TORTOLA, British Virgin Islands, Aug. 22, 2024 (GLOBE NEWSWIRE) -- Orca Energy Group Inc. ("Orca" or the "Company" and includes its subsidiaries and affiliates) (TSX-V: ORC.A, ORC.B) today announces that it has filed its condensed consolidated interim financial statements and management's discussion and analysis for the three and six month periods ended June 30, 2024 ("Q2 2024") with the Canadian securities regulatory authorities. All amounts are in United States dollars ("$") unless otherwise stated. Highl ...

TORTOLA, British Virgin Islands, Aug. 21, 2024 (GLOBE NEWSWIRE) -- Orca Energy Group Inc. ("Orca" or the "Company") (TSX-V: ORC.A, ORC.B) today announced that its Board of Directors has declared a quarterly cash dividend of $0.10 (Cdn) per Class A Common Voting Share ("Class A Shares") of the Company and $0.10 (Cdn) per Class B Subordinate Voting Share ("Class B Shares") of the Company. The dividend will be payable on October 14 , 2024 to holders of Class A Shares and Class B Shares of record on September 3 ...

TORTOLA, British Virgin Islands, Aug. 07, 2024 (GLOBE NEWSWIRE) -- Orca Energy Group Inc. ("Orca" or the "Company" and includes its subsidiaries and affiliates) (TSX-V: ORC.A, ORC.B) announces that its 100% wholly-owned subsidiaries, PanAfrican Energy (Tanzania) ("PAET") and Pan African Energy Corporation (Mauritius) ("PAEM"), have issued a notice of dispute in respect of an investment treaty claim under the Agreement on Promotion and Reciprocal Protection of Investment between the Government of the Republi ...

Net Income (Loss)4 Q2 24 Q2 24 $(0.09) $8.58 Total Return 2 Q2 24 Q2 24 (1.97)% $0.36 Orchid Island Capital (NYSE:ORC) reported earnings last week where results were mostly in line with expectations. The company reported a net loss of 9 cents per share for the quarter, and its book value dropped from $9.12 to $8.58 during the quarter. The total return margin carne at -1.97%, significantly down from the previous quarter's 4.18%. Despite these worsening conditions, the company kept its dividend same as before ...

Financial Performance - Net income for the six months ended June 30, 2024, was $14.8 million, or $0.27 per share, compared to $13.8 million, or $0.35 per share for the same period in 2023[372] - Net loss for the three months ended June 30, 2024, was $5.0 million, or $0.09 per share, compared to net income of $10.2 million, or $0.25 per share for the same period in 2023[372] - Average outstanding borrowings for the six months ended June 30, 2024, were $3.9 billion, with total interest expense of $105.1 million, compared to $3.8 billion and $90.9 million for the same period in 2023[393] - Total operating expenses for the six months ended June 30, 2024, were approximately $8.1 million, down from $9.8 million for the same period in 2023[401] Interest Expense and Cost of Funds - Average outstanding borrowings were $4.0 billion for both the three months ended June 30, 2024, and 2023, with total interest expense increasing to $53.8 million from $48.7 million[379] - The average cost of funds increased to 5.34% for the three months ended June 30, 2024, compared to 4.88% for the same period in 2023[379] - The average cost of funds increased to 5.43% for the six months ended June 30, 2024, from 4.81% in the same period of 2023, resulting in a $14.2 million increase in interest expense[393] - Economic interest expense was $24.3 million for the three months ended June 30, 2024, down from $25.2 million in 2023, with a decrease in the average economic cost of funds to 2.41%[380] - Economic interest expense for the six months ended June 30, 2024, was $48.1 million, slightly down from $48.2 million in the same period of 2023[395] RMBS Portfolio and Performance - The average portfolio size for RMBS held was $4.2 billion for the three months ended June 30, 2024, generating interest income of $53.1 million with a yield of 5.05%[391] - The RMBS portfolio as of June 30, 2024, consisted of $4,525.8 million in Agency RMBS at fair value, with a weighted average coupon of 4.68%[404] - Principal repayments received during the