- 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
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