Orchid Island Capital Announces December 2022 Monthly Dividend and November 30, 2022 RMBS Portfolio Characteristics
- December 2022 Monthly Dividend of $0.16 Per Share of Common Stock
- RMBS Portfolio Characteristics as of November 30, 2022
- Estimated Book Value per common share of $11.95 to $12.05 as of December 9, 2022
- Next Dividend Announcement Expected January 11, 2023
VERO BEACH, Fla.–(BUSINESS WIRE)–Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of December 2022. The dividend of $0.16 per share will be paid January 27, 2023 to holders of record of the Company’s common stock on December 30, 2022, with an ex-dividend date of December 29, 2022. The Company plans on announcing its next common stock dividend on January 11, 2023.
The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.
As of December 13, 2022 and November 30, 2022, the Company had 37,307,255 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of November 30, 2022 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 (Whole Pool) Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
Estimated December 9, 2022 Book Value Per Share
The Company estimates book value per share as of December 9, 2022 to be approximately $11.95 to $12.05 per share, an increase of approximately 5% to 10% from the book value at September 30, 2022 of $11.42 per share. The estimated book value per share includes a deduction for the Company’s November 2022 dividend that will be paid on December 28, 2022, which was declared on November 9, 2022 with a November 30, 2022 record date. The estimated book value per share is unaudited and has not been verified or reviewed by any third party. The Company undertakes no obligation to update or revise its estimated book value per share.
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions and expected funding of purchased assets. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.
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RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
Realized |
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Nov 2022 |
Sep – Nov |
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Modeled |
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Modeled |
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Net |
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Weighted |
CPR |
2022 CPR |
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Interest |
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Interest |
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% |
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Weighted |
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Average |
(1-Month) |
(3-Month) |
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Rate |
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Rate |
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Current |
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Fair |
of |
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Current |
Average |
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Maturity |
(Reported |
(Reported |
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Sensitivity |
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Sensitivity |
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Type |
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Face |
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Value(1) |
Portfolio |
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Price |
Coupon |
GWAC |
Age |
(Months) |
in Dec) |
in Dec) |
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(-50 BPS)(1) |
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(+50 BPS)(2) |
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Pass Through RMBS |
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15yr 4.0 |
$ |
402 |
|
$ |
396 |
0.01 |
% |
$ |
98.47 |
4.00 |
% |
4.54 |
% |
55 |
124 |
0.8 |
% |
0.8 |
% |
$ |
7 |
|
$ |
(7 |
) |
|
|
15yr Total |
|
402 |
|
|
396 |
0.01 |
% |
|
98.47 |
4.00 |
% |
4.54 |
% |
55 |
124 |
0.8 |
% |
0.8 |
% |
|
7 |
|
|
(7 |
) |
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30yr 3.0 |
|
2,569,029 |
|
|
2,282,232 |
64.08 |
% |
|
88.84 |
3.00 |
% |
3.44 |
% |
19 |
337 |
5.1 |
% |
5.1 |
% |
|
70,791 |
|
|
(72,990 |
) |
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|
30yr 3.5 |
|
216,501 |
|
|
201,628 |
5.66 |
% |
|
93.13 |
3.50 |
% |
4.03 |
% |
33 |
318 |
6.7 |
% |
6.3 |
% |
|
5,383 |
|
|
(5,509 |
) |
|
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30yr 4.0 |
|
272,939 |
|
|
259,238 |
7.28 |
% |
|
94.98 |
4.00 |
% |
4.72 |
% |
17 |
341 |
5.3 |
% |
7.0 |
% |
|
6,013 |
|
|
(6,527 |
) |
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30yr 4.5 |
|
369,651 |
|
|
359,870 |
10.10 |
% |
|
97.35 |
4.50 |
% |
5.45 |
% |
5 |
355 |
1.7 |
% |
n/a |
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|
6,218 |
|
|
(7,188 |
) |
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30yr 5.0 |
