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Dec 31, 2021
Orchid Island Q4 2021 Earnings Report
Orchid Island Capital reported a net loss for Q4 2021 due to net realized and unrealized losses on RMBS and derivative instruments, despite an increase in net interest income.
Key Takeaways
Orchid Island Capital reported a net loss of $44.6 million for the fourth quarter of 2021, driven by net realized and unrealized losses on RMBS and derivative instruments. However, net interest income increased, and the company maintained a strong liquidity position.
Reported a net loss of $44.6 million, or $0.27 per common share.
Net interest income was $42.4 million, or $0.25 per common share.
Declared and paid total dividends of $0.195 per common share for the quarter.
Book value per share was $4.34 at the end of the quarter.
Forward Guidance
The company is comfortable with its current positioning and believes that its specified pool holdings will perform well as the market transitions from a TBA roll-dominated market.
Positive Outlook
- Portfolio remains concentrated in specified pools.
- Vast majority of losses are unrealized.
- Liquidity management practices allow absorption of mark-to-market losses.
- Carry of assets yields are comparable to dollar rolls.
- Specified pools will enter Bloomberg MBS indices, adding demand.
Challenges Ahead
- Material mark-to-market losses incurred on specified pools.
- Widening in specs exacerbated by dollar roll specialness.
- Transition from TBA roll-dominated market taking longer to occur.
- Increased conforming loan limit has degraded the convexity of current Agency RMBS production.
Historical Earnings Impact
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Avg. Return Before/After Earnings
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