Orchid Island Capital, Inc. (NYSE:ORC) ("Orchid” or the
"Company"), a real estate investment trust ("REIT"), today
announced results of operations for the three month period ended
March 31, 2022.
First Quarter 2022 Highlights
- Net loss of $148.7 million, or $0.84 per common share, which
consists of:
- Net interest income of $39.2 million, or $0.22 per common
share
- Total expenses of $4.7 million, or $0.03 per common share
- Net realized and unrealized losses of $183.2 million, or $1.04
per common share, on RMBS and derivative instruments, including net
interest expense on interest rate swaps
- First quarter total dividends declared and paid of $0.155 per
common share
- Book value per common share of $3.34 at March 31, 2022
- Total return of (19.5)%, comprised of $0.155 dividend per
common share and $1.00 decrease in book value per common share,
divided by beginning book value per common share
- Company to discuss results on Friday, April 29, 2022, 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, “The first quarter of
2022 was a period of rapid transition on the part of Federal
Reserve (the “Fed”) policy makers. As 2021 came to a close, the Fed
was preparing to slowly remove the emergency monetary policy in
place since the onset of the COVID-19 pandemic in early 2020 but
concluded in the first quarter of 2022 that the accommodative
policy needed to be removed very quickly. This process has
continued into the second quarter of 2022 as well. Fed speakers
uniformly cite the need to get the policy rate (the “Fed Funds”
rate) to neutral by the end of 2022. The neutral rate is generally
considered to be approximately 2.50% to 2.75%. This means the Fed
has to increase the Fed Funds rate by 225-250 basis points in the
next 8 months. Interest rates across the yield curve have increased
by over 150 basis points on the front of the curve, and by over 80
basis points in the case of the 10-year U.S. treasury note during
the first quarter of 2022. The shape of the curve has flattened
materially, and we have already seen the spread between the 2-year
and 10-year, as well as the spread between the 5-year and 30-year,
points go negative for brief periods. Inflation, which has been
accelerating since the second quarter of 2021, has accelerated even
further. The war in Ukraine caught the world by surprise, and
western countries reacted by imposing numerous sanctions as well as
boycotts of various Russian goods. Coupled with the disruption in
activity in Ukraine itself, which is one of the world’s leading
suppliers of food and many other commodities, the war has proven to
be a substantial source of inflationary pressure. COVID-19 induced
lock-downs across China have exacerbated supply chain issues that
were pervasive already. As inflation has accelerated to levels not
seen since the early 1980s – both in the U.S. and across the globe
– growth has remained very strong, especially so in the U.S. The
Fed is clearly signaling a rapid removal of accommodation, which
may even involve outright sales from its SOMA portfolio.
“The impact of these developments on the Agency RMBS market was
profound and rapid. Levered RMBS investors such as Orchid that
invest solely in the Agency RMBS market have limited options to
avoid these headwinds. However, we took advantage of every option
we had to minimize the impact and are well positioned to take
advantage of the opportunities in the Agency RMBS market that will
exist when the market stabilizes. We repositioned our hedge
positions, and we have reduced the size of the portfolio through
outright asset sales and retaining cash received from our monthly
paydowns. Our leverage ratio declined from 8.1 to one at the end of
2021 to 7.5 to one at the end of the first quarter of 2022, and is
even lower today. We have increased the allocation to the
structured securities, interest only portfolio. We have maintained
ample liquidity at all times and retained cash balances equal to
approximately 50% of our shareholders equity throughout. We took
the painful step of reducing our dividend in response to the
compression of the gap between our funding costs and asset yields.
This step was unavoidable, but we look forward to the return of a
more generous funding gap in the future. In the interim, we will
continue to seek to preserve our liquidity and minimize the impact
of the volatile market on our portfolio so that we are able to take
advantage of more favorable market conditions when they arise.
Periods such as this are always difficult, but we know from
navigating through many such episodes in the past that the key is
to preserve Orchid’s liquidity above all else to ensure the Company
is able to take advantage of the favorable market conditions that
will exist when it ends. Once again, we intend to do just
that.”
