ORC

• January 2023 Monthly Dividend of $0.16 Per Share of Common Stock
• Estimated Book Value Per Share as of December 31, 2022 of $11.93
• Estimated GAAP net income of $0.94 per share for the quarter ended December 31, 2022, including an estimated $1.04 per share of net realized and unrealized gains on RMBS and derivative instruments
• Estimated 8.7% total return on equity for the quarter
• Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
• RMBS Portfolio Characteristics as of December 31, 2022
• Next Dividend Announcement Expected February 15, 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 January 2023. The dividend of $0.16 per share will be paid February 24, 2023 to holders of record of the Company’s common stock on January 31, 2023, with an ex-dividend date of January 30, 2023. The Company plans on announcing its next common stock dividend on February 15, 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 January 11, 2023, the Company had 36,391,942 shares of common stock outstanding. As of December 31, 2022, the Company had 36,764,983 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.

Estimated December 31, 2022 Book Value Per Share

The Company’s estimated book value per share as of December 31, 2022 was $11.93. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2022, the Company's preliminary estimated total stockholders' equity was approximately $438.8 million with 36,764,983 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net income per share of $0.94, which includes $1.04 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended December 31, 2022. These amounts compare to total dividends declared during the quarter of $0.48 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended December 31, 2022 was 8.7%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $0.99 per share, comprised of dividends per share of $0.48 and an increase in book value per share of $0.51 from September 30, 2022.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 2022 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended December 31, 2022, are subject to review by the Company's independent registered public accounting firm:

• RMBS Valuation Characteristics
• RMBS Assets by Agency
• Investment Company Act of 1940 (Whole Pool) Test Results
• Repurchase Agreement Exposure by Counterparty
• RMBS Risk Measures

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. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dec-22

 

 

Oct - Dec

 

 

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

 

 

Portfolio

 

 

Price

 

 

Coupon

 

 

GWAC

 

 

Age

 

 

(Months)

 

 

in Jan)

 

 

in Jan)

 

 

(-50 BPS)(1)

 

 

(+50 BPS)(1)

 

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

 

$

400

 

$

393

 

0.01

%

 

$

98.44

 

4.00

%

 

4.54

%

 

56

 

123

 

0.8

%

 

0.8

%

 

$

7

 

$

(7

)

15yr Total

 

400

 

393

 

0.01

%

 

98.44

 

4.00

%

 

4.54

%

 

56

 

123

 

0.8

%

 

0.8

%

 

7

 

(7

)

30yr 3.0

 

2,553,246

 

2,268,955

 

64.09

%

 

88.87

 

3.00

%

 

3.44

%

 

20

 

336

 

4.3

%

 

4.8

%

 

71,068

 

(72,824

)

30yr 3.5

 

214,835

 

199,927

 

5.65

%

 

93.06

 

3.50

%

 

4.03

%

 

34

 

317

 

8.9

%

 

7.3

%

 

5,414

 

(5,512

)

30yr 4.0

 

271,291

 

256,787

 

7.25

%

 

94.65

 

4.00

%

 

4.72

%

 

18

 

340

 

8.8

%

 

7.2

%

 

6,141

 

(6,623

)

30yr 4.5

 

368,710

 

356,848

 

10.08

%

 

96.78

 

4.50

%

 

5.45

%

 

6

 

354

 

5.8

%

 

2.9

%

 

6,559

 

(7,433

)

30yr 5.0

 

439,885

 

436,996

 

12.34

%

 

99.34

 

5.00

%

 

5.90

%

 

5

 

355

 

5.7

%

 

3.3

%

 

7,318

 

(8,467

)

30yr Total

 

3,847,967

 

3,519,513

 

99.42

%

 

91.46

 

3.47

%

 

4.04

%

 

18

 

339

 

5.2

%

 

4.9

%

 

96,500

 

(100,859

)

Total Pass Through RMBS

 

3,848,367

 

3,519,906

 

99.43

%

 

91.46

 

3.47

%

 

4.04

%

 

18

 

339

 

5.2

%

 

4.9

%

 

96,506

 

(100,865

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

10,776

 

1,212

 

0.03

%

 

11.25

 

4.00

%

 

4.57

%

 

132

 

101

 

9.8

%

 

9.4

%

 

5

 

(6

)

IO 30yr 3.0

 

3,213

 

395

 

0.01

%

 

12.31

 

3.00

%

 

3.64

%

 

95

 

256

 

25.7

%

 

10.8

%

 

-

 

(1

)

IO 30yr 4.0

 

91,435

 

16,878

 

0.48

%

 

18.46

 

4.00

%

 

4.60

%

 

101

 

251

 

6.2

%

 

6.1

%

 

(482

)

 

345

IO 30yr 4.5

 

3,925

 

745

 

0.02

%

 

18.98

 

4.50

%

 

4.99

%

 

150

 

196

 

5.4

%

 

6.2

%

 

(10

)

 

5

IO 30yr 5.0

 

2,190

 

439

 

0.01

%

 

20.04

 

5.00

%

 

5.36

%

 

150

 

198

 

2.7

%

 

5.7

%

 

(10

)

 

7

IO Total

 

111,539

 

19,669

 

0.56

%

 

17.63

 

4.01

%

 

4.60

%

 

