- 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
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.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20221213006007/en/
Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772)
231-1400
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