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440,411 |
|
|
438,310 |
12.31 |
% |
|
99.52 |
5.00 |
% |
5.90 |
% |
4 |
356 |
2.8 |
% |
0.8 |
% |
|
6,916 |
|
|
(8,128 |
) |
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30yr Total |
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3,868,531 |
|
|
3,541,278 |
99.43 |
% |
|
91.54 |
3.47 |
% |
4.03 |
% |
17 |
340 |
4.7 |
% |
5.0 |
% |
|
95,321 |
|
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(100,342 |
) |
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Total Pass Through RMBS |
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3,868,933 |
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3,541,674 |
99.44 |
% |
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91.54 |
3.47 |
% |
4.03 |
% |
17 |
340 |
4.7 |
% |
5.0 |
% |
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95,328 |
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(100,349 |
) |
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Structured RMBS |
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IO 20yr 4.0 |
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10,964 |
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1,149 |
0.03 |
% |
|
10.48 |
4.00 |
% |
4.57 |
% |
131 |
102 |
10.5 |
% |
10.0 |
% |
|
3 |
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(5 |
) |
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IO 30yr 3.0 |
|
3,232 |
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|
399 |
0.01 |
% |
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12.34 |
3.00 |
% |
3.64 |
% |
94 |
256 |
3.9 |
% |
1.8 |
% |
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(3 |
) |
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– |
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IO 30yr 4.0 |
|
92,311 |
|
|
16,767 |
0.47 |
% |
|
18.16 |
4.00 |
% |
4.60 |
% |
100 |
252 |
5.9 |
% |
6.5 |
% |
|
(586 |
) |
|
458 |
|
|
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IO 30yr 4.5 |
|
3,966 |
|
|
733 |
0.02 |
% |
|
18.47 |
4.50 |
% |
4.99 |
% |
149 |
197 |
6.6 |
% |
8.0 |
% |
|
(13 |
) |
|
9 |
|
|
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IO 30yr 5.0 |
|
2,216 |
|
|
443 |
0.01 |
% |
|
20.01 |
5.00 |
% |
5.36 |
% |
149 |
199 |
9.5 |
% |
5.3 |
% |
|
(12 |
) |
|
9 |
|
|
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IO Total |
|
112,689 |
|
|
19,491 |
0.55 |
% |
|
17.30 |
4.01 |
% |
4.60 |
% |
105 |
234 |
6.4 |
% |
6.8 |
% |
|
(611 |
) |
|
471 |
|
|
|
IIO 30yr 4.0 |
|
32,127 |
|
|
482 |
0.01 |
% |
|
1.50 |
0.58 |
% |
4.40 |
% |
62 |
287 |
9.2 |
% |
4.0 |
% |
|
104 |
|
|
(82 |
) |
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Total Structured RMBS |
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144,816 |
|
|
19,973 |
0.56 |
% |
|
13.79 |
3.25 |
% |
4.55 |
% |
96 |
246 |
7.0 |
% |
6.1 |
% |
|
(507 |
) |
|
389 |
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Total Mortgage Assets |
$ |
4,013,749 |
|
$ |
3,561,647 |
100.00 |
% |
|
|
3.46 |
% |
4.05 |
% |
19 |
337 |
4.8 |
% |
5.0 |
% |
$ |
94,821 |
|
$ |
(99,960 |
) |
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Interest |
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Interest |
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Average |
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Hedge |
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|
Rate |
|
Rate |
|||||||||
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Notional |
|
Period |
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Sensitivity |
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Sensitivity |
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Hedge |
|
Balance |
|
End |
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(-50 BPS)(2) |
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(+50 BPS)(2) |
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5-Year Treasury Future(3) |
$ |
(750,500 |
) |
|
Mar-2023 |
|
|
|
|
|
|
|
|
|
$ |
(15,942 |
) |
$ |
15,591 |
|
||||||
|
10-Year Treasury Ultra(4) |
|
(174,500 |
) |
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Mar-2023 |
|
|
|
|
|
|
|
|
|
|
(8,520 |
) |
|
8,060 |
|
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Swaps |
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(1,400,000 |
) |
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Jul-2028 |
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|
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|
|
|
(33,311 |
) |
|
32,236 |
|
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TBA |
|
(675,000 |
) |
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Jan-2023 |
|
|
|
|
|
|
|
|
|
|
(18,218 |
) |
|
19,226 |
|
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Swaptions |
|
(613,000 |
) |
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Jan-2024 |
|
|
|
|
|
|
|
|
|
|
(7,969 |
) |
|
9,714 |
|
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Hedge Total |
$ |
(3,613,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
$ |
(83,960 |
) |