Details of First Quarter 2022 Results of Operations
The Company reported net loss of $148.7 million for the three
month period ended March 31, 2022, compared with net loss of $29.4
million for the three month period ended March 31, 2021. The
Company decreased its Agency RMBS portfolio over the course of the
first quarter of 2022. Interest income on the portfolio in the
first quarter was down approximately $2.6 million from the fourth
quarter of 2021. The yield on our average MBS increased from 2.93%
in the fourth quarter of 2021 to 3.02% for the first quarter of
2022, repurchase agreement borrowing costs increased from 0.14% for
the fourth quarter of 2021 to 0.20% for the first quarter of 2022,
and our net interest spread increased from 2.79% in the fourth
quarter of 2021 to 2.82% in the first quarter of 2022.
Book value decreased by $1.00 per share in the first quarter of
2022. The decrease in book value reflects our net loss of $0.84 per
share and the dividend distribution of $0.155 per share. The
Company recorded net realized and unrealized losses of $1.04 per
share on Agency RMBS assets and derivative instruments, including
net interest expense on interest rate swaps.
Prepayments
For the quarter ended March 31, 2022, Orchid received $157.1
million in scheduled and unscheduled principal repayments and
prepayments, which equated to a 3-month constant prepayment rate
(“CPR”) of approximately 10.7%. Prepayment rates on the two RMBS
sub-portfolios were as follows (in CPR):
Structured
PT RMBS
RMBS
Total
Three Months Ended
Portfolio (%)
Portfolio (%)
Portfolio (%)
March 31, 2022
8.1
19.5
10.7
December 31, 2021
9.0
24.6
11.4
September 30, 2021
9.8
25.1
12.4
June 30, 2021
10.9
29.9
12.9
March 31, 2021
9.9
40.3
12.0
Portfolio
The following tables summarize certain characteristics of
Orchid’s PT RMBS (as defined below) and structured RMBS as of March
31, 2022 and December 31, 2021:
($ in thousands)
Weighted
Percentage
Average
of
Weighted
Maturity
Fair
Entire
Average
in
Longest
Asset Category
Value
Portfolio
Coupon
Months
Maturity
March 31, 2022
Fixed Rate RMBS
$
4,372,517
95.5%
3.01%
336
1-Dec-51
Interest-Only Securities
206,617
4.5%
3.42%
257
25-Jan-52
Inverse Interest-Only Securities
1,460
0.0%
3.75%
297
15-Jun-42
Total Mortgage Assets
$
4,580,594
100.0%
3.11%
318
25-Jan-52
December 31, 2021
Fixed Rate RMBS
$
6,298,189
96.7%
2.93%
342
1-Dec-51
Interest-Only Securities
210,382
3.2%
3.40%
263
25-Jan-52
Inverse Interest-Only Securities
2,524
0.1%
3.75%
300
15-Jun-42
Total Mortgage Assets
$
6,511,095
100.0%
3.03%
325
25-Jan-52
($ in thousands)
March 31, 2022
December 31, 2021
Percentage of
Percentage of
Agency
Fair Value
Entire Portfolio
Fair Value
Entire Portfolio
Fannie Mae
$
3,016,954
65.9%
$
4,719,349
72.5%
Freddie Mac
1,563,640
34.1%
1,791,746
27.5%
Total Portfolio
$
4,580,594
100.0%
$
6,511,095
100.0%
March 31, 2022
December 31, 2021
Weighted Average Pass-through Purchase
Price
$
107.82
$
107.19
Weighted Average Structured Purchase
Price
$
15.25
$
15.21
Weighted Average Pass-through Current
Price
$
98.85
$
105.31
Weighted Average Structured Current
Price
$
15.61
$
14.08
Effective Duration (1)
4.890
3.390
(1)
Effective duration of 4.890 indicates that
an interest rate increase of 1.0% would be expected to cause a
4.890% decrease in the value of the RMBS in the Company’s
investment portfolio at March 31, 2022. An effective duration of
3.390 indicates that an interest rate increase of 1.0% would be
expected to cause a 3.390% decrease in the value of the RMBS in the
Company’s investment portfolio at December 31, 2021. These figures
include the structured securities in the portfolio, but do not
include the effect of the Company’s funding cost hedges. Effective
duration quotes for individual investments are obtained from The
Yield Book, Inc.
