Orchid Island Capital, Inc. (NYSE:ORC) ("Orchid” or the
"Company"), a real estate investment trust ("REIT"), today
announced results of operations for the three and twelve month
periods ended December 31, 2023.
Fourth Quarter 2023 Results
- Net income of $27.1 million, or $0.52 per common share, which
consists of:
- Net interest expense of $(2.8) million, or $(0.05) per common
share
- Total expenses of $4.1 million, or $0.08 per common share
- Net realized and unrealized gains of $34.0 million, or $0.65
per common share, on RMBS and derivative instruments, including net
interest income on interest rate swaps
- Fourth quarter and full year total dividends declared and paid
of $0.36 and $1.80 per common share, respectively
- Book value per common share of $9.10 at December 31, 2023
- Total return of 6.05%, comprised of $0.36 dividends per common
share and an $0.18 increase in book value per common share, divided
by beginning book value per common share
Other Financial Highlights
- Orchid maintained a strong liquidity position of $200.4 million
in cash and cash equivalents and unpledged securities (net of
unsettled purchased securities, or 43% of stockholder’s equity as
of December 31, 2023
- Borrowing capacity in excess of December 31, 2023 outstanding
repurchase agreement balances of $3,705.7 million, spread across 21
active lenders
- Company to discuss results on Friday, February 2, 2024, 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 fourth quarter results, Robert E. Cauley,
Chairman and Chief Executive Officer, said, “The last quarter of
2023 may prove to be a very pivotal period. At the conclusion of
the third quarter of 2023 several factors were driving interest
rates rapidly higher and the market fully expected rates to remain
higher for an extended period. Rapidly expanding federal deficits
were a key driver and the Federal Reserve’s (the "Fed") own
outlook, expressed via their quarterly “dot plots,” reflected rates
remaining high through 2024. The outlook began to change in early
November. The impetus was twofold. Economic data, particularly
inflation data, appeared to moderate. The Fed reacted to this
development in their public comments. Even the Chairman at the
press conference at the conclusion of their December meeting
strongly hinted that if inflation continued to moderate, they were
done raising rates and they would likely cut rates – perhaps
relatively soon.
“The markets reacted strongly to these developments. Risk assets
of all types performed very well over the balance of the fourth
quarter. Several sectors of the fixed income markets with negative
year to date returns as of November 1, 2023 ended the quarter and
year with positive returns. Interest rates ended the quarter
significantly lower than the levels at September 30, 2023, even
after rising significantly during October. The yield on the 2-year
U.S. Treasury declined by nearly 80 basis points during the fourth
quarter, and the 10-year U.S. Treasury declined by approximately 70
basis points. Equity markets performed even better, with the
S&P 500 finishing the quarter with a positive 11.7% return and
the year with a positive 26.3% return. Agency MBS had a relatively
strong quarter, outperforming most other sectors of the fixed
income markets except for municipals and emerging market high
yield. For the year Agency MBS returns were not as strong on a
relative basis, but still positive at +5.05%.
“Orchid’s book value increased over the quarter, from $8.92 at
the end of the third quarter to $9.10 at December 31, 2023. During
the turbulent weeks at the beginning of the quarter as rates moved
higher and mortgage performance was quite poor, we reduced leverage
and decreased the size of the portfolio by approximately 15.7% with
the sales focused solely in longer duration discount securities.
When the market reversed and interest rates decreased, we kept our
hedge coverage constant as it appeared the market might be getting
too optimistic on the magnitude and timing of rate cuts in 2024. As
we entered 2024 this proved to be a prudent step as the market has
since reversed again and market pricing of Fed rates cuts in 2024
has both declined and been pushed further into the future.
Mortgages have not performed very well, having widened to
comparable duration rates or swaps slightly.
“As we enter 2024 the steps taken in 2023 should serve us well.
