Orchid Island posts $178.9 million loss as book value falls to $6.02

Orchid Island Capital reported a $178.9 million third-quarter net loss, or $0.90 per common share, as mark-to-market losses of $231.7 million on Agency mortgage bonds and hedges overwhelmed a jump in net interest income to $59.1 million, and book value per share fell to $6.02 from $7.22 at mid-year.

Mark-to-market losses overwhelm a better spread

Net interest income of $59.1 million compared with $26.92 million a year earlier, as the yield on the average Agency RMBS portfolio rose to 5.91% from 5.65% and the cost of repurchase funding fell to 3.92% from 4.45%. The average interest rate spread widened to 1.99% from 1.20%. Net realized and unrealized losses of $231.7 million on Agency RMBS and derivatives, including net interest income on interest rate swaps, turned that into a net loss of $178.9 million, or $0.90 per common share, against net income of $72.1 million a year earlier. Total return was (12.47)% for the quarter.

Cauley put the market in terms the quarter's numbers do not show. "Benchmark U.S. treasury yields reached levels last seen in the early 2000s", he wrote, and "The Agency RMBS market was particularly impacted and there was widespread deleveraging and forced selling".

Book value per common share of $6.02 at September 30, 2026

Book value per common share of $6.02 at September 30, 2026 compared with $7.22 at June 30, 2026 and $7.54 at December 31, 2025: a 16.62% sequential decline and a 20.16% drop over nine months. Stockholders' equity of $1.17 billion was 18.7% lower than the $1.44 billion reported at mid-year, a period in which Orchid paid $0.30 per share in dividends and retired shares while absorbing the mark-to-market loss. The portfolio's effective duration rose to 4.327 from 2.513 at December 31, 2025, so a one-point rise in rates now costs about 4.327% of RMBS value. Rather than sell bonds to defend leverage, the company said it increased hedge notional "to near 100% coverage" and extended hedge duration, with asset sales of "less than $400 million".

Prepayments slow as 4,946,123 shares are retired

Principal repayments and prepayments of $306.0 million produced a three-month constant prepayment rate of 8.4%, down from 10.9% at June 30, 2026, a slower pace that leaves discount bonds outstanding longer. The portfolio was $10.67 billion at fair value with a weighted average coupon of 5.51%, against 5.67% at year-end, and repurchase agreements of $10.4 billion were spread across 33 active lenders. Adjusted leverage was 8.8 to 1, up from 7.4 to 1 a year earlier, while liquidity of $515.7 million equaled about 44% of stockholders' equity. Orchid repurchased 4,946,123 shares in the quarter for $31.2 million, an average of $6.30, and another 1,669,704 shares in October for $8.4 million at an average of $5.05. "We took advantage of the depressed stock price to repurchase approximately 6.6 million shares to date since the end of the second quarter", Cauley wrote.

November's monthly payout and the October 23 call

The quarter's $0.30 per share of dividends matched the prior quarter, and on October 14 the company declared a dividend of $0.10 per share payable November 27, 2026, with the release restating its intention to pay regular monthly dividends. The results were furnished under Item 2.02, with the press release carried as Exhibit 99.1; supplemental financial information was posted to the investor relations site and is not part of the filed exhibit. Orchid will discuss the quarter on a call at 10:00 AM ET on Friday, October 23, 2026. The release gives no earnings guidance, and without a provider-identified consensus figure the quarter is not scored against expectations.