six months ended June 30, 2024, totaled $172.6 million, up from $138.4 million in the same period of 2023[404] - The average three-month prepayment speed increased to 7.6% for the quarter ended June 30, 2024, compared to 5.6% for the same quarter in 2023[404] Management and Strategy - The company aims to enhance liquidity and earnings stability by actively managing the allocation of capital between different Agency RMBS asset categories[368] - The management agreement with Bimini Advisors, LLC has been renewed through February 20, 2025, with automatic one-year extension options thereafter[387] - The company’s strategy involves funding PT RMBS and structured Agency RMBS through short-term borrowings structured as repurchase agreements[368] Financial Instruments and Risk Management - The company utilizes various financial instruments such as futures contracts, interest rate swaps, and swaptions to hedge against interest rate changes affecting operations[177] - The profitability and investment portfolio value may be adversely impacted by changing interest rates, including shifts in the forward yield curve[178] - The effective duration of mortgage-related securities is influenced by prepayment activity, which can significantly alter cash flow timing[180] - As of June 30, 2024, sensitivity analysis indicates potential fair value impacts on interest rate-sensitive investments with rate changes of ±200 bps, reflecting a negatively convex asset profile[181] REIT Compliance - The company must distribute at least 90% of its REIT taxable income to maintain REIT status, avoiding federal income tax on taxable income[188]

[Second Quarter 2024 Financial Highlights & Management Commentary](index=1&type=section&id=Second%20Quarter%202024%20Financial%20Highlights%20%26%20Management%20Commentary) Orchid Island Capital reported a Q2 2024 net loss, increased its Agency RMBS portfolio, and raised equity, anticipating a Federal Reserve policy pivot Q2 2024 Key Financial Metrics | Metric | Value | | :--- | :--- | | Net Loss | $5.0 million | | Net Loss per Common Share | $0.09 | | Dividends Declared and Paid per Share | $0.36 | | Book Value per Common Share (at June 30, 2024) | $8.58 | | Total Return | (1.97)% | | Liquidity (Cash & Unpledged Securities) | $265.3 million | - Management believes the Federal Reserve may be nearing a pivot to ease monetary policy due to moderating economic growth and inflation, with market pricing suggesting two to three rate cuts by year-end 2024[3](index=3&type=chunk) - The company raised approximately **$100.7 million** in common equity via its at-the-market program during Q2 2024[4](index=4&type=chunk) - Proceeds from the equity raise were used to increase the portfolio size by approximately **16.6%** in Q2 2024, capitalizing on attractive spreads in Agency RMBS[4](index=4&type=chunk) [Detailed Financial & Operational Performance](index=2&type=section&id=Detailed%20Financial%20%26%20Operational%20Performance) The company's Q2 2024 operations showed a net loss, increased prepayment rates, and expanded mortgage assets, supported by financing and hedging activities [Results of Operations](index=2&type=section&id=Results%20of%20Operations) The company reported a Q2 2024 net loss, with slight changes in RMBS yield and borrowing costs, impacting book value per share Q2 2024 vs Q1 2024 Performance | Metric | Q2 2024 | Q1 2024 | | :--- | :--- | :--- | | Yield on Average Agency RMBS | 5.05% | 5.03% | | Repurchase Agreement Borrowing Costs | 5.34% | 5.54% | - Book value decreased by **$0.54 per share** in Q2 2024, reflecting a net loss of **$0.09 per share** and a dividend of **$0.36 per share**[6](index=6&type=chunk) [Prepayments](index=2&type=section&id=Prepayments) Orchid received significant principal repayments in Q2 2024, leading to an increased constant prepayment rate Constant Prepayment Rate (CPR) Trend | Quarter Ended | Total Portfolio CPR (%) | | :--- | :--- | | June 30, 2024 | 7.6 | | March 31, 2024 | 6.0 | | December 31, 2023 | 5.5 | | September 30, 2023 | 6.0 | | June 30, 2023 | 5.6 | [Portfolio