We have reduced our exposure to lower coupon securities and
increased the weighted average coupon of the portfolio from 3.47%
at December 31, 2022 to 4.33% at December 31, 2023. Our hedge
strategy has protected our funding costs from increasing too high
as the Fed raised overnight funding costs towards 5.5%. In fact,
our economic interest spread, which reflects the effect of our
hedges, increased from 1.33% at September 30, 2023 to 2.35% at year
end. Going forward, the severe book value pressure for the bulk of
the last two years appears to have abated and with our earnings
having stabilized, we believe there is room for our earnings to
increase should Fed rate cuts lower our funding costs.”
Details of Fourth Quarter 2023 Results of Operations
The Company reported net income of $27.1 million for the three
month period ended December 31, 2023, compared with net income of
$34.9 million for the three month period ended December 31, 2022.
The Company decreased its Agency RMBS portfolio during the fourth
quarter of 2023, from $4.5 billion at September 30, 2023 to $3.9
billion at December 31, 2023. Interest income on the portfolio in
the fourth quarter was down approximately $0.6 million from the
third quarter of 2023. The yield on our average Agency RMBS
increased from 4.51% in the third quarter of 2023 to 4.71% for the
fourth quarter of 2023, repurchase agreement borrowing costs
decreased from 5.44% for the third quarter of 2023 to 5.15% for the
fourth quarter of 2023, and our net interest spread increased from
(0.93)% in the third quarter of 2023 to (0.44)% in the fourth
quarter of 2023.
Book value increased by $0.18 per share in the fourth quarter of
2023. The increase in book value reflects our net income of $0.52
per share and the dividend distribution of $0.36 per share. The
Company recorded net realized and unrealized gains of $0.65 per
share on Agency RMBS assets and derivative instruments, including
net interest income on interest rate swaps.
Details of Full Year 2023 Results of Operations
The Company reported a net loss of $39.2 million for the year
ended December 31, 2023, compared with a net loss of $258.5 million
for the year ended December 31, 2022. Interest income on the
portfolio in the year ended December 31, 2023 was approximately
$177.6 million and the yield on our average Agency RMBS was 4.28%.
Repurchase agreement interest expense was $201.9 million during
2023 with an average cost of 5.07%.
Prepayments
For the quarter ended December 31, 2023, Orchid received $88.8
million in scheduled and unscheduled principal repayments and
prepayments, which equated to a 3-month constant prepayment rate
(“CPR”) of approximately 5.5%. Prepayment rates on the two RMBS
sub-portfolios were as follows (in CPR):
Structured
PT RMBS
RMBS
Total
Three Months Ended
Portfolio (%)
Portfolio (%)
Portfolio (%)
December 31, 2023
5.4
7.9
5.5
September 30, 2023
6.1
5.7
6.0
June 30, 2023
5.6
7.0
5.6
March 31, 2023
3.9
5.7
4.0
December 31, 2022
4.9
6.0
5.0
September 30, 2022
6.1
10.4
6.5
June 30, 2022
8.3
13.7
9.4
March 31, 2022
8.1
19.5
10.7
Portfolio
The following tables summarize certain characteristics of
Orchid’s PT RMBS (as defined below) and structured RMBS as of
December 31, 2023 and December 31, 2022:
($ in thousands)
Weighted
Percentage
Average
of
Weighted
Maturity
Fair
Entire
Average
in
Longest
Asset Category
Value
Portfolio
Coupon
Months
Maturity
December 31, 2023
Fixed Rate RMBS
$
3,877,082
99.6
%
4.33
%
334
1-Nov-53