Financing, Leverage and Liquidity
As of March 31, 2022, the Company had outstanding repurchase
obligations of approximately $4,464.1 million with a net weighted
average borrowing rate of 0.37%. These agreements were
collateralized by RMBS with a fair value, including accrued
interest, of approximately $4,591.7 million and cash pledged to
counterparties of approximately $113.6 million. The Company’s
leverage ratio at March 31, 2022 was 7.8 to 1. At March 31, 2022,
the Company’s liquidity was approximately $301.0 million,
consisting of cash and cash equivalents and unpledged RMBS (not
including unsettled securities purchases). To enhance our liquidity
even further, we may pledge more of our structured RMBS as part of
a repurchase agreement funding, but retain the cash in lieu of
acquiring additional assets. In this way we can, at a modest cost,
retain higher levels of cash on hand and decrease the likelihood we
will have to sell assets in a distressed market in order to raise
cash. Below is a list of our outstanding borrowings under
repurchase obligations at March 31, 2022.
($ in thousands)
Weighted
Weighted
Total
Average
Average
Outstanding
% of
Borrowing
Amount
Maturity
Counterparty
Balances
Total
Rate
at Risk(1)
in Days
J.P. Morgan Securities LLC
$
390,917
8.6%
0.35%
$
21,978
12
Merrill Lynch, Pierce, Fenner & Smith
Inc.
376,951
8.4%
0.29%
17,755
15
ABN AMRO Bank N.V.
357,326
8.0%
0.33%
10,722
12
Mitsubishi UFJ Securities (USA), Inc.
326,430
7.3%
0.50%
28,594
35
Cantor Fitzgerald & Co.
315,791
7.1%
0.38%
17,003
27
ED&F Man Capital Markets Inc.
282,992
6.3%
0.27%
15,059
17
Mirae Asset Securities (USA) Inc.
263,899
5.9%
0.32%
11,986
58
RBC Capital Markets, LLC
247,015
5.5%
0.37%
7,996
17
Goldman Sachs & Co. LLC
238,179
5.3%
0.44%
20,101
24
ING Financial Markets LLC
221,203
5.0%
0.40%
9,495
35
ASL Capital Markets Inc.
199,024
4.5%
0.38%
10,575
18
Santander Bank, N.A.
189,837
4.3%
0.38%
10,178
21
Citigroup Global Markets, Inc.
182,158
4.1%
0.39%
9,828
20
Nomura Securities International, Inc.
176,167
3.9%
0.38%
6,845
17
Daiwa Capital Markets America, Inc.
173,083
3.9%
0.39%
7,437
18
Wells Fargo Bank, N.A.
132,026
3.0%
0.35%
7,124
14
BMO Capital Markets Corp.
124,021
2.8%
0.42%
8,196
18
Austin Atlantic Asset Management Co.
87,245
2.0%
0.39%
4,605
6
Lucid Cash Fund USG LLC
82,630
1.9%
0.42%
7,969
14
South Street Securities, LLC
65,571
1.5%
0.37%
3,652
18
StoneX Financial Inc.
27,648
0.6%
0.19%
1,674
19
Mizuho Securities USA, Inc.
3,996
0.1%
0.90%
1,352
12
Total / Weighted Average
$
4,464,109
100.0%
0.37%
$
240,124
22
(1)
Equal to the sum of the fair value of
securities sold, accrued interest receivable and cash posted as
collateral (if any), minus the sum of repurchase agreement
liabilities, accrued interest payable and the fair value of
securities posted by the counterparties (if any).