Composition](index=2&type=section&id=Portfolio%20Composition) As of June 30, 2024, the mortgage asset portfolio significantly grew, primarily comprising fixed-rate RMBS, with a slight duration decrease Portfolio Fair Value Comparison ($ in thousands) | Asset Category | June 30, 2024 | December 31, 2023 | | :--- | :--- | :--- | | Fixed Rate RMBS | $4,509,084 | $3,877,082 | | Interest-Only Securities | $16,447 | $16,572 | | Inverse Interest-Only Securities | $224 | $358 | | **Total Mortgage Assets** | **$4,525,755** | **$3,894,012** | - The portfolio's effective duration was **4.290** as of June 30, 2024, down from **4.400** at December 31, 2023[9](index=9&type=chunk) [Financing, Leverage, and Liquidity](index=3&type=section&id=Financing%2C%20Leverage%2C%20and%20Liquidity) The company maintained substantial repurchase obligations and liquidity, with an adjusted leverage ratio of 7.8 to 1 Financing and Liquidity Metrics (June 30, 2024) | Metric | Value | | :--- | :--- | | Repurchase Obligations | $4,345.7 million | | Weighted Average Borrowing Rate | 5.46% | | Adjusted Leverage Ratio | 7.8 to 1 | | Liquidity | $265.3 million | - The company has borrowing agreements with **22 active counterparties**, with the largest exposure being **6.6%** to ABN AMRO Bank N.V[10](index=10&type=chunk)[11](index=11&type=chunk) [Hedging Activities](index=4&type=section&id=Hedging%20Activities) The company actively uses various derivative instruments to hedge interest rate risk on its portfolio - The company economically hedges its repurchase agreement funding costs against rising interest rates using derivative financial instruments without electing GAAP hedge accounting treatment[12](index=12&type=chunk) Key Hedging Positions (June 30, 2024) | Instrument | Notional Amount ($ in thousands) | | :--- | :--- | | T-Note Futures (Short) | $421,500 | | Interest Rate Swaps | $3,136,800 | | TBA Securities (Short) | $(400,000) | [Capital Management & Shareholder Returns](index=5&type=section&id=Capital%20Management%20%26%20Shareholder%20Returns) The company declared Q2 2024 dividends, managed book value, strategically allocated capital, and engaged in stock offerings and repurchases [Dividends](index=5&type=section&id=Dividends) Orchid Island Capital maintains its policy of paying regular monthly dividends to satisfy REIT qualification requirements Dividends Declared Per Share | Period | Per Share Amount | | :--- | :--- | | 2024 - YTD | $0.840 | | 2023 | $1.800 | | 2022 | $2.475 | - The company intends to pay regular monthly dividends to stockholders to satisfy REIT qualification requirements, which mandate distributing at least **90%** of REIT taxable income[22](index=22&type=chunk) [Book Value Per Share](index=5&type=section&id=Book%20Value%20Per%20Share) As of June 30, 2024, the company's book value per share was calculated based on total stockholders' equity and outstanding shares Book Value Calculation (June 30, 2024) | Metric | Value | | :--- | :--- | | Total Stockholders' Equity | $555.9 million | | Common Stock Outstanding | 64,824,374 shares | | **Book Value Per Share** | **$8.58** | [Capital Allocation and Return on Invested Capital](index=6&type=section&id=Capital%20Allocation%20and%20Return%20on%20Invested%20Capital) Capital is primarily allocated to pass-through RMBS, with varying returns across portfolios Capital Allocation as of June 30, 2024 | Portfolio | % of Total Capital | | :--- | :--- | | Pass-Through Portfolio | 96.2% | | Structured Security Portfolio | 3.8% | Return on Invested Capital for Q2 2024 | Portfolio | Return on Invested Capital | | :--- | :--- | | Pass-Through Portfolio | (0.5)% | | Structured Security Portfolio | 6.2% | | **Total Portfolio** | **(0.2)%** | [Stock Offerings](index=7&type=section&id=Stock%20Offerings) The company actively uses "at the market" equity distribution agreements to raise capital - On June 11, 2024, the company entered into a new equity distribution agreement to offer and sell up to **$250 million** of common stock[35](index=35&type=chunk) - Through June 30, 2024, **$16.9 million** in gross proceeds were raised under the new June 