Interest-Only Securities
16,572
0.4
%
4.01
%
223
25-Jul-48
Inverse Interest-Only Securities
358
0.0
%
0.00
%
274
15-Jun-42
Total Mortgage Assets
$
3,894,012
100.0
%
4.30
%
331
1-Nov-53
December 31, 2022
Fixed Rate RMBS
$
3,519,906
99.4
%
3.47
%
339
1-Nov-52
Interest-Only Securities
19,669
0.6
%
4.01
%
234
25-Jul-48
Inverse Interest-Only Securities
427
0.0
%
0.00
%
286
15-Jun-42
Total Mortgage Assets
$
3,540,002
100.0
%
3.46
%
336
1-Nov-52
($ in thousands)
December 31, 2023
December 31, 2022
Percentage of
Percentage of
Agency
Fair Value
Entire Portfolio
Fair Value
Entire Portfolio
Fannie Mae
$
2,714,192
69.7
%
$
2,320,960
65.6
%
Freddie Mac
1,179,820
30.3
%
1,219,042
34.4
%
Total Portfolio
$
3,894,012
100.0
%
$
3,540,002
100.0
%
December 31, 2023
December 31, 2022
Weighted Average Pass-through Purchase
Price
$
104.10
$
106.41
Weighted Average Structured Purchase
Price
$
18.74
$
18.74
Weighted Average Pass-through Current
Price
$
95.70
$
91.46
Weighted Average Structured Current
Price
$
13.51
$
14.05
Effective Duration (1)
4.400
5.580
(1)
Effective duration of 4.400 indicates that
an interest rate increase of 1.0% would be expected to cause a
4.400% decrease in the value of the RMBS in the Company’s
investment portfolio at December 31, 2023. An effective duration of
5.580 indicates that an interest rate increase of 1.0% would be
expected to cause a 5.580% decrease in the value of the RMBS in the
Company’s investment portfolio at December 31, 2022. 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 December 31, 2023, the Company had outstanding repurchase
obligations of approximately $3,705.6 million with a net weighted
average borrowing rate of 5.55%. These agreements were
collateralized by RMBS with a fair value, including accrued
interest, of approximately $3,900.5 million. The Company’s adjusted
leverage ratio, defined as the balance of repurchase agreement
liabilities divided by stockholders' equity, at December 31, 2023
was 7.9 to 1. At December 31, 2023, the Company’s liquidity was
approximately $200.4 million consisting of cash and cash
equivalents and unpledged securities (not including unsettled
securities purchases). To enhance our liquidity even further, we
may pledge more of our structured RMBS as part of a repurchase
agreement funding, but retain the cash in lieu of acquiring
additional assets. In this way we can, at a modest cost, retain
higher levels of cash on hand and decrease the likelihood we will
have to sell assets in a distressed market in order to raise cash.
Below is a list of our outstanding borrowings under repurchase
obligations at December 31, 2023.
($ in thousands)
Weighted
Weighted
Total
Average
Average
Outstanding
% of
Borrowing
Amount
Maturity
Counterparty
Balances
Total
Rate
at Risk(1)
in Days
RBC Capital Markets, LLC
300,275
8.1
%
5.53
%
$
9,705
16
Citigroup Global Markets Inc
298,549
8.1
%
5.55
%
15,832
26
Mitsubishi UFJ Securities (USA), Inc.
284,167
7.7
%
5.57
%
15,761
22
J.P. Morgan Securities LLC
266,958
7.2
%
5.54
%
14,264
18
Cantor Fitzgerald & Co
257,999
7.0
%
5.54
%
12,990
44
ASL Capital Markets Inc.
244,611
6.6
%
5.53
%
13,391
17
Wells Fargo Bank, N.A.
218,540
5.9
%
5.56
%
11,522
26
Mirae Asset Securities (USA) Inc.
200,200
5.4
%
5.53
%
8,721
52
Merrill Lynch, Pierce, Fenner &
Smith
193,715
5.2
%
5.56
%
13,036
16
Daiwa Securities America Inc.
179,787
4.9
%
5.54
%
6,862
24
ABN AMRO Bank N.V.
177,114
4.8
%
5.55
%
10,102
20
Bank of Montreal
169,041
4.6
%
5.55
%
9,112
16
StoneX Financial Inc.