$ |
84,827 |
|
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Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
10,861 |
|
$ |
(15,133 |
) |
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(1) |
Amounts in the tables above include assets with a fair value of approximately $285.3 million purchased in November 2022, which settle in December 2022. |
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(2) |
Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially. |
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(3) |
Five-year Treasury futures contracts were valued at prices of $108.57 at November 30, 2022. The market value of the short position was $814.8 million. |
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(4) |
Ten-year Treasury Ultra futures contracts were valued at prices of $119.66 at November 30, 2022. The market value of the short position was $208.8 million. |
| RMBS Assets by Agency |
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Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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($ in thousands) |
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Percentage |
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Percentage |
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Fair |
of |
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|
Fair |
of |
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Asset Category |
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Value(1) |
Portfolio |
|
Asset Category |
|
Value(1) |
Portfolio |
||
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As of November 30, 2022 |
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|
|
|
As of November 30, 2022 |
|
|
|
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Fannie Mae |
$ |
2,335,494 |
65.6 |
% |
|
Non-Whole Pool Assets |
$ |
158,160 |
4.4 |
% |
|
Freddie Mac |
|
1,226,153 |
34.4 |
% |
|
Whole Pool Assets |
|
3,403,487 |
95.6 |
% |
|
Total Mortgage Assets |
$ |
3,561,647 |
100.0 |
% |
|
Total Mortgage Assets |
$ |
3,561,647 |
100.0 |
% |
|
(1) Amounts in the tables above include assets with a fair value of approximately $285.3 million purchased in November 2022, which settle in December 2022. |
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Borrowings By Counterparty |
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($ in thousands) |
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Weighted |
Weighted |
|
||
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% of |
|
Average |
Average |
|
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|
|
|
Total |
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Total |
|
Repo |
Maturity |
Longest |
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As of November 30, 2022 |
|
Borrowings(1) |
|
Debt |
|
Rate |
in Days |
Maturity |
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Mirae Asset Securities (USA) Inc. |
$ |
312,687 |
|
10.3 |
% |
|
3.95 |
% |
64 |
5/18/2023 |
|
Merrill Lynch, Pierce, Fenner & Smith |
|
271,064 |
|
8.9 |
% |
|
3.96 |
% |
7 |
12/28/2022 |
|
Daiwa Capital Markets America Inc. |
|
250,859 |
|
8.2 |
% |
|
3.92 |
% |
15 |
12/15/2022 |
|
ING Financial Markets LLC |
|
228,279 |
|
7.5 |
% |
|
3.90 |
% |
15 |
12/15/2022 |
|
Cantor Fitzgerald & Co |
|
224,314 |
|
7.4 |
% |
|
3.93 |
% |
13 |
12/15/2022 |
|
ABN AMRO Bank N.V. |
|
218,522 |
|
7.2 |
% |
|
3.92 |
% |
13 |
12/13/2022 |
|
J.P. Morgan Securities LLC |
|
214,827 |
|
7.0 |
% |
|
3.95 |
% |
13 |
12/23/2022 |
|
RBC Capital Markets, LLC |
|
213,759 |
|
7.0 |
% |
|
3.93 |
% |
14 |
12/15/2022 |
|
ED&F Man Capital Markets Inc |
|
187,959 |
|
6.2 |
% |
|
3.85 |
% |
15 |
12/19/2022 |
|
Mitsubishi UFJ Securities (USA), Inc |
|
178,009 |
|
5.8 |
% |
|
4.20 |
% |
37 |
1/30/2023 |
|
Goldman, Sachs & Co. |
|
125,376 |
|
4.1 |
% |
|
3.99 |
% |
17 |
12/23/2022 |
|
Santander Bank, N.A. |
|
116,178 |
|
3.8 |
% |
|
4.40 |
% |
55 |
1/27/2023 |
|
StoneX Financial Inc. |
|
111,734 |
|
3.7 |
% |
|
3.92 |
% |
6 |
12/15/2022 |
|
Citigroup Global Markets Inc |
|
103,509 |
|
3.4 |
% |
|
4.28 |
% |
45 |
1/23/2023 |
|
Wells Fargo Bank, N.A. |
|
91,621 |
|
3.0 |
% |
|
3.92 |
% |
12 |
12/13/2022 |
|
BMO Capital Markets Corp. |
|
77,708 |
|
2.5 |
% |
|
4.37 |
% |
54 |
1/23/2023 |
|
ASL Capital Markets Inc. |
|
63,131 |
|
2.1 |
% |
|
4.03 |
% |
21 |
12/21/2022 |
|
South Street Securities, LLC |
|
36,656 |
|
1.2 |
% |
|
3.97 |
% |
15 |
12/15/2022 |
|
Lucid Cash Fund USG, LLC |
|
18,787 |
|
0.6 |
% |
|
3.92 |
% |
8 |
12/8/2022 |
|
Lucid Prime Fund, LLC |
|
2,662 |
|
0.1 |
% |
|
3.92 |
% |
8 |
12/8/2022 |
|
Total Borrowings |
$ |
3,047,641 |
|
100.0 |
% |
|
3.99 |
% |
23 |
5/18/2023 |
|
(1) |
In November 2022, the Company purchased assets with a fair value of approximately $285.3 million, which settle in December 2022 that are expected to be funded substantially by repurchase agreements not included in the table above. |
Contacts
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400