Hedging
In connection with its interest rate risk management strategy,
the Company economically hedges a portion of the cost of its
repurchase agreement funding against a rise in interest rates by
entering into derivative financial instrument contracts. The
Company has not elected hedging treatment under U.S. generally
accepted accounting principles (“GAAP”) in order to align the
accounting treatment of its derivative instruments with the
treatment of its portfolio assets under the fair value option
election. As such, all gains or losses on these instruments are
reflected in earnings for all periods presented. At March 31, 2022,
such instruments were comprised of Treasury note (“T-Note”) futures
contracts, interest rate swap agreements, and interest rate
swaption agreements.
The table below presents information related to the Company’s
T-Note futures contracts at March 31, 2022.
($ in thousands)
Average
Weighted
Weighted
Contract
Average
Average
Notional
Entry
Effective
Open
Expiration Year
Amount
Rate
Rate
Equity(1)
Treasury Note Futures Contracts (Short
Positions)(2)
June 2022 5-year T-Note futures
(Jun 2022 - Jun 2027 Hedge Period)
$
1,194,000
2.25%
2.83%
32,928
June 2022 10-year Ultra futures
(Jun 2022 - Jun 2032 Hedge Period)
$
270,000
1.68%
2.06%
$
10,983
(1)
Open equity represents the cumulative
gains (losses) recorded on open futures positions from
inception.
(2)
5-Year T-Note futures contracts were
valued at a price of $114.69 at March 31, 2022. The contract values
of the short positions were $1,369.4 million at March 31, 2022.
10-Year Ultra futures contracts were valued at a price of $135.47
at March 31, 2022. The contract value of the short position was
$365.8 million at March 31, 2022.
The table below presents information related to the Company’s
interest rate swap positions at March 31, 2022.
($ in thousands)
Average
Net
Fixed
Average
Estimated
Average
Notional
Pay
Receive
Fair
Maturity
Expiration
Amount
Rate
Rate
Value
(Years)
> 3 to ≤ 5 years
$
300,000
0.95%
0.93%
18,138
4.0
> 5 years
1,100,000
1.51%
0.37%
47,056
7.0
$
1,400,000
1.39%
0.49%
$
65,194
6.3
The following table presents information related to our interest
rate swaption positions as of March 31, 2022.
($ in thousands)
Option
Underlying Swap
Weighted
Average
Weighted
Average
Average
Adjustable
Average
Fair
Months to
Notional
Fixed
Rate
Term
Expiration
Cost
Value
Expiration
Amount
Rate
(LIBOR)
(Years)
Payer Swaptions - long
≤ 1 year
$
31,905
$
33,040
11.3
$
1,282,400
2.44%
3 Month
11.3
>1 year ≤ 2 years
15,300
27,322
18.8
728,400
2.52%
3 Month
10.0
$
47,205
$
60,362
14.0
$
2,010,800
2.47%
3 Month
10.8
Payer Swaptions - short
≤ 1 year
$
(19,540)
$
(25,535)
5.8
$
(1,433,000)
2.47%
3 Month
10.8
The following table presents information related to our interest
cap positions as of March 31, 2022.
($ in thousands)
Net
Strike
Estimated
Notional
Swap
Curve
Fair
Expiration
Amount
Cost
Rate
Spread
Value
February 8, 2024
$
200,000
$
2,350
0.09%
10Y2Y
$
1,354
Dividends
In addition to other requirements that must be satisfied to
qualify as a REIT, we must pay annual dividends to our stockholders
of at least 90% of our REIT taxable income, determined without
regard to the deduction for dividends paid and excluding any net
capital gains. We intend to pay regular monthly dividends to our
stockholders and have declared the following dividends since our
February 2013 IPO.
(in thousands, except per share data)
Year
Per Share Amount
Total
2013
$
1.395
$
4,662
2014
2.160
22,643
2015
1.920
38,748
2016
1.680
41,388
2017
1.680
70,717
2018
1.070
55,814
2019
0.960
54,421
2020
0.790
53,570
2021
0.780
97,601
2022 - YTD(1)
0.200
35,484
Totals
$
12.635
$
475,048
(1)
On April 13, 2022, the Company declared a
dividend of $0.045 per share to be paid on May 27, 2022. The effect
of this dividend is included in the table above but is not
reflected in the Company’s financial statements as of March 31,
2022.
