Orchid Island Capital Announces Estimated Fourth Quarter 2022 Results, January 2023 Monthly Dividend and December 31, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital declared a monthly dividend of $0.16 per share for January 2023, payable on February 24, 2023. The estimated book value per share as of December 31, 2022 was $11.93, with a preliminary estimated net income of $0.94 per share including $1.04 from net gains on RMBS. The estimated total return on equity for the quarter was 8.7%. The company is required to distribute at least 90% of its REIT taxable income to maintain tax status, though it has not established a minimum distribution payment level.

Positive

• Monthly dividend of $0.16 per share supports shareholder income.
• Estimated net income of $0.94 per share indicates positive earnings performance.
• Estimated total return on equity at 8.7% reflects strong performance.

Negative

• No assurance of future dividend distributions raises concerns.
• Preliminary figures may change, creating volatility in expected performance.

• 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

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 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

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount for Orchid Island Capital in January 2023?

The dividend amount for January 2023 is $0.16 per share.

When is the January 2023 dividend for Orchid Island Capital payable?

The January 2023 dividend will be paid on February 24, 2023.

What is the estimated book value per share for Orchid Island Capital as of December 31, 2022?

The estimated book value per share as of December 31, 2022, is $11.93.

What is the estimated total return on equity for Orchid Island Capital for the quarter?

The estimated total return on equity for the quarter ended December 31, 2022, is 8.7%.

What is the next dividend announcement date for Orchid Island Capital?

The next dividend announcement for Orchid Island Capital is expected on February 15, 2023.