Third Quarter 2025 Results
Net income of $72.1 million, or $0.53 per common share, which consists of:
Net interest income of $26.9 million, or $0.20 per common share
Total expenses of $5.4 million, or $0.04 per common share
Net realized and unrealized gains of $50.6 million, or $0.37 per common share, on RMBS and derivative instruments, including net interest income on interest rate swaps
Third quarter dividends declared and paid of $0.36 per common share
Book value per common share of $7.33 at September 30, 2025
Total return of 6.7%, comprised of $0.36 dividend per common share and $0.12 increase in book value per common share, divided by beginning book value per common share
Other Financial Highlights
Orchid maintained a strong liquidity position of $620.0 million in cash and cash equivalents and unpledged securities, or approximately 57% of stockholders' equity as of September 30, 2025
Borrowing capacity in excess of September 30, 2025 outstanding repurchase agreement balances of $8.0 billion, spread across 26 active lenders
Company to discuss results on Friday, October 24, 2025, 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 third quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, "Market conditions during the quarter were supportive for levered Agency RMBS investors such as Orchid Island Capital. Interest rates were quite stable outside of short-term rates, which declined in anticipation of additional interest rate cuts beyond the 25-basis point cut that occurred in September. Orchid generated a total return for the quarter of 6.7%, unannualized. Orchid continued to build its capital base, still comprised exclusively of common equity, and invested the proceeds into Agency RMBS offering both net interest income and total return potential above historical norms. Orchid was able to acquire Agency RMBS with these characteristics even with elevated levels of prepayments emerging as prevailing market interest rates decline in the face of a cooling labor market and Federal Reserve interest rate cuts. Orchid has done this through prudent security selection and risk management techniques without meaningfully changing its leverage – approximately 7.4 to 1 inclusive of its TBA positions. Orchid has room to raise leverage further should returns in the market become even more attractive.
"With respect to the market backdrop we are operating in, it appears we are at a crossroads. There is evidence that the tariffs introduced by the U.S. presidential administration and the associated uncertainty surrounding their impact on growth and inflation is impacting the labor market, and the Federal Reserve has stated they now see the balance of risk tilted towards economic weakness versus inflation. Note this statement was made before the U.S. federal government shutdown, which has added to risks of a downturn in economic growth. However, there is also evidence that the economy has been resilient in the face of the tariffs and that growth and consumer spending appear stable. Additionally, the likely benefits from the One Big Beautiful Bill Act, deregulation, capital expenditure and artificial intelligence should be supportive of growth in the near future. The path for economic growth, monetary policy and interest rates is uncertain, yet we believe Orchid's portfolio is positioned to deliver attractive return potential in either scenario."
Details of Third Quarter 2025 Results of Operations
The Company reported net income of $72.1 million for the three month period ended September 30, 2025, compared with a net income of $17.3 million for the three month period ended September 30, 2024. Interest income on the portfolio in the third quarter was up approximately $16.1 million from the second quarter of 2025. The yield on our average Agency RMBS increased from 5.38% in the second quarter of 2025 to 5.65% for the third quarter of 2025, and our repurchase agreement borrowing costs increased from 4.23% for the second quarter of 2025 to 4.45% for the third quarter of 2025. Book value increased by $0.12 per share in the third quarter of 2025. The increase in book value reflects our net income of $0.53 per share and the dividend distribution of $0.36 per share. The Company recorded net realized and unrealized gains of $50.6 million on Agency RMBS assets and derivative instruments, including net interest income on interest rate swaps.
Prepayments
For the quarter ended September 30, 2025, Orchid received $212.8 million in scheduled and unscheduled principal repayments and prepayments, which equated to a 3-month constant prepayment rate ("CPR") of approximately 10.1%. Prepayment rates on the two RMBS sub-portfolios were as follows (in CPR):
Structured
PT RMBS
RMBS
Total
Three Months Ended
Portfolio (%)
Portfolio (%)
Portfolio (%)
September 30, 2025
10.1
8.1
10.1
June 30, 2025
10.1
6.3
10.1
March 31, 2025
7.8
4.5
7.8
December 31, 2024
10.6