Peer Performance
The tables below present total return data for Orchid compared
to a selected group of peers based on stock price performance for
periods through March 31, 2022 and based on book value performance
for periods through December 31, 2021.
Portfolio Total Rate of Return
Versus Peer Group Average - Stock Price Performance
ORC Spread
ORC
Over / (Under)
Total Rate
Peer
Peer
of Return(1)
Average(1)(2)
Average(3)
Year to Date (1/1/2022 - 3/31/2022)
(24.6)%
(7.1)%
(17.5)%
One Year Total Return
(36.6)%
(15.9)%
(20.7)%
Two Year Total Return
49.5%
64.6%
(15.1)%
Three Year Total Return
(20.3)%
(19.6)%
(0.7)%
Five Year Total Return
(28.6)%
(11.2)%
(17.4)%
Inception to Date (2/28/2013 -
3/31/2022)(4)
(6.1)%
1.7%
(7.8)%
Source: SEC filings and press releases of Orchid and Peer Group
(1)
Source of total rate of return for each
period is the Bloomberg COMP page and includes reinvested dividends
for each period noted.
(2)
The peer average is the unweighted,
simple, average of the total rate of return for each of the
following companies in each respective measurement period: AGNC,
NLY, ANH, AAIC, ARR, CMO, CHMI, DX and IVR.
(3)
Represents the total rate of return for
Orchid minus peer average in each respective measurement
period.
(4)
Orchid completed its Initial Public
Offering on February 13, 2013. We have elected to start the
comparison with Orchid’s first full month of operations.
Portfolio Total Rate of Return
Versus Peer Group Average - Book Value Performance
ORC Spread
ORC
Over / (Under)
Total Rate
Peer
Peer
of Return(1)
Average(1)(2)
Average(3)
One Year Total Return
(6.4)%
(4.8)%
(1.6)%
Two Year Total Return
(5.2)%
(17.0)%
11.8%
Three Year Total Return
0.5%
(9.6)%
10.1%
Five Year Total Return
(6.6)%
(5.4)%
(1.2)%
Inception to Date (3/31/2013 -
12/31/2021)(4)
10.5%
(4.0)%
14.5%
Source: SEC filings and press releases of Orchid and Peer Group
(1)
Total rate of return for each period is
change in book value per share over the period plus dividends per
share declared divided by the book value per share at the beginning
of the period.
(2)
The peer average is the unweighted,
simple, average of the total rate of return for each of the
following companies in each respective measurement period: AGNC,
NLY, ANH, AAIC, ARR, CMO, CHMI, DX and IVR.
(3)
Represents the total rate of return for
Orchid minus peer average in each respective measurement
period.
(4)
Peer book values are not available for
Orchid’s true inception date (2/13/2013). Because all peer book
values are not available as of Orchid’s inception date (2/13/2013),
the starting point for Orchid and all of the peer companies is
3/31/2013.
Book Value Per Share
The Company's book value per share at March 31, 2022 was $3.34.
The Company computes book value per share by dividing total
stockholders' equity by the total number of shares outstanding of
the Company's common stock. At March 31, 2022, the Company's
stockholders' equity was $592.4 million with 177,117,186 shares of
common stock outstanding.
Capital Allocation and Return on Invested Capital
The Company allocates capital to two RMBS sub-portfolios, the
pass-through RMBS portfolio, consisting of mortgage pass-through
certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae (the
“GSEs”) and collateralized mortgage obligations (“CMOs”) issued by
the GSEs (“PT RMBS”), and the structured RMBS portfolio, consisting
of interest-only (“IO”) and inverse interest-only (“IIO”)
securities. As of December 31, 2021, approximately 70% of the
Company’s investable capital (which consists of equity in pledged
PT RMBS, available cash and unencumbered assets) was deployed in
the PT RMBS portfolio. At March 31, 2022, the allocation to the PT
RMBS portfolio decreased by 8% to approximately 62%.