2024 agreement. An additional **$55.5 million** was raised subsequent to the quarter end[35](index=35&type=chunk) [Stock Repurchase Program](index=8&type=section&id=Stock%20Repurchase%20Program) The company has an active stock repurchase program with a significant remaining authorization Stock Repurchase Activity (Six Months Ended June 30, 2024) | Metric | Value | | :--- | :--- | | Shares Repurchased | 332,773 | | Aggregate Cost | ~$2.8 million | | Weighted Average Price | $8.35 per share | - The stock repurchase program has no termination date and the remaining authorization represents approximately **18%** of the outstanding shares as of October 12, 2022[36](index=36&type=chunk) [Summarized Financial Statements](index=9&type=section&id=Summarized%20Financial%20Statements) Unaudited Q2 2024 financial statements show increased assets and equity, a net loss, and key performance metrics including interest rate spreads [Balance Sheets](index=9&type=section&id=Balance%20Sheets) As of June 30, 2024, total assets and liabilities increased, while stockholders' equity grew and book value per share decreased Balance Sheet Summary ($ in thousands) | Account | June 30, 2024 | December 31, 2023 | | :--- | :--- | :--- | | Total Assets | $4,929,905 | $4,264,947 | | Total Liabilities | $4,373,973 | $3,795,002 | | Total Stockholders' Equity | $555,932 | $469,945 | | Book Value Per Share | $8.58 | $9.10 | [Statements of Comprehensive Income (Loss)](index=10&type=section&id=Statements%20of%20Comprehensive%20Income%20%28Loss%29) For Q2 2024, the company reported a net loss, a downturn from the prior year, driven by net interest expense and operating costs Income Statement Summary - Three Months Ended June 30 ($ in thousands) | Account | 2024 | 2023 | | :--- | :--- | :--- | | Net Interest Expense | $(697) | $(8,760) | | Gains on RMBS and derivative contracts | $98 | $23,828 | | Expenses | $4,380 | $4,819 | | **Net Income (Loss)** | **$(4,979)** | **$10,249** | | **Basic and Diluted EPS** | **$(0.09)** | **$0.25** | [Key Performance Metrics](index=10&type=section&id=Key%20Performance%20Metrics) Q2 2024 metrics include average RMBS yield, cost of funds, economic interest rate spread, and adjusted leverage ratio Key Performance Metrics - Three Months Ended June 30 | Metric | 2024 | 2023 | | :--- | :--- | :--- | | Average Yield on RMBS | 5.05% | 3.81% | | Average Cost of Funds | 5.34% | 4.88% | | Average Economic Interest Rate Spread | 2.64% | 1.28% | | Adjusted Leverage Ratio (End of Period) | 7.8:1 | 8.6:1 | [Corporate Information](index=8&type=section&id=Corporate%20Information) Orchid Island Capital is a specialty finance company managed by Bimini Advisors, LLC, with an upcoming earnings conference call [About Orchid Island Capital, Inc.](index=8&type=section&id=About%20Orchid%20Island%20Capital%2C%20Inc.) Orchid Island Capital, Inc. is a specialty finance company investing in Agency RMBS on a leveraged basis - The company's investment strategy focuses on traditional pass-through Agency RMBS (like mortgage pass-through certificates and CMOs) and structured Agency RMBS (like IOs and IIOs)[39](index=39&type=chunk) [Conference Call Information](index=8&type=section&id=Conference%20Call%20Information) An earnings conference call is scheduled for July 26, 2024, to discuss the quarterly results - Earnings conference call scheduled for Friday, July 26, 2024, at **10:00 AM ET**[38](index=38&type=chunk) [Forward-Looking Statements](index=8&type=section&id=Forward-Looking%20Statements) This report contains forward-looking statements subject to risks and uncertainties, with no obligation for updates - The report includes forward-looking statements concerning economic conditions, Fed actions, and company performance, which are subject to risks and uncertainties[40](index=40&type=chunk)