168,852
4.6
%
5.55
%
9,023
16
Goldman, Sachs & Co
160,410
4.3
%
5.56
%
8,533
18
Banco Santander SA
154,412
4.2
%
5.53
%
7,670
71
ING Financial Markets LLC
128,758
3.5
%
5.55
%
5,498
16
Marex Capital Markets Inc.
115,143
3.1
%
5.52
%
4,385
10
DV Securities, LLC Repo
88,423
2.4
%
5.55
%
5,105
48
South Street Securities, LLC
80,295
2.2
%
5.57
%
4,131
59
Lucid Cash Fund USG LLC
9,840
0.3
%
5.55
%
768
18
Lucid Prime Fund, LLC
8,560
0.2
%
5.54
%
474
18
Total / Weighted Average
$
3,705,649
100.0
%
5.55
%
$
186,885
26
(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 December 31,
2023, such instruments were comprised of U.S. Treasury note
(“T-Note”) and Secured Overnight Financing Rate ("SOFR") futures
contracts, interest rate swap agreements, interest rate swaption
agreements, and contracts to sell to-be-announced ("TBA")
securities.
The table below presents information related to the Company’s
T-Note and SOFR futures contracts at December 31, 2023.
($ in thousands)
December 31, 2023
Average
Weighted
Weighted
Contract
Average
Average
Notional
Entry
Effective
Open
Expiration Year
Amount
Rate
Rate
Equity(1)
U.S. Treasury Note Futures Contracts
(Short Positions)(2)
March 2024 5-year T-Note futures (Mar 2024
- Mar 2029 Hedge Period)
$
421,500
4.36
%
4.04
%
$
(9,936
)
March 2024 10-year Ultra futures (Mar 2024
- Mar 2034 Hedge Period)
320,000
4.38
%
4.39
%
$
(11,393
)
SOFR Futures Contracts (Short
Positions)
June 2024 3-Month SOFR futures (Mar 2024 -
Jun 2024 Hedge Period)
$
25,000
5.08
%
4.99
%
$
(24
)
September 2024 3-Month SOFR futures (Jun
2024 - Sep 2024 Hedge Period)
25,000
4.67
%
4.52
%
$
(39
)
December 2024 3-Month SOFR futures (Sep
2024 - Dec 2024 Hedge Period)
25,000
4.27
%
4.10
%
$
(44
)
March 2025 3-Month SOFR futures (Dec 2024
- Mar 2025 Hedge Period)
25,000
3.90
%
3.73
%
$
(43
)
June 2025 3-Month SOFR futures (Mar 2025 -
Jun 2025 Hedge Period)
25,000
3.58
%
3.42
%
$
(41
)
September 2025 3-Month SOFR futures (Jun
2025 - Sep 2025 Hedge Period)
25,000
3.37
%
3.21
%
$
(39
)
December 2025 3-Month SOFR futures (Sep
2025 - Dec 2025 Hedge Period)
25,000
3.25
%
3.10
%
$
(37
)
March 2026 3-Month SOFR futures (Dec 2025
- Mar 2026 Hedge Period)
25,000
3.21
%
3.07
%
$
(35
)
(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 $108.77 at December 31, 2023. The contract
values of the short positions were $458.5 million at December 31,
2023. 10-Year Ultra futures contracts were valued at a price of
$112.89 at December 31, 2023. The contract value of the short
positions was $361.3 million at December 31, 2023.
The table below presents information related to the Company’s
interest rate swap positions at December 31, 2023.
($ in thousands)
Average
Fixed
Average
Average
Notional
Pay
Receive
Maturity
Amount
Rate
Rate
(Years)
Expiration > 1 to ≤ 5 years
$
500,000
0.84
%
5.64
%
2.7
Expiration > 5 years
1,826,500
2.62
%
5.40
%
6.8
$
2,326,500
2.24
%
5.45
%
5.9
The following table presents information related to our interest
rate swaption positions as of December 31, 2023.
($ 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
positions)
≤ 1 year
$
1,619
$
72
5.0
$
800,000
5.40
%
SOFR
1.0
The following table summarizes our contracts to sell TBA
securities as of December 31, 2023.