The table below details the changes to the respective
sub-portfolios during the quarter.
(in thousands)
Portfolio Activity for the
Quarter
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Market value - December 31,
2021
$
6,298,189
$
210,382
$
2,524
$
212,906
$
6,511,095
Securities sold
(1,401,012)
(12,029)
-
(12,029)
(1,413,041)
(Losses) Gains on sales
(51,795)
709
-
709
(51,086)
Return of investment
n/a
(10,205)
(251)
(10,456)
(10,456)
Pay-downs
(146,653)
n/a
-
n/a
(146,653)
Premium lost due to pay-downs
(8,431)
n/a
-
n/a
(8,431)
Mark to market (losses) gains
(317,781)
17,760
(813)
16,947
(300,834)
Market value - March 31, 2022
$
4,372,517
$
206,617
$
1,460
$
208,077
$
4,580,594
The tables below present the allocation of capital between the
respective portfolios at March 31, 2022 and December 31, 2021, and
the return on invested capital for each sub-portfolio for the three
month period ended March 31, 2022. The return on invested capital
in the PT RMBS and structured RMBS portfolios was approximately
(32.4)% and 9.1%, respectively, for the first quarter of 2022. The
combined portfolio generated a return on invested capital of
approximately (20.1)%.
($ in thousands)
Capital Allocation
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
March 31, 2022
Market value
$
4,372,517
$
206,617
$
1,460
$
208,077
$
4,580,594
Cash
427,445
-
-
-
427,445
Borrowings(1)
(4,464,109)
-
-
-
(4,464,109)
Total
$
335,853
$
206,617
$
1,460
$
208,077
$
543,930
% of Total
61.7%
38.0%
0.3%
38.3%
100.0%
December 31, 2021
Market value
$
6,298,189
$
210,382
$
2,524
$
212,906
$
6,511,095
Cash
450,442
-
-
-
450,442
Borrowings(2)
(6,244,106)
-
-
-
(6,244,106)
Total
$
504,525
$
210,382
$
2,524
$
212,906
$
717,431
% of Total
70.3%
29.3%
0.4%
29.7%
100.0%
(1)
At March 31, 2022, there were outstanding
repurchase agreement balances of $157.1 million secured by IO
securities and $1.4 million secured by IIO securities. We entered
into these arrangements to generate additional cash available to
meet margin calls on PT RMBS; therefore, we have not considered
these balances to be allocated to the structured securities
strategy.
(2)
At December 31, 2021, there were
outstanding repurchase agreement balances of $159.0 million secured
by IO securities and $2.0 million secured by IIO securities. We
entered into these arrangements to generate additional cash
available to meet margin calls on PT RMBS; therefore, we have not
considered these balances to be allocated to the structured
securities strategy.
($ in thousands)
Returns for the Quarter Ended
March 31, 2022
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Income (net of borrowing cost)
$
37,411
$
1,654
$
137
$
1,791
$
39,202
Realized and unrealized (losses) /
gains
(378,704)
18,469
(813)
17,656
(361,048)
Derivative gains
177,816
n/a
n/a
n/a
177,816
Total Return
$
(163,477)
$
20,123
$
(676)
$
19,447
$
(144,030)
Beginning Capital Allocation
$
504,525
$
210,382
$
2,524
$
212,906
$
717,431
Return on Invested Capital for the
Quarter(1)
(32.4)%
9.6%
(26.8)%
9.1%
(20.1)%
Average Capital Allocation(2)
$
420,189
$
208,500
$
1,992
$
210,492
$
630,681
Return on Average Invested Capital for the
Quarter(3)
(38.9)%
9.7%
(33.9)%
9.2%
(22.8)%
(1)
Calculated by dividing the Total Return by
the Beginning Capital Allocation, expressed as a percentage.
(2)
Calculated using two data points, the
Beginning and Ending Capital Allocation balances.
(3)
Calculated by dividing the Total Return by
the Average Capital Allocation, expressed as a percentage.