Earnings Results - Orchid Island Capital (ORC) announced an unchanged monthly dividend of $0.12 per share for July 2024, consistent with June 2024, following a 25% reduction in October 2023 [6] - The company issued 12.0 million shares of common stock during Q2 2024, representing 23% of outstanding shares as of March 31, 2024, to invest in higher coupon fixed-rate agency MBS [6] - The current book value (BV) per share is projected at $8.60, with a reported BV of $8.58, indicating a slight miss of 0.23% [8] Financial Metrics - The net spread less operational expenses metric, considered a core earnings equivalent, showed a minor variance of $0.003, indicating stability in core earnings despite a modest BV loss [11] - The reported earnings per share for Q2 2024 was -$0.092, slightly better than the projected -$0.095, reflecting a 3.16% improvement [8] - The dividend yield stands at 16.90%, with a payout ratio of -1631%, indicating a significant discrepancy between earnings and dividends [9] Market Position and Valuation - ORC is considered modestly overvalued, with a recommendation to remain patient before investing until valuations improve [6] - The risk/performance rating for ORC remains at 4.5, reflecting the current market environment and expectations of "higher-for-longer" rates during 2024 [13][11] - The price to NAV ratio is 0.99, indicating that the stock is trading close to its net asset value [9] Commentary and Recommendations - Management is encouraged to provide an updated core earnings equivalent metric that includes current period hedging income for better comparability with peers [10] - The company experienced a modest quarterly BV loss due to widening agency MBS spreads, which negatively impacted sector BVs [11] - A minor increase in the company's CPR was anticipated as it shifted towards investing in higher coupon MBS, which typically have higher prepayment rates [11]

Core Viewpoint - The article discusses the challenges faced by younger generations in the housing market due to rising home prices and interest rates, leading to a need for additional income sources, particularly through dividend-paying stocks to achieve passive income [1][2]. Summary by Sections Housing Market Challenges - Homeowners are experiencing increased home values due to higher interest rates, while younger generations are struggling to find affordable housing options [1]. - The Federal Reserve Bank of Atlanta reports that the median household now requires over 40% of its income to cover payments on a median-priced home [1]. Solutions for Income Generation - To cope with rising costs, households are advised to either cut expenses or find ways to increase income, such as through additional jobs or passive income sources [2]. - Dividend-paying stocks are highlighted as a viable option for generating monthly income, with a suggested investment of $30,000 in specific stocks to achieve approximately $2,000 in monthly dividends [2]. Recommended Stocks for Investment 1. **Orchid Island Capital (NYSE: ORC)** - Yield: 17.06% - Monthly Dividend Income: ~$426.50 - Focuses on Residential Mortgage Backed Securities (RMBS) [3]. 2. **AGNC Investment Corp. (NASDAQ: AGNC)** - Yield: 15.43% - Monthly Dividend Income: ~$385.75 - Invests primarily in US Government Agency mortgage securities [5]. 3. **Nuveen Credit Strategies Income Fund (NYSE: JQC)** - Yield: 11.82% - Monthly Dividend Income: ~$295.50 - Invests in global senior loans and high yield corporate debt [6]. 4. **PennantPark Floating Rate Capital Ltd. (NYSE: PFLT)** - Yield: 10.70% - Monthly Dividend Income: ~$267.50 - Engages in private debt and equity finance for small-cap and middle-market companies [8]. 5. **Calamos Convertible Opportunities and Income Fund (NASDAQ: CHI)** - Yield: 10.34% - Monthly Dividend Income: ~$258.50 - Focuses on the convertible bond market [9]. 6. **EPR Properties (NYSE: EPR)** - Yield: 8.33% - Monthly Dividend Income: ~$208.25 - Specializes in diversified experiential real estate investments [10]. 7. **BlackRock Health Sciences Term Trust (NYSE: BMEZ)** - Yield: 8.10% - Monthly Dividend Income: ~$202.50 - Invests in healthcare and life science sectors [12]. Total Potential Income - The combined monthly dividend income from the recommended stocks totals approximately $2,045.00, providing a potential solution for households seeking additional income [13].

