Orchid Island Capital(US:ORC)2023-08-10 08:11Financial Highlights - The company's net income per share was $0.25[9] - Excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, the net earnings per share was ($0.34)[9] - The company had a gain of $0.59 per share from net realized and unrealized gains on RMBS and derivative instruments[9] - The book value per share was $11.16 at June 30, 2023, compared to $11.55 at March 31, 2023[9] - The company declared and paid $0.48 per share in dividends in Q2 2023, and has declared a total of $65.77 per share in dividends since its IPO[9] - The total economic gain for the quarter was $0.09 per share, or 0.78%[9] Portfolio Characteristics - As of June 30, 2023, total mortgage assets were valued at $4,473,323,493[57], with a weighted average coupon (CPN) of 3.81%[57] and weighted average maturity (WA Mat) of 331 months[57] - Pass-through MBS comprised 99.60% of the portfolio, with a market value of $4,455,554,930[57] - Structured MBS represented 0.397% of the portfolio, with a market value of $17,768,563[57] - The interest rate sensitivity of the portfolio was $113,489,015 for a -50 BPS shock and ($119,797,621) for a +50 BPS shock[57] Hedge Positions - The company held hedge positions with an average notional balance of ($4,035,200,000)[57] - These hedges included 5-Year Treasury Futures, 10-Year Treasury Futures, 10-Year Ultra Treasury Futures, Swaps, TBA, and Swaptions[57] - The total interest rate sensitivity of the hedge positions was ($99,119,651) for a -50 BPS shock and $100,362,186 for a +50 BPS shock[57]