Stock Offerings
On October 29, 2021, we entered into an equity distribution
agreement (the “October 2021 Equity Distribution Agreement”) with
four sales agents pursuant to which we may offer and sell, from
time to time, up to an aggregate amount of $250,000,000 of shares
of our common stock in transactions that are deemed to be “at the
market” offerings and privately negotiated transactions. Through
March 31, 2022, we issued a total of 15,835,700 shares under the
October 2021 Equity Distribution Agreement for aggregate gross
proceeds of approximately $78.3 million, and net proceeds of
approximately $77.0 million, after commissions and fees. We did not
issue any shares under the October 2021 Equity Distribution
Agreement during the three months ended March 31, 2022.
Stock Repurchase Program
On July 29, 2015, the Company’s Board of Directors authorized
the repurchase of up to 2,000,000 shares of our common stock. The
timing, manner, price and amount of any repurchases is determined
by the Company in its discretion and is subject to economic and
market conditions, stock price, applicable legal requirements and
other factors. The authorization does not obligate the Company to
acquire any particular amount of common stock and the program may
be suspended or discontinued at the Company’s discretion without
prior notice. On February 8, 2018, the Board of Directors approved
an increase in the stock repurchase program for up to an additional
4,522,822 shares of the Company’s common stock. Coupled with the
783,757 shares remaining from the original 2,000,000 share
authorization, the increased authorization brought the total
authorization to 5,306,579 shares, representing 10% of the
Company’s then outstanding share count. On December 9, 2021, the
Board of Directors approved an increase in the number of shares of
the Company’s common stock available in the stock repurchase
program for up to an additional 16,861,994 shares, bringing the
remaining authorization under the stock repurchase program to
17,699,305 shares, representing approximately 10% of the Company’s
then outstanding shares of common stock. This stock repurchase
program has no termination date.
From the inception of the stock repurchase program through March
31, 2022, the Company repurchased a total of 5,685,511 shares at an
aggregate cost of approximately $40.4 million, including
commissions and fees, for a weighted average price of $7.10 per
share. The Company did not repurchase any shares of its common
stock during the three months ended March 31, 2022 or the year
ended December 31, 2021.
Earnings Conference Call Details
An earnings conference call and live audio webcast will be
hosted Friday, April 29, 2022, at 10:00 AM ET. The conference call
may be accessed by dialing toll free (888) 510-2536. The conference
passcode is 8493186. The supplemental materials may be downloaded
from the investor relations section of the Company’s website at
https://ir.orchidislandcapital.com. A live audio webcast of the
conference call can be accessed via the investor relations section
of the Company’s website at https://ir.orchidislandcapital.com, and
an audio archive of the webcast will be available until May 29,
2022.
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 CMOs issued by the GSEs,
and (ii) structured Agency RMBS, such as IOs, IIOs and principal
only securities, among other types of structured Agency RMBS.
Orchid is managed by Bimini Advisors, LLC, a registered investment
adviser with the Securities and Exchange Commission.
Forward Looking Statements
Statements herein relating to matters that are not historical
facts, including, but not limited to statements regarding interest
rates, liquidity, pledging of our structured RMBS, funding levels
and spreads, prepayment speeds, portfolio positioning and
repositioning, hedging levels, dividends, growth, the supply and
demand for Agency RMBS, the effect of actual or expected actions of
foreign governments or of the U.S. government, including the
Federal Reserve, market expectations, future opportunities and
prospects of the Company, the stock repurchase program and general
economic conditions, are forward-looking statements as defined in
the Private Securities Litigation Reform Act of 1995. The reader is
cautioned that such forward-looking statements are based on
information available at the time and on management's good faith
belief with respect to future events, and are subject to risks and
uncertainties that could cause actual performance or results to
differ materially from those expressed in such forward-looking
statements. Important factors that could cause such differences are
described in Orchid Island Capital, Inc.'s filings with the
Securities and Exchange Commission, including its most recent
Annual Report on Form 10-K and Quarterly Reports on Form 10-Q.