[PART I. FINANCIAL INFORMATION](index=4&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) This section provides the company's financial statements and related disclosures for the reporting period [Financial Statements](index=4&type=section&id=ITEM%201.%20Financial%20Statements) This section presents the unaudited condensed financial statements for Orchid Island Capital, Inc. for the quarterly period ended March 31, 2024 [Condensed Balance Sheets](index=4&type=section&id=Condensed%20Balance%20Sheets) This section presents the company's financial position, detailing assets, liabilities, and equity at specific points in time Condensed Balance Sheet Highlights (Unaudited) | Account | March 31, 2024 ($ in thousands) | December 31, 2023 ($ in thousands) | | :--- | :--- | :--- | | **Total Assets** | **$4,214,662** | **$4,264,947** | | Mortgage-backed securities, at fair value | $3,881,078 | $3,894,012 | | Cash and cash equivalents | $190,373 | $171,893 | | **Total Liabilities** | **$3,733,031** | **$3,795,002** | | Repurchase agreements | $3,711,498 | $3,705,649 | | **Total Stockholders' Equity** | **$481,631** | **$469,945** | - Total assets slightly decreased from **$4.26 billion** at year-end 2023 to **$4.21 billion** at the end of Q1 2024. Total stockholders' equity increased from **$469.9 million** to **$481.6 million** during the same period[9](index=9&type=chunk) [Condensed Statements of Comprehensive Income](index=5&type=section&id=Condensed%20Statements%20of%20Comprehensive%20Income) This section details the company's financial performance, including net income and other comprehensive income components Statement of Comprehensive Income Summary (Unaudited) | Metric | Three Months Ended Mar 31, 2024 ($ in thousands) | Three Months Ended Mar 31, 2023 ($ in thousands) | | :--- | :--- | :--- | | Net interest expense | $(2,490) | $(4,205) | | Unrealized (losses) gains on securities | $(61,895) | $53,895 | | Gains (losses) on derivative instruments | $87,899 | $(41,156) | | **Net income** | **$19,776** | **$3,530** | | **Basic and diluted net income per share** | **$0.38** | **$0.09** | - Net income for Q1 2024 was **$19.8 million**, a substantial increase from **$3.5 million** in Q1 2023. This was primarily due to significant gains on derivative and other hedging instruments, which more than offset the unrealized losses on mortgage-backed securities[11](index=11&type=chunk) [Condensed Statements of Stockholders' Equity](index=6&type=section&id=Condensed%20Statements%20of%20Stockholders%27%20Equity) This section outlines changes in the company's equity over the period, including net income, dividends, and share transactions - Total stockholders' equity increased from **$469.9 million** at the beginning of 2024 to **$481.6 million** at the end of Q1 2024. The increase was driven by **$19.8 million** in net income and **$13.1 million** from stock issuance, partially offset by **$18.7 million** in cash dividends and **$2.8 million** in share repurchases[13](index=13&type=chunk) [Condensed Statements of Cash Flows](index=7&type=section&id=Condensed%20Statements%20of%20Cash%20Flows) This section summarizes the company's cash inflows and outflows from operating, investing, and financing activities Cash Flow Summary (Unaudited) | Cash Flow Activity | Three Months Ended Mar 31, 2024 ($ in thousands) | Three Months Ended Mar 31, 2023 ($ in thousands) | | :--- | :--- | :--- | | Net Cash Provided By (Used In) Operating Activities | $45,009 | $(2,629) | | Net Cash Used In Investing Activities | $(39,169) | $(448,889) | | Net Cash (Used In) Provided By Financing Activities | $(2,509) | $400,257 | - Cash, cash equivalents, and restricted cash increased by **$3.3 million** during Q1 2024, ending the period at **$203.6 million**[15](index=15&type=chunk) [Notes to Condensed Financial Statements](index=8&type=section&id=Notes%20to%20Condensed%20Financial%20Statements) This section provides detailed explanations and disclosures supporting the condensed financial statements - The company invests primarily in residential mortgage-backed securities (RMBS) and has elected to account for them under the fair value option. It operates as a Real Estate Investment Trust (REIT)[17](index=17&type=chunk)[28](index=28&type=chunk)[42](index=42&type=chunk) - Through its 'at the market' offering program initiated in March 2023, the company has issued **14.7 million shares** for net proceeds of approximately **$140.9 million** as of March 31, 2024[19](index=19&type=chunk) - The RMBS portfolio had a fair value of **$3.88 billion** as of March 31, 2024, consisting almost entirely of fixed-rate pass-through certificates[46](index=46&type=chunk) - The company finances its RMBS portfolio primarily through repurchase