106

 

234

 

7.0

%

 

6.5

%

 

(497

)

 

350

IIO 30yr 4.0

 

31,499

 

427

 

0.01

%

 

1.35

 

0.00

%

 

4.40

%

 

63

 

286

 

0.6

%

 

4.0

%

 

100

 

(85

)

Total Structured RMBS

 

143,038

 

20,096

 

0.57

%

 

14.05

 

3.13

%

 

4.55

%

 

97

 

245

 

5.6

%

 

6.0

%

 

(397

)

 

265

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

3,991,405

 

$

3,540,002

 

100.00

%

 

 

 

 

 

3.46

%

 

4.05

%

 

20

 

336

 

5.2

%

 

5.0

%

 

$

96,110

 

$

(100,600

)

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

Hedge

 

Rate

 

Rate

 

 

Notional

Period

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

End

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

 

$

(750,500

)

Mar-23

 

$

(16,186

)

 

$

18,207

10-Year Treasury Ultra(3)

 

(174,500

)

Mar-23

 

(9,154

)

 

10,079

Swaps

 

(1,400,000

)

Jul-28

 

(31,762

)

 

30,734

TBA

 

(675,000

)

Jan-23

 

(18,292

)

 

19,202

Swaptions

 

(653,000

)

Jul-24

 

(6,440

)

 

7,157

Hedge Total

 

$

(3,653,000

)

 

 

$

(81,834

)

 

$

85,379

Rate Shock Grand Total

 

 

 

 

 

 

$

14,276

 

$

(15,221

)

(1)

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.

(2)

Five-year Treasury futures contracts were valued at prices of $107.93 at December 31, 2022. The market value of the short position was $809.5 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $118.28 at December 31, 2022. The market value of the short position was $206.4 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

Fair

 

of

Asset Category

 

Value

 

Portfolio

As of December 31, 2022

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,320,960

 

65.6

%

Freddie Mac

 

1,219,042

 

34.4

%

Total Mortgage Assets

 

$

3,540,002

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

Fair

 

of

Asset Category

 

Value

 

Portfolio

As of December 31, 2022

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

156,874

 

4.4

%

Whole Pool Assets

 

3,383,128

 

95.6

%

Total Mortgage Assets

 

$

3,540,002

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

Weighted

 

 

 

 

 

 

 

% of

 

Average

 

Average

 

 

 

Total

 

Total

 

Repo

 

Maturity

Longest

As of December 31, 2022

 

Borrowings

 

Debt

 

Rate

 

in Days

Maturity

Mirae Asset Securities (USA) Inc.

 

$

312,989

 

9.3

%

 

 

4.23%

 

 

77

6/22/2023

RBC Capital Markets, LLC

 

274,790

 

8.1

%

 

 

4.50%

 

 

30

2/13/2023

Daiwa Capital Markets America Inc.

 

251,854

 

7.5

%

 

 

4.48%

 

 

18

1/17/2023

ED&F Man Capital Markets Inc

 

240,587

 

7.1

%

 

 

4.49%

 

 

29

3/13/2023

ING Financial Markets LLC

 

238,212

 

7.1

%

 

 

4.47%

 

 

34

2/2/2023

Cantor Fitzgerald & Co

 

229,444

 

6.8

%

 

 

4.46%

 

 

30

2/13/2023

ABN AMRO Bank N.V.

 

227,888

 

6.7

%

 

 

4.48%

 

 

14

1/13/2023

J.P. Morgan Securities LLC

 

219,283

 

6.5

%

 

 

4.49%

 

 

13

1/23/2023

Merrill Lynch, Pierce, Fenner & Smith

 

192,467

 

5.7

%

 

 

4.47%

 

 

10

1/30/2023

Citigroup Global Markets Inc

 

190,956

 

5.7

%

 

 

4.32%

 

 

10

1/23/2023

StoneX Financial Inc.

 

184,375

 

5.5

%

 

 

4.45%

 

 

27

2/10/2023

Mitsubishi UFJ Securities (USA), Inc

 

178,394

 

5.3

%

 

 

4.43%

 

 

22

1/30/2023

ASL Capital Markets Inc.

 

165,172

 

4.9

%

 

 

4.50%

 

 

36

2/13/2023

Goldman, Sachs & Co.

 

124,821

 

3.7

%

 

 

4.53%

 

 

27

2/23/2023

Santander Bank, N.A.

 

115,477

 

3.4

%

 

 

4.40%

 

 

25

1/27/2023

Wells Fargo Bank, N.A.

 

95,366

 

2.8

%

 

 

4.46%

 

 

13

1/12/2023

BMO Capital Markets Corp.

 

77,708

 

2.3

%

 

 

4.37%

 

 

24

1/23/2023

South Street Securities, LLC

 

37,198

 

1.1

%

 

 

4.48%

 

 

18

1/17/2023

Lucid Cash Fund USG, LLC

 

18,703

 

0.6

%

 

 

4.38%

 

 

13

1/12/2023

Lucid Prime Fund, LLC

 

2,761

 

0.1

%

 

 

4.38%

 

 

13

1/12/2023

Total Borrowings

 

$

3,378,445

 

100.0

%

 

 

4.44%

 

 

28

6/22/2023

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20230111005865/en/

Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772) 231-1400