($ in thousands)
Notional
Net
Amount
Cost
Market
Carrying
Long (Short)(1)
Basis(2)
Value(3)
Value(4)
December 31, 2023
30-Year TBA securities:
3.00%
$
(70,700
)
$
(59,278
)
$
(62,647
)
$
(3,369
)
5.00%
(250,000
)
(242,725
)
(247,657
)
(4,932
)
5.50%
(325,000
)
(322,410
)
(326,803
)
(4,393
)
$
(645,700
)
$
(624,413
)
$
(637,107
)
$
(12,694
)
(1)
Notional amount represents the
par value (or principal balance) of the underlying Agency RMBS.
(2)
Cost basis represents the forward
price to be paid (received) for the underlying Agency RMBS.
(3)
Market value represents the
current market value of the TBA securities (or of the underlying
Agency RMBS) as of period-end.
(4)
Net carrying value represents the
difference between the market value and the cost basis of the TBA
securities as of period-end and is reported in derivative assets
(liabilities) at fair value in our balance sheets.
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
amounts)
Year
Per Share Amount
Total
2013
$
6.975
$
4,662
2014
10.800
22,643
2015
9.600
38,748
2016
8.400
41,388
2017
8.400
70,717
2018
5.350
55,814
2019
4.800
54,421
2020
3.950
53,570
2021
3.900
97,601
2022
2.475
87,906
2023
1.800
81,127
2024 YTD(1)
0.120
6,181
Totals
$
66.570
$
614,778
(1)
On January 10, 2024, the Company declared
a dividend of $0.12 per share to be paid on February 27, 2024. The
effect of this dividend is included in the table above but is not
reflected in the Company’s financial statements as of December 31,
2023.
Book Value Per Share
The Company's book value per share at December 31, 2023 was
$9.10. 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 December 31, 2023, the Company's
stockholders' equity was $469.9 million with 51,636,074 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 September 30, 2023, approximately 95.1% 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 December 31, 2023, the allocation to the
PT RMBS portfolio increased to approximately 95.6%.
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 - September 30,
2023
$
4,502,115
$
17,833
$
277
$
18,110
$
4,520,225
Securities purchased
77,243
-
-
-
77,243
Securities sold
(797,633
)
-
-
-
(797,633
)
Losses on sales
(22,642
)
-
-
-
(22,642
)
Return of investment
n/a
(593
)
-
(593
)
(593
)
Pay-downs
(88,223
)
n/a
-
n/a
(88,223
)
Discount accretion due to pay-downs
8,067
n/a
-
n/a
8,067
Mark to market gains (losses)
198,155
(668
)
81
(587
)
197,568
Market value - December 31,
2023
$
3,877,082
$
16,572
$
358
$
16,930
$
3,894,012
The tables below present the allocation of capital between the
respective portfolios at December 31, 2023 and September 30, 2023,
and the return on invested capital for each sub-portfolio for the
three month period ended December 31, 2023.
($ in thousands)
Capital Allocation
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
December 31, 2023
Market value
$
3,877,082
$
16,572
$
358
$
16,930
$
3,894,012
Cash
200,289
-
-
-
200,289
Borrowings(1)
(3,705,649
)
-
-
-
(3,705,649
)
Total
$
371,722
$
16,572
$
358
$
16,930
$
388,652
% of Total
95.6
%
4.3
%
0.1
%
4.4
%
100.0
%
September 30, 2023
Market value
$
4,502,115
$
17,833
$
277
$
18,110
$
4,520,225
Cash
278,217
-
-
-
278,217
Borrowings(2)
(4,426,947
)
-
-
-
(4,426,947
)
Total
$
353,385
$
17,833
$
277
$
18,110
$
371,495
% of Total
95.1
%
4.8
%
0.1
%
4.9
%
100.0
%
(1)
At December 31, 2023, there were
outstanding repurchase agreement balances of $13.9 million secured
by IO securities and $0.2 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 September 30, 2023, there were
outstanding repurchase agreement balances of $14.7 million secured
by IO securities and $0.5 million secured by IIO securities. We
entered into these arrangements to generate additional cash
available to meet margin calls on PT RMBS; therefore, we have not
considered these balances to be allocated to the structured
securities strategy.
