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 approximately 55% 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 $200 billion of Agency RMBS in an effort to drive mortgage rates down and the affordability of housing higher. Interest rate volatility continued to decline, as it has since April of 2025, supportive of the sector as well. Away from the mortgage market, there were troubling signs in the economy as private credit concerns mounted, artificial intelligence began to emerge as a significant threat to software developers and many tech firms, previously the leaders of market performance over the last year or so, sold off dramatically. Interest rates, particularly the 10-year U.S. Treasury, declined in yield over the course of February, falling below 4% and mortgage rates declined towards 6%. Prepayment fears mounted quickly, and in fact speeds did increase dramatically in March. These later developments began to erode the strong performance of the sector triggered by the President's announcement on January 8, 2026.
"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 1.3% economic return for the quarter as our book value decline, caused by the widening of mortgages, offset our dividend by $0.10 on a per share basis. Since quarter end, the sector has recovered as implied interest rate volatility has retraced nearly all of the increase triggered by the onset of war and mortgages have tightened, reversing approximately half the war-induced widening as well. A final observation on the impact of the war would be to point out that the market seems equally concerned with the impact of the war on growth, as inflation and longer maturity rates have remained near the levels that existed at the beginning of the war. Conversely, shorter term rates remain elevated, and market pricing of future policy changes on the part of the Fed are at or near zero, resulting in a flatter rate curve. This leaves us with slightly lower return prospects in the mortgage market going forward, but returns are still quite attractive in a historical context. We feel comfortable with our slightly revised dividend rate and view current market conditions as still quite conducive to the performance of levered Agency RMBS investing."
Details of First Quarter 2026 Results of Operations
The Company reported net loss of $(20.0) million for the three month period ended March 31, 2026, compared with a net income of $17.1 million for the three month period ended March 31, 2025. Interest income on the portfolio in the first quarter was up approximately $25.7 million from the fourth quarter of 2025. The yield on our average Agency RMBS increased from 5.57% in the fourth quarter of 2025 to 5.75% for the first quarter of 2026, and our repurchase agreement borrowing costs decreased from 4.14% for the fourth quarter of 2025 to 3.84% for the first quarter of 2026. Book value decreased by $0.46 per share in the first quarter of 2026. The decrease in book value reflects our net loss of $0.11 per share and the dividend distribution of $0.36 per share. The Company recorded net realized and unrealized losses of $69.6 million on Agency RMBS assets and derivative instruments, including net interest income on interest rate swaps.
Prepayments
For the quarter ended March 31, 2026, Orchid received $404.7 million in scheduled and unscheduled principal repayments and prepayments, which equated to a 3-month constant prepayment rate ("CPR") of approximately 14.7%. Prepayment rates on the two RMBS sub-portfolios were as follows (in CPR):
Total
Three Months Ended
Portfolio (%)
March 31, 2026
14.7
December 31, 2025
15.7
September 30, 2025
10.1
June 30, 2025
10.1
March 31, 2025
7.8
Portfolio
The following tables summarize certain characteristics of Orchid's PT RMBS (as defined below) and structured RMBS as of March 31, 2026 and December 31, 2025:
($ in thousands)
Asset Category
FairValue
PercentageofEntirePortfolio
WeightedAverageCoupon
WeightedAverageMaturityinMonths
LongestMaturity
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 ofEntire Portfolio
Fair Value
Percentage ofEntire 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 1.0% would be expected to cause a 3.005% decrease in the value of the RMBS in the Company's investment portfolio. As of December 31, 2025, the Company's portfolio had an effective duration of 2.513, indicating that an interest rate increase of 1.0% would be expected to cause a 2.513% decrease in the value of the RMBS in the Company's investment portfolio.
Financing, Leverage and Liquidity
As of March 31, 2026, the Company had outstanding repurchase obligations of approximately $10.9 billion with a net weighted average borrowing rate of 3.79%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $11.3 billion and cash pledged to counterparties of approximately $82.6 million. The Company's adjusted leverage ratio, defined as the balance of repurchase agreement liabilities divided by stockholders' equity, at March 31, 2026 was 7.8 to 1. At March 31, 2026, the Company's liquidity was approximately $759.0 million consisting of cash and cash equivalents and unpledged securities. Below is a list of our outstanding borrowings under repurchase obligations at March 31, 2026.
($ in thousands)
Counterparty
TotalOutstandingBalances
% ofTotal
WeightedAverageBorrowingRate
WeightedAverageMaturityin 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
