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.

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nov 2022

Sep – Nov

 

Modeled

 

Modeled

 

 

 

 

 

 

 

 

 

Net

 

 

Weighted

CPR

2022 CPR

 

Interest

 

Interest

 

 

 

 

 

%

 

 

 

Weighted

 

 

Average

(1-Month)

(3-Month)

 

Rate

 

Rate

 

 

Current

 

Fair

of

 

 

Current

Average

 

 

Maturity

(Reported

(Reported

 

Sensitivity

 

Sensitivity

Type

 

Face

 

Value(1)

Portfolio

 

 

Price

Coupon

GWAC

Age

(Months)

in Dec)

in Dec)

 

(-50 BPS)(1)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

)

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

)

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

)

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

)

30yr 4.5

 

369,651

 

 

359,870

10.10

%

 

 

97.35

4.50

%

5.45

%

5

355

1.7

%

n/a

 

 

6,218

 

 

(7,188

)

30yr 5.0

 

440,411

 

 

438,310

12.31

%

 

 

99.52

5.00

%

5.90

%

4

356

2.8

%

0.8

%

 

6,916

 

 

(8,128

)

30yr Total

 

3,868,531

 

 

3,541,278

99.43

%

 

 

91.54

3.47

%

4.03

%

17

340

4.7

%

5.0

%

 

95,321

 

 

(100,342

)

Total Pass Through RMBS

 

3,868,933

 

 

3,541,674

99.44

%

 

 

91.54

3.47

%

4.03

%

17

340

4.7

%

5.0

%

 

95,328

 

 

(100,349

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

10,964

 

 

1,149

0.03

%

 

 

10.48

4.00

%

4.57

%

131

102

10.5

%

10.0

%

 

3

 

 

(5

)

IO 30yr 3.0

 

3,232

 

 

399

0.01

%

 

 

12.34

3.00

%

3.64

%

94

256

3.9

%

1.8

%

 

(3

)

 

 

IO 30yr 4.0

 

92,311

 

 

16,767

0.47

%

 

 

18.16

4.00

%

4.60

%

100

252

5.9

%

6.5

%

 

(586

)

 

458

 

IO 30yr 4.5

 

3,966

 

 

733

0.02

%

 

 

18.47

4.50

%

4.99

%

149

197

6.6

%

8.0

%

 

(13

)

 

9

 

IO 30yr 5.0

 

2,216

 

 

443

0.01

%

 

 

20.01

5.00

%

5.36

%

149

199

9.5

%

5.3

%

 

(12

)

 

9

 

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

)

Total Structured RMBS

 

144,816

 

 

19,973

0.56

%

 

 

13.79

3.25

%

4.55

%

96

246

7.0

%

6.1

%

 

(507

)

 

389

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(2)

 

(+50 BPS)(2)

5-Year Treasury Future(3)

$

(750,500

)

 

Mar-2023

 

 

 

 

 

 

 

 

 

 

$

(15,942

)

$

15,591

 

10-Year Treasury Ultra(4)

 

(174,500

)

 

Mar-2023

 

 

 

 

 

 

 

 

 

 

 

(8,520

)

 

8,060

 

Swaps

 

(1,400,000

)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

 

(33,311

)

 

32,236

 

TBA

 

(675,000

)

 

Jan-2023

 

 

 

 

 

 

 

 

 

 

 

(18,218

)

 

19,226

 

Swaptions

 

(613,000

)

 

Jan-2024

 

 

 

 

 

 

 

 

 

 

 

(7,969

)

 

9,714

 

Hedge Total

$

(3,613,000

)

 

 

 

 

 

 

 

 

 

 

 

 

$

(83,960

)

$

84,827

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

10,861

 

$

(15,133

)

(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.

(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.

(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.

(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

 

 

 

 

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

 

 

 

 

($ in thousands)

 

 

 

 

 

 

Percentage

 

 

 

 

Percentage

 

 

Fair

of

 

 

 

Fair

of

Asset Category

 

Value(1)

Portfolio

 

Asset Category

 

Value(1)

Portfolio

As of November 30, 2022

 

 

 

 

As of November 30, 2022

 

 

 

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.

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of November 30, 2022

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

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

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