The return on invested capital in the PT RMBS and structured
RMBS portfolios was approximately 8.7% and (1.1)%, respectively,
for the fourth quarter of 2023. The combined portfolio generated a
return on invested capital of approximately 8.2%.
($ in thousands)
Returns for the Quarter Ended
December 31, 2023
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Income (net of borrowing cost)
$
(3,191
)
$
403
$
-
$
403
$
(2,788
)
Realized and unrealized gains (losses)
183,580
(668
)
81
(587
)
182,993
Derivative losses
(149,016
)
n/a
n/a
n/a
(149,016
)
Total Return
$
31,373
$
(265
)
$
81
$
(184
)
$
31,189
Beginning Capital Allocation
$
353,385
$
17,833
$
277
$
18,110
$
371,495
Return on Invested Capital for the
Quarter(1)
8.9
%
(1.5
)%
29.2
%
(1.0
)%
8.4
%
Average Capital Allocation(2)
$
362,554
$
17,203
$
318
$
17,521
$
380,075
Return on Average Invested Capital for the
Quarter(3)
8.7
%
(1.5
)%
25.5
%
(1.1
)%
8.2
%
(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 March 7, 2023, we entered into an equity distribution
agreement (the “March 2023 Equity Distribution Agreement”) with
three 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
December 31, 2023, we issued a total of 13,190,039 shares under the
March 2023 Equity Distribution Agreement for aggregate gross
proceeds of approximately $129.9 million, and net proceeds of
approximately $127.8 million, after commissions and fees.
Stock Repurchase Program
On July 29, 2015, the Company’s Board of Directors authorized
the repurchase of up to 400,000 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
904,564 shares of the Company’s common stock. Coupled with the
156,751 shares remaining from the original 400,000 share
authorization, the increased authorization brought the total
authorization to 1,061,315 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 3,372,399 shares, bringing the
remaining authorization under the stock repurchase program to
3,539,861 shares, representing approximately 10% of the Company’s
then outstanding shares of common stock. On October 12, 2022, 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 4,300,000 shares, bringing the
remaining authorization under the stock repurchase program to
6,183,601 shares, representing approximately 18% 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
December 31, 2023, the Company repurchased a total of 4,748,361
shares at an aggregate cost of approximately $74.2 million,
including commissions and fees, for a weighted average price of
$15.63 per share. During the year ended December 31, 2023, the
Company repurchased a total of 1,072,789 shares at an aggregate
cost of approximately $9.4 million, including commissions and fees,
for a weighted average price of $8.79 per share. Subsequent to
December 31, 2023, the Company repurchased a total of 332,773
shares at an aggregate cost of approximately $2.8 million,
including commissions and fees, for a weighted average price of
$8.35 per share.
Earnings Conference Call Details
An earnings conference call and live audio webcast will be
hosted Friday, February 2, 2024, at 10:00 AM ET. The conference
call may be accessed by dialing toll free (800) 715-9871. The
conference passcode is 8307491. 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 March 1, 2024.
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, inflation, liquidity, pledging of our structured RMBS,
funding costs, prepayment speeds, portfolio positioning and
repositioning, hedging levels, book value, leverage ratio,
earnings, dividends the supply and demand for Agency RMBS and the
performance of the Agency RMBS sector generally, the effect of
actual or expected actions of the U.S. government, including the
Fed, 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 December 31, 2023 and 2022 ,and the unaudited
quarterly statements of operations for the twelve and three months
ended December 31, 2023 and 2022. Amounts presented are subject to
change.
ORCHID ISLAND CAPITAL,
INC.
