ORCHID ISLAND CAPITAL ANNOUNCES
DECEMBER 2022 MONTHLY DIVIDEND AND NOVEMBER 30, 2022 RMBS
PORTFOLIO CHARACTERISTICS
●
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 $11.9 5 to $12.05 as of December 9, 2022
●
Next Dividend Announcement Expected January 11, 2023
Vero Beach, Fla., December 13, 2022 - 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%
0.8%
0.8%
$
7
$
(7)
15yr Total
402
396
0.01%
98.47
4.00%
4.54%
0.8%
0.8%
7
(7)
30yr 3.0
2,569,029
2,282,232
64.08%
88.84
3.00%
3.44%
5.1%
5.1%
70,791
(72,990)
30yr 3.5
216,501
201,628
5.66%
93.13
3.50%
4.03%
6.7%
6.3%
5,383
(5,509)
30yr 4.0
272,939
259,238
7.28%
94.98
4.00%
4.72%
5.3%
7.0%
6,013
(6,527)
30yr 4.5
369,651
359,870
10.10%
97.35
4.50%
5.45%
1.7%
n/a
6,218
(7,188)
30yr 5.0
440,411
438,310
12.31%
99.52
5.00%
5.90%
2.8%
0.8%
6,916
(8,128)
30yr Total
3,868,531
3,541,278
99.43%
91.54
3.47%
4.03%
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%
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%
10.5%
10.0%
3
(5)
IO 30yr 3.0
3,232
399
0.01%
12.34
3.00%
3.64%
3.9%
1.8%
(3)
-
IO 30yr 4.0
92,311
16,767
0.47%
18.16
4.00%
4.60%
5.9%
6.5%
(586)
458
IO 30yr 4.5
3,966
733
0.02%
18.47
4.50%
4.99%
6.6%
8.0%
(13)
9
IO 30yr 5.0
2,216
443
0.01%
20.01
5.00%
5.36%
9.5%
5.3%
(12)
9
IO Total
112,689
19,491
0.55%
17.30
4.01%
4.60%
6.4%
6.8%
(611)
471
IIO 30yr 4.0
32,127
482
0.01%
1.50
0.58%
4.40%
9.2%
4.0%
104
(82)
Total Structured RMBS
144,816
19,973
0.56%
13.79
3.25%
4.55%
7.0%
6.1%
(507)
389
Total Mortgage Assets
$
4,013,749
$
3,561,647
100.00%
3.46%
4.05%
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 approximatel y $285.3 million purchased in November 2022, which settle in December 2022.
Borrowings By Counterparty
($ 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.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400