7.0
10.5
September 30, 2024
8.8
6.4
8.8
June 30, 2024
7.6
7.1
7.6
March 31, 2024
6.0
5.9
6.0
Portfolio
The following tables summarize certain characteristics of Orchid's PT RMBS (as defined below) and structured RMBS as of September 30, 2025 and December 31, 2024:
($ in thousands)
Weighted
Percentage
Average
of
Weighted
Maturity
Fair
Entire
Average
in
Longest
Asset Category
Value
Portfolio
Coupon
Months
Maturity
September 30, 2025
Fixed Rate RMBS
$
8,341,899
99.8
%
5.51
%
334
1-Sep-55
Interest-Only Securities
13,975
0.2
%
4.01
%
204
25-Jul-48
Inverse Interest-Only Securities
206
0.0
%
0.00
%
252
15-Jun-42
Total Mortgage Assets
$
8,356,080
100.0
%
5.49
%
333
1-Sep-55
December 31, 2024
Fixed Rate RMBS
$
5,237,812
99.7
%
5.03
%
330
1-Nov-54
Interest-Only Securities
15,308
0.3
%
4.01
%
212
25-Jul-48
Inverse Interest-Only Securities
190
0.0
%
0.00
%
261
15-Jun-42
Total Mortgage Assets
$
5,253,310
100.0
%
4.99
%
328
1-Nov-54
($ in thousands)
September 30, 2025
December 31, 2024
Percentage of
Percentage of
Agency
Fair Value
Entire Portfolio
Fair Value
Entire Portfolio
Fannie Mae
$
4,741,967
56.7
%
$
3,693,032
70.3
%
Freddie Mac
3,614,113
43.3
%
1,560,278
29.7
%
Total Portfolio
$
8,356,080
100.0
%
$
5,253,310
100.0
%
September 30,2025
December 31,2024
Weighted Average Pass-through Purchase Price
$
102.33
$
102.45
Weighted Average Structured Purchase Price
$
18.74
$
18.74
Weighted Average Pass-through Current Price
$
101.07
$
96.44
Weighted Average Structured Current Price
$
14.65
$
14.38
Effective Duration(1)
2.991
4.200
(1)
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 2.991 indicates that an interest rate increase of 1.0% would be expected to cause a 2.991% decrease in the value of the RMBS in the Company's investment portfolio at September 30, 2025. An effective duration of 4.200 indicates that an interest rate increase of 1.0% would be expected to cause a 4.200% decrease in the value of the RMBS in the Company's investment portfolio at December 31, 2024. These figures include the structured securities in the portfolio, but do not include the effect of the Company's funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
Financing, Leverage and Liquidity
As of September 30, 2025, the Company had outstanding repurchase obligations of approximately $8.0 billion with a net weighted average borrowing rate of 4.33%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $8.4 billion and cash pledged to counterparties of approximately $26.4 million. The Company's adjusted leverage ratio, defined as the balance of repurchase agreement liabilities divided by stockholders' equity, at September 30, 2025 was 7.4 to 1. At September 30, 2025, the Company's liquidity was approximately $620.0 million consisting of cash and cash equivalents and unpledged securities. To enhance our liquidity even further, we may pledge more of our structured RMBS as part of a repurchase agreement funding, but retain the cash in lieu of acquiring additional assets. In this way we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash. Below is a list of our outstanding borrowings under repurchase obligations at September 30, 2025.
($ in thousands)
Weighted
Weighted
Total
Average
Average
Outstanding
% of
Borrowing
Maturity
Counterparty
Balances
Total
Rate
in Days
J.P. Morgan Securities LLC
$
511,662
6.41
%
4.34
%
20
Citigroup Global Markets Inc
437,979
5.47
%
4.42
%
34
DV Securities, LLC Repo
389,984
4.87
%
4.37
%
36
ABN AMRO Bank N.V.
377,931
4.72
%
4.25
%
42
Wells Fargo Securities, LLC
371,202
4.64
%
4.45
%
14
The Bank of Nova Scotia
369,533
4.62
%
4.39
%
20
Merrill Lynch, Pierce, Fenner & Smith
362,023
4.52
%
4.34
%
70
ASL Capital Markets Inc.
359,654
4.49
%
4.16
%
126
Bank of Montreal
358,926
4.48
%
4.38
%
30
South Street Securities, LLC
344,604
4.30
%
4.31
%
81
Goldman, Sachs & Co
337,376
4.21
%
4.34
%
27
StoneX Financial Inc.
332,143
4.15
%
4.30
%
20
Mirae Asset Securities (USA) Inc.
331,786
4.14
%
4.29
%
35
Daiwa Securities America Inc.
329,915
4.12
%
4.17
%
135
Cantor Fitzgerald & Co
319,230
3.99
%
4.34
%
25
Clear Street LLC
307,707
3.84
%
4.35
%
20
Marex Capital Markets Inc.
302,480
3.78
%
4.32
%
31
RBC Capital Markets, LLC
298,220
3.72
%
4.27
%
56
ING Financial Markets LLC
291,011
3.63
%
4.32
%
17
Banco Santander SA
265,981
3.32
%
4.38
%
16
MUFG Securities Canada, Ltd.
255,958
3.20
%
4.38
%
8
Mitsubishi UFJ Securities (USA), Inc.
246,210
3.07
%
4.44
%
16
Mizuho Securities USA LLC
207,561
2.59
%
4.34
%
23
Nomura Securities International, Inc.
158,100
1.97
%
4.41
%
14
Natixis, New York Branch
104,895
1.31
%
4.34
%
29
Lucid Prime Fund, LLC
34,907
0.44
%
4.34
%
16
Total / Weighted Average
$
8,006,978
100.00
%
4.33
%
39
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 September 30, 2025, 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 September 30, 2025.
($ in thousands)
September 30, 2025
Average
Weighted
Weighted
Contract
Average
Average