BALANCE SHEETS
($ in thousands, except per
share data)
(Unaudited - Amounts Subject
to Change)
December 31, 2023
December 31, 2022
ASSETS:
Mortgage-backed securities
$
3,894,012
$
3,540,002
U.S. Treasury securities
148,820
36,382
Cash, cash equivalents and restricted
cash
200,289
237,219
Accrued interest receivable
14,951
11,519
Derivative assets, at fair value
6,420
40,172
Other assets
455
442
Total Assets
$
4,264,947
$
3,865,736
LIABILITIES AND STOCKHOLDERS'
EQUITY
Repurchase agreements
$
3,705,649
$
3,378,445
Payable of investment securities
purchased
60,454
-
Dividends payable
6,222
5,908
Derivative liabilities, at fair value
12,694
7,161
Accrued interest payable
7,939
9209
Due to affiliates
1,013
1,131
Other liabilities
1,031
25,119
Total Liabilities
3,795,002
3,426,973
Total Stockholders' Equity
469,945
438,763
Total Liabilities and Stockholders'
Equity
$
4,264,947
$
3,865,736
Common shares outstanding
51,636,074
36,764,983
Book value per share
$
9.10
$
11.93
ORCHID ISLAND CAPITAL,
INC.
STATEMENTS OF COMPREHENSIVE
INCOME
($ in thousands, except per
share data)
(Unaudited - Amounts Subject
to Change)
Years Ended December
31,
Three Months Ended December
31,
2023
2022
2023
2022
Interest income
$
177,569
$
144,633
$
49,539
$
31,898
Interest expense
(201,918
)
(61,708
)
(52,325
)
(29,512
)
Net interest (expense) income
(24,349
)
82,925
(2,786
)
2,386
Gains (losses) on RMBS and derivative
contracts
3,654
(323,929
)
33,977
36,728
Net portfolio (loss) income
(20,695
)
(241,004
)
31,191
39,114
Expenses
18,531
17,449
4,064
4,188
Net (loss) income
$
(39,226
)
$
(258,453
)
$
27,127
$
34,926
Other comprehensive income
17
-
1
-
Comprehensive net
$
(39,209
)
$
(258,453
)
$
27,128
$
34,926
Basic and diluted net (loss) income per
share
$
(0.89
)
$
(6.90
)
$
0.52
$
0.95
Weighted Average Shares
Outstanding
44,649,039
37,464,671
52,396,001
36,786,056
Dividends Declared Per Common
Share:
$
1.800
$
2.475
$
0.360
$
0.480
Three Months Ended December
31,
Key Balance Sheet Metrics
2023
2022
Average RMBS(1)
$
4,207,118
$
3,370,608
Average repurchase agreements(1)
4,066,298
3,256,153
Average stockholders' equity(1)
468,393
419,570
Adjusted leverage ratio(2)
7.9:1
7.7:1
Economic leverage ratio(3)
6.7:1
6.3:1
Key Performance Metrics
Average yield on RMBS(4)
4.71
%
3.79
%
Average cost of funds(4)
5.15
%
3.63
%
Average economic cost of funds(5)
2.36
%
2.47
%
Average interest rate spread(6)
(0.44
)%
0.16
%
Average economic interest rate
spread(7)
2.35
%
1.32
%
(1)
Average RMBS, borrowings and stockholders’
equity balances are calculated using two data points, the beginning
and ending balances.
(2)
The adjusted leverage ratio is calculated
by dividing ending repurchase agreement liabilities by ending
stockholders’ equity.
(3)
The economic leverage ratio is calculated
by dividing ending total liabilities adjusted for net notional TBA
positions by ending stockholders' equity.
(4)
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.
(5)
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.
(6)
Average interest rate spread is calculated
by subtracting average cost of funds from average yield on
RMBS.
(7)
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/20240201758251/en/
Orchid Island Capital, Inc. Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
https://ir.orchidislandcapital.com
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