Orchid Island Capital, Inc. assumes no obligation to update
forward-looking statements to reflect subsequent results, changes
in assumptions or changes in other factors affecting
forward-looking statements.
Summarized Financial Statements
The following is a summarized presentation of the unaudited
balance sheets as of March 31, 2022, and December 31, 2021, and the
unaudited quarterly statements of operations for the three months
ended March 31, 2022 and 2021. Amounts presented are subject to
change.
ORCHID ISLAND CAPITAL,
INC.
BALANCE SHEETS
($ in thousands, except per
share data)
(Unaudited - Amounts Subject
to Change)
March 31, 2022
December 31, 2021
ASSETS:
Mortgage-backed securities
$
4,580,594
$
6,511,095
U.S. Treasury Notes
36,477
37,175
Cash, cash equivalents and restricted
cash
427,445
450,442
Accrued interest receivable
14,853
18,859
Derivative assets, at fair value
126,910
50,786
Other assets
1,153
320
Total Assets
$
5,187,432
$
7,068,677
LIABILITIES AND STOCKHOLDERS'
EQUITY
Repurchase agreements
$
4,464,109
$
6,244,106
Dividends payable
7,996
11,530
Derivative liabilities, at fair value
25,535
7,589
Accrued interest payable
1,018
788
Due to affiliates
1,066
1,062
Other liabilities
95,290
35,505
Total Liabilities
4,595,014
6,300,580
Total Stockholders' Equity
592,418
768,097
Total Liabilities and Stockholders'
Equity
$
5,187,432
$
7,068,677
Common shares outstanding
177,117,186
176,993,049
Book value per share
$
3.34
$
4.34
ORCHID ISLAND CAPITAL,
INC.
STATEMENTS OF
OPERATIONS
($ in thousands, except per
share data)
(Unaudited - Amounts Subject
to Change)
Three
Months Ended March 31,
2022
2021
Interest income
$
41,857
$
26,856
Interest expense
(2,655
)
(1,941
)
Net interest income
39,202
24,915
Losses on RMBS and derivative
contracts
(183,232
)
(50,791
)
Net portfolio loss
(144,030
)
(25,876
)
Expenses
4,697
3,493
Net loss
$
(148,727
)
$
(29,369
)
Basic net loss per share
$
(0.84
)
$
(0.34
)
Diluted net loss per share
$
(0.84
)
$
(0.34
)
Weighted Average Shares
Outstanding
176,997,566
85,344,954
Dividends Declared Per Common
Share:
$
0.155
$
0.195
Three Months Ended March
31,
Key Balance Sheet Metrics
2022
2021
Average RMBS(1)
$
5,545,844
$
4,032,716
Average repurchase agreements(1)
5,354,107
3,888,633
Average stockholders' equity(1)
680,258
440,733
Leverage ratio(2)
7.8:1
9.1:1
Key Performance Metrics
Average yield on RMBS(3)
3.02%
2.66%
Average cost of funds(3)
0.20%
0.20%
Average economic cost of funds(4)
0.29%
0.62%
Average interest rate spread(5)
2.82%
2.46%
Average economic interest rate
spread(6)
2.73%
2.04%
(1)
Average RMBS, borrowings and stockholders’
equity balances are calculated using two data points, the beginning
and ending balances.
(2)
The leverage ratio is calculated by
dividing total ending liabilities by ending stockholders’
equity.
(3)
Portfolio yields and costs of funds are
calculated based on the average balances of the underlying
investment portfolio/borrowings balances and are annualized for the
quarterly periods presented.
(4)
Represents the interest cost of our
borrowings and the effect of derivative agreements attributed to
the period related to hedging activities, divided by average
borrowings.
(5)
Average interest rate spread is calculated
by subtracting average cost of funds from average yield on
RMBS.
(6)
Average economic interest rate spread is
calculated by subtracting average economic cost of funds from
average yield on RMBS.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20220428006044/en/
Orchid Island Capital, Inc. Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
https://ir.orchidislandcapital.com
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