Orchid Island Capital Announces Estimated Third Quarter 2022 Results, October 2022 Monthly Dividend, Increase in Stock Repurchase Program Authorization and September 30, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) declared a monthly dividend of $0.16 per share for October 2022, payable on November 28, 2022. The Board also approved an increase in the stock repurchase program by 4.3 million shares, now totaling 5 million shares available for repurchase, approximately 15% of outstanding shares. However, the company reported an estimated net loss of $2.41 per share, driven by significant losses on RMBS and derivatives, marking an estimated (16.7)% total return on equity for the quarter ending September 30, 2022.

Positive

• Monthly dividend of $0.16 per share, indicating a commitment to return value to shareholders.
• Increased stock repurchase program by 4.3 million shares, enhancing shareholder value.

Negative

• Estimated net loss of $2.41 per share for the quarter, indicating potential financial strain.
• Losses of $2.66 per share on RMBS and derivative instruments could signify volatility in portfolio performance.
• Estimated total return on equity of (16.7)% reflects poor stock performance.

• October 2022 Monthly Dividend of $0.16 Per Share of Common Stock
• Increased Stock Repurchase Program Authorization by 4.3 Million Shares of Common Stock
• Estimated Book Value Per Share as of September 30, 2022 of $11.42
• Estimated GAAP net loss of $2.41 per share for the quarter ended September 30, 2022, including an estimated $2.66 per share of net realized and unrealized losses on RMBS and derivative instruments
• Estimated (16.7)% total return on equity for the quarter
• Estimated book value, net loss 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 September 30, 2022
• Next Dividend Announcement Expected November 9, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of October 2022. The dividend of $0.16 per share will be paid November 28, 2022 to holders of record of the Company’s common stock on October 31, 2022, with an ex-dividend date of October 28, 2022. The Company plans on announcing its next common stock dividend on November 9, 2022.

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 October 12, 2022, the Company had 33,760,251 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding. As of June 30, 2022, the Company had 35,250,239 shares of common stock outstanding, adjusted for the Company’s one-for-five reverse stock split effective August 30, 2022 (the “Reverse Stock Split”).

Stock Repurchase Program

Today, the Board approved an increase in the number of shares of the Company’s common stock available in its previously announced stock repurchase program (the “Repurchase Program”) for up to an additional 4.3 million shares, bringing the remaining authorization under the Repurchase Program to 5.0 million shares, representing approximately 15% of the Company’s currently outstanding shares of common stock.

As part of the Repurchase Program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be 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 Repurchase Program may be suspended or discontinued at the Company’s discretion without prior notice. The Repurchase Program has no termination date.

Estimated September 30, 2022 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2022 was $11.42. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2022, the Company's preliminary estimated total stockholders' equity was approximately $400.4 million with 35,066,251 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 Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $2.41, which includes $2.66 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2022. These amounts compare to total dividends declared during the quarter of $0.545 per share, adjusted for the Reverse Stock Split, as applicable. Net loss 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 loss. 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 September 30, 2022 was (16.7)%. 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 $(2.395) per share, comprised of dividends per share of $0.545 and a decrease in book value per share of $2.94 from June 30, 2022.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 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 September 30, 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 and the Repurchase Program. 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
														Sep 2022	Jul - Sep		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 Oct)	in Oct)		(-50 BPS)(1)			(+50 BPS)(1)
Pass Through RMBS
15yr 4.0	$	408		$	397	0.01%		$	97.35	4.00%	4.54%	53	126	0.7%	0.8%	$	7		$	(7)
15yr Total		408			397	0.01%			97.35	4.00%	4.54%	53	126	0.7%	0.8%		7			(7)
30yr 3.0		2,601,125			2,281,997	71.29%			87.73	3.00%	3.44%	17	340	5.4%	5.7%		72,204			(74,402)
30yr 3.5		219,548			201,102	6.28%			91.60	3.50%	4.03%	31	320	6.4%	9.7%		5,523			(5,658)
30yr 4.0		277,584			258,719	8.08%			93.20	4.00%	4.72%	15	343	8.2%	7.5%		6,389			(6,881)
30yr 4.5		371,742			354,747	11.08%			95.43	4.50%	5.45%	3	357	2.8%	5.0%		7,137			(7,952)
30yr 5.0		54,797			53,441	1.67%			97.53	5.00%	5.92%	3	358	2.2%	n/a		911			(1,049)
30yr Total		3,524,796			3,150,006	98.40%			89.37	3.30%	3.83%	16	341	5.3%	6.1%		92,164			(95,942)
Total Pass Through RMBS		3,525,204			3,150,403	98.41%			89.37	3.30%	3.83%	16	341	5.3%	6.1%		92,171			(95,949)
Structured RMBS
IO 20yr 4.0		11,312			1,346	0.04%			11.90	4.00%	4.57%	129	104	11.2%	11.6%		6			(7)
IO 30yr 3.0		3,252			409	0.01%			12.58	3.00%	3.64%	92	258	0.7%	29.3%		(1)			(1)
IO 30yr 3.5		145,785			29,657	0.93%			20.34	3.50%	4.02%	44	310	8.7%	9.5%		(398)			274
IO 30yr 4.0		94,055			17,600	0.55%			18.71	4.00%	4.60%	97	254	7.8%	11.3%		(409)			305
IO 30yr 4.5		4,052			802	0.03%			19.79	4.50%	4.99%	147	200	10.7%	10.5%		(8)			5
IO 30yr 5.0		2,242			460	0.01%			20.52	5.00%	5.36%	147	200	1.6%	3.8%		(8)			6
IO Total		260,698			50,274	1.57%			19.28	3.72%	4.27%	70	278	8.3%	10.4%		(818)			582
IIO 30yr 4.0		32,609			537	0.02%			1.65	1.51%	4.40%	60	289	0.6%	9.9%		141			(116)
Total Structured RMBS		293,307			50,811	1.59%			17.32	3.48%	4.29%	69	279	7.5%	10.4%		(677)			466
Total Mortgage Assets	$	3,818,511		$	3,201,214	100.00%				3.31%	3.86%	20	336	5.5%	6.5%	$	91,494		$	(95,483)
																	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)			Dec-2022											$	(16,511)		$	18,056
10-Year Treasury Ultra(3)		(174,500)			Dec-2022												(10,293)			9,310
Swaps		(1,400,000)			Jul-2028												(32,894)			31,793
TBA		(475,000)			Nov-2022												(13,153)			13,841
Swaptions		(625,300)			Jan-2024												(6,490)			7,544
Hedge Total	$	(3,425,300)														$	(79,341)		$	80,544
Rate Shock Grand Total																$	12,153		$	(14,939)