agreements, which totaled **$3.71 billion** at a weighted average borrowing rate of **5.46%** as of March 31, 2024[52](index=52&type=chunk) - The company uses a variety of derivative instruments for hedging, including interest rate swaps, futures, and options. For Q1 2024, these instruments generated a net gain of **$87.9 million**[55](index=55&type=chunk)[69](index=69&type=chunk) - During Q1 2024, the company repurchased **332,773 shares** of its common stock at an aggregate cost of **$2.8 million**. The remaining authorization under the stock repurchase program was **3,895,829 shares** as of April 25, 2024[87](index=87&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=26&type=section&id=ITEM%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the company's Q1 2024 performance, financial condition, and market outlook Net Income Summary | Metric | Q1 2024 ($ in thousands) | Q1 2023 ($ in thousands) | Change ($ in thousands) | | :--- | :--- | :--- | :--- | | Net interest expense | (2,490) | (4,205) | 1,715 | | Gains on RMBS and derivative contracts | 26,004 | 12,739 | 13,265 | | Total expenses | (3,738) | (5,004) | 1,266 | | **Net income** | **19,776** | **3,530** | **16,246** | Economic Net Interest Income (Non-GAAP) | Metric | Q1 2024 ($ in thousands) | Q1 2023 ($ in thousands) | | :--- | :--- | :--- | | GAAP Net Interest (Expense) Income | $(2,490) | $(4,205) | | Gains (Losses) on Derivative Instruments Attributed to Current Period | $27,587 | $19,211 | | **Economic Net Interest Income** | **$25,097** | **$15,006** | - The company's economic leverage was **7.0 to 1** at March 31, 2024, an increase from **6.7 to 1** at December 31, 2023. Adjusted leverage, which only considers repurchase agreements, was **7.7 to 1**[192](index=192&type=chunk)[193](index=193&type=chunk) - The average 3-month constant prepayment rate (CPR) for the portfolio was **6.0%** in Q1 2024, compared to **4.0%** in Q1 2023[179](index=179&type=chunk)[183](index=183&type=chunk) - Management's outlook notes that strong economic data and persistent inflation have pushed back market expectations for Fed rate cuts. Despite this, Agency RMBS performed relatively well in Q1 2024, supported by declining interest rate volatility[207](index=207&type=chunk)[227](index=227&type=chunk)[228](index=228&type=chunk) [Quantitative and Qualitative Disclosures about Market Risk](index=44&type=section&id=ITEM%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) This section outlines the company's exposure to various market risks, with a primary focus on interest rate risk - The primary market risks identified are interest rate risk, prepayment risk, spread risk, liquidity risk, extension risk, and counterparty credit risk[234](index=234&type=chunk) Interest Rate Sensitivity Analysis on Book Value (as of March 31, 2024) | Change in Interest Rate | Estimated Change in Book Value (%) | | :--- | :--- | | -200 Basis Points | (17.67)% | | -100 Basis Points | (4.66)% | | +100 Basis Points | (2.27)% | | +200 Basis Points | (10.25)% | - The sensitivity analysis highlights the portfolio's negative convexity, where significant rate movements in either direction are projected to result in a decrease in book value. This is due to the nature of mortgage assets and the linear profile of the hedge portfolio[243](index=243&type=chunk) - Liquidity risk arises from financing long-term assets with short-term borrowings (repurchase agreements). As of March 31, 2024, the company had **$190.4 million** in unrestricted cash and **$25.3 million** in unpledged securities to meet margin calls and for other purposes[252](index=252&type=chunk) [Controls and Procedures](index=47&type=section&id=ITEM%204.%20Controls%20and%20Procedures) Management, with the participation of the CEO and CFO, evaluated the company's disclosure controls and procedures - The CEO and CFO concluded that the company's disclosure controls and procedures were effective as of March 31, 2024[256](index=256&type=chunk) - There were no significant changes in internal control over financial reporting during the first quarter of 2024[257](index=257&type=chunk) [PART II. OTHER INFORMATION](index=49&type=section&id=PART%20II.%20OTHER%20INFORMATION) This section covers additional required disclosures including legal proceedings, risk factors, and other miscellaneous information [Legal Proceedings](index=49&type=section&id=ITEM%201.%20Legal%20Proceedings) The company states that it is not currently a party to any material pending legal proceedings - As of the reporting date, the company is not involved in any material pending legal proceedings[259](index=259&type=chunk) [Risk Factors](index=49&type=section&id=ITEM%201A.