Losses on RMBS and derivative contracts were $93.5M in Q3, vs. $82.3M in Q2 and $2.89M in the year-ago quarter.
Net portfolio loss of $79.3M in the quarter vs. $55.2M in Q2 and net portfolio income of $29.7M in Q2 2021.
Q3 expenses of $5.22M increased from $4.94M in Q2 and from $3.67M in Q3 2021.
Estimated book value per share at Oct. 26 of $10.60-$10.70.
Conference call on Oct. 28 at 10:00 AM ET.
Earlier, Orchid Island Capital (ORC) EPS of -$2.40, net interest income of $14.25M