Orchid Island Capital Announces December 2022 Monthly Dividend and November 30, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) has declared a monthly cash dividend of $0.16 per share, to be paid on January 27, 2023. The record date is December 30, 2022, with an ex-dividend date of December 29, 2022. The Company estimates its book value per share to be between $11.95 and $12.05 as of December 9, 2022, showing a significant increase from $11.42 at September 30, 2022.

Future announcements regarding dividends are expected on January 11, 2023.

Positive

• Monthly dividend of $0.16 per share announced, reinforcing income for shareholders.
• Estimated book value increase to $11.95 - $12.05, reflecting positive asset valuation.

Negative

• No minimum distribution payment level established, raising sustainability concerns for future dividends.

• 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

VERO BEACH, Fla.--(BUSINESS WIRE)-- 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.

 

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Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount for December 2022 for Orchid Island Capital (ORC)?

The declared dividend for December 2022 is $0.16 per share.

When is the payment date for Orchid Island Capital's December 2022 dividend?

The payment date for the dividend is January 27, 2023.

What is the estimated book value per share for ORC as of December 9, 2022?

The estimated book value per share is between $11.95 and $12.05.

When will Orchid Island Capital announce its next dividend?

The next dividend announcement is expected on January 11, 2023.

What are the implications of Orchid Island Capital not having a minimum distribution payment level?

This raises concerns about the sustainability of future dividends.