%20Risk%20Factors) The company reports that there have been no material changes in its risk factors from those disclosed in its Annual Report on Form 10-K for the year ended December 31, 2023 - There have been no material changes to the company's risk factors since its 2023 Annual Report on Form 10-K[260](index=260&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=49&type=section&id=ITEM%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) This section confirms that there were no unregistered sales of equity securities during Q1 2024 - The company had no unregistered sales of its equity securities during the three months ended March 31, 2024[261](index=261&type=chunk) Share Repurchase Activity - Q1 2024 | Period | Total Shares Repurchased | Weighted Average Price Paid Per Share | Shares Purchased as Part of Publicly Announced Program | | :--- | :--- | :--- | :--- | | Jan 2024 | 332,773 | $8.35 | 332,773 | | Feb 2024 | - | - | - | | Mar 2024 | 14,288 (1) | $8.71 | - | | **Total** | **347,061** | **$8.36** | **332,773** | - Note (1): Includes **14,288 shares** acquired to satisfy tax withholding on vested employee awards, which do not reduce the repurchase program authorization[263](index=263&type=chunk) [Defaults upon Senior Securities](index=49&type=section&id=ITEM%203.%20Defaults%20upon%20Senior%20Securities) The company reports that there were no defaults upon senior securities - None[264](index=264&type=chunk) [Mine Safety Disclosures](index=49&type=section&id=ITEM%204.%20Mine%20Safety%20Disclosures) This item is not applicable to the company's business - Not Applicable[265](index=265&type=chunk) [Other Information](index=49&type=section&id=ITEM%205.%20Other%20Information) The company reports that there is no other information to disclose for this item - None[266](index=266&type=chunk) [Exhibits](index=50&type=section&id=ITEM%206.%20Exhibits) This section lists the exhibits filed with the Form 10-Q - Exhibits filed include Sarbanes-Oxley Section 302 and 906 certifications from the CEO and CFO, and Inline XBRL instance and taxonomy documents[269](index=269&type=chunk)

Financial Data and Key Metrics Changes - For Q1 2024, the company's net income decreased to $0.38 from $0.52 in Q4 2023, while book value increased slightly by $0.02 [3] - Total return was 4.18% compared to 6.05% in Q4 2023, and the dividend remained unchanged for the quarter [3] - The economic cost of funds decreased from 2.67% to 2.56% during the quarter [16] Business Line Data and Key Metrics Changes - The average coupon of the portfolio increased by 5 basis points, with the realized yield rising from 4.71% to 5.03% for the quarter [59] - The economic net interest spread improved to 2.47% from 2.04% in the previous quarter [59] Market Data and Key Metrics Changes - The repo market showed no signs of stress, with adequate funding and no changes in haircuts [44][69] - Volatility decreased significantly, which supported mortgage performance during the first quarter [29] Company Strategy and Development Direction - The company is focusing on a barbell strategy, increasing exposure to both lower and higher coupons while avoiding the belly of the coupon stack [19][64] - The company plans to reassess its dividend policy after Q2 based on taxable income estimates and market conditions [27][73] Management's Comments on Operating Environment and Future Outlook - Management noted that the current economic environment is characterized by high rates and uncertainty regarding future Fed actions, which could impact book value and earnings [35][84] - The company believes it can maintain stable book value and cover the dividend under current conditions, despite potential volatility [84] Other Important Information - The company has maintained a high level of hedging, which has been effective in protecting book value [17][66] - The portfolio has migrated towards higher coupons and lower duration assets, which helps in managing risks associated with interest rate movements [19][38] Q&A Session Summary Question: Can you talk about the repo markets and the overall health? - Management indicated no signs of stress in the repo markets, with adequate funding and stable haircuts [44] Question: Have you continued to add higher coupons in the second quarter? - Management stated that while they have not yet added higher coupons, it is on the horizon and they plan to continue this strategy [45][70] Question: Can you clarify your comments on the dividend going forward? - Management confirmed that the dividend is currently $0.12 and will be reevaluated mid-year based on taxable income estimates [48][73] Question: What do you see benefiting more, earnings or book value? - Management suggested that if the curve remains inverted, book value should be stable, allowing for dividend coverage [103]