(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 $107.51 at September 30, 2022. The market value of the short position was $806.8 million.
(3)	Ten-year Treasury Ultra futures contracts were valued at prices of $118.48 at September 30, 2022. The market value of the short position was $206.8 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	Portfolio		Asset Category		Value	Portfolio
As of September 30, 2022					As of September 30, 2022
Fannie Mae	$	2,231,699	69.7%		Non-Whole Pool Assets	$	140,243	4.4%
Freddie Mac		969,515	30.3%		Whole Pool Assets		3,060,971	95.6%
Total Mortgage Assets	$	3,201,214	100.0%		Total Mortgage Assets	$	3,201,214	100.0%

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of September 30, 2022		Borrowings		Debt		Rate	in Days	Maturity
Daiwa Securities America Inc.	$	305,822		9.9%		3.05%	25	11/3/2022
Merrill Lynch, Pierce, Fenner & Smith		296,050		9.4%		2.81%	15	10/27/2022
Mirae Asset Securities (USA) Inc.		286,438		9.1%		3.02%	52	1/30/2023
Cantor Fitzgerald & Co		234,245		7.5%		3.04%	36	11/16/2022
J.P. Morgan Securities LLC		223,180		7.1%		2.90%	13	10/26/2022
Mitsubishi UFJ Securities (USA), Inc		206,189		6.6%		3.09%	33	11/8/2022
ED&F Man Capital Markets Inc		200,001		6.4%		3.12%	22	10/24/2022
ABN AMRO Bank N.V.		194,818		6.2%		2.89%	44	11/15/2022
RBC Capital Markets, LLC		173,422		5.5%		2.75%	7	10/13/2022
ING Financial Markets LLC		149,958		4.8%		3.14%	34	11/3/2022
Goldman, Sachs & Co		129,760		4.1%		3.14%	38	11/14/2022
Nomura Securities International, Inc.		123,060		3.9%		3.15%	39	11/14/2022
Santander Bank, N.A.		117,062		3.7%		3.14%	27	10/28/2022
Citigroup Global Markets Inc		111,594		3.6%		2.87%	28	11/3/2022
Wells Fargo Bank, N.A.		101,431		3.2%		2.88%	36	11/14/2022
Bank of Montreal		80,692		2.6%		3.14%	24	10/24/2022
StoneX Financial Inc.		74,348		2.4%		3.14%	24	10/24/2022
ASL Capital Markets Inc.		64,836		2.1%		3.15%	21	10/21/2022
South Street Securities, LLC		38,047		1.2%		3.12%	19	10/19/2022
Lucid Cash Fund USG LLC		22,908		0.7%		2.78%	13	10/13/2022
Total Borrowings	$	3,133,861		100.0%		3.00%	29	1/30/2023

 

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Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

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

The October 2022 dividend for Orchid Island Capital is $0.16 per share.

When will Orchid Island Capital's October dividend be paid?

The October dividend will be paid on November 28, 2022.

How many shares are authorized for repurchase by Orchid Island Capital?

Orchid Island Capital has authorized an additional 4.3 million shares for repurchase, totaling 5 million shares.

What is the estimated net loss for Orchid Island Capital for the quarter ended September 30, 2022?

The estimated net loss for Orchid Island Capital is $2.41 per share for the quarter ended September 30, 2022.

What was Orchid Island Capital's total return on equity for the quarter?

The estimated total return on equity for Orchid Island Capital was (16.7)% for the quarter ended September 30, 2022.