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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Orchid Island Capital Inc | NYSE:ORC | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.35 | 4.17% | 8.74 | 8.77 | 8.37 | 8.53 | 2,125,554 | 00:53:26 |
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 September 2022. The dividend of $0.16 per share will be paid October 27, 2022 to holders of record of the Company’s common stock on September 30, 2022, with an ex-dividend date of September 29, 2022. The Company plans on announcing its next common stock dividend on October 12, 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 September 12, 2022, the Company had 35,075,239 shares of common stock outstanding. As of August 31, 2022 and 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.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of August 31, 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:
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 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
Aug 2022
Jun - Aug
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 Sep)
in Sep)
(-50 BPS)(2)
(+50 BPS)(2)
Pass Through RMBS
15yr 4.0
$
411
$
413
0.01
%
$
100.46
4.00%
4.54%
52
127
0.7%
0.8%
$
7
$
(7
)
15yr Total
411
413
0.01
%
100.46
4.00%
4.54%
52
127
0.7%
0.8%
7
(7
)
30yr 3.0
3,417,993
3,188,340
74.66
%
93.28
3.00%
3.46%
17
340
6.3%
6.5%
101,295
(105,745
)
30yr 3.5
221,920
215,654
5.05
%
97.18
3.50%
4.03%
30
321
10.1%
11.4%
6,018
(6,250
)
30yr 4.0
279,622
274,982
6.44
%
98.34
4.00%
4.72%
14
345
6.6%
7.3%
6,174
(6,922
)
30yr 4.5
371,742
370,995
8.69
%
99.80
4.50%
5.45%
2
359
n/a
n/a
5,623
(6,897
)
30yr 5.0
55,453
56,119
1.31
%
101.20
5.00%
5.92%
2
359
12.0%
n/a
678
(852
)
30yr Total
4,346,730
4,106,090
96.15
%
94.46
3.24%
3.77%
16
341
6.6%
6.8%
119,788
(126,666
)
Total Pass Through RMBS
4,347,141
4,106,503
96.16
%
94.46
3.24%
3.77%
16
341
6.6%
6.8%
119,795
(126,673
)
Structured RMBS
IO 20yr 3.0
321,009
37,756
0.88
%
11.76
3.00%
3.69%
74
159
10.0%
10.9%
(331
)
153
IO 20yr 4.0
11,540
1,373
0.03
%
11.90
4.00%
4.57%
128
105
13.3%
12.3%
1
(4
)
IO 30yr 3.0
40,417
6,292
0.15
%
15.57
3.00%
3.69%
38
315
13.3%
14.5%
(173
)
135
IO 30yr 3.5
491,842
91,966
2.15
%
18.70
3.50%
4.01%
57
294
10.4%
11.0%
(1,736
)
1,154
IO 30yr 4.0
143,093
24,875
0.58
%
17.38
4.00%
4.55%
76
275
12.3%
14.7%
(837
)
668
IO 30yr 4.5
4,105
725
0.02
%
17.66
4.50%
4.99%
146
201
11.6%
10.6%
(18
)
14
IO 30yr 5.0
2,253
445
0.01
%
19.73
5.00%
5.36%
146
201
2.4%
14.1%
(14
)
11
IO Total
1,014,259
163,432
3.83
%
16.11
3.41%
3.99%
65
246
10.7%
11.7%
(3,108
)
2,131
IIO 30yr 4.0
34,042
736
0.02
%
2.16
1.92%
4.40%
60
290
23.4%
12.8%
181
(159
)
Total Structured RMBS
1,048,301
164,168
3.84
%
15.66
3.36%
4.00%
65
248
11.1%
11.7%
(2,927
)
1,972
Total Mortgage Assets
$
5,395,442
$
4,270,671
100.00
%
3.27%
3.82%
25
323
7.6%
7.8%
$
116,868
$
(124,701
)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)(2)
(+50 BPS)(2)
5-Year Treasury Future(3)
$
(1,200,500
)
Dec-2022
$
(27,346
)
$
31,640
10-Year Treasury Ultra(4)
(274,500
)
Dec-2022
(16,897
)
17,978
Swaps
(1,400,000
)
Jul-2028
(35,518
)
34,325
TBA
(175,000
)
Oct-2022
(5,361
)
5,550
Swaptions
(826,900
)
Jul-2025
(14,138
)
11,159
Hedge Total
$
(3,876,900
)
$
(99,260
)
$
100,652
Rate Shock Grand Total
$
17,608
$
(24,049
)
(1)
Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 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 $110.82 at August 31, 2022. The market value of the short position was $1,330.4 million.
(4)
Ten-year Treasury Ultra futures contracts were valued at prices of $125.19 at August 31, 2022. The market value of the short position was $343.6 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value(1)
Portfolio
Asset Category
Value(1)
Portfolio
As of August 31, 2022
As of August 31, 2022
Fannie Mae
$
2,866,484
67.1
%
Non-Whole Pool Assets
$
259,030
6.1
%
Freddie Mac
1,404,186
32.9
%
Whole Pool Assets
4,011,640
93.9
%
Total Mortgage Assets
$
4,270,670
100.0
%
Total Mortgage Assets
$
4,270,670
100.0
%
(1)
Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 2022.
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of August 31, 2022
Borrowings(1)
Debt
Rate
in Days
Maturity
J.P. Morgan Securities LLC
$
350,323
9.3%
2.41%
13
9/26/2022
Mirae Asset Securities (USA) Inc.
347,836
9.3%
2.06%
43
1/30/2023
Mitsubishi UFJ Securities (USA), Inc
328,481
8.8%
2.71%
36
11/8/2022
ABN AMRO Bank N.V.
321,115
8.6%
2.62%
57
11/15/2022
Merrill Lynch, Pierce, Fenner & Smith
313,086
8.4%
2.50%
24
10/21/2022
Cantor Fitzgerald & Co
244,711
6.5%
2.55%
38
11/16/2022
ED&F Man Capital Markets Inc
232,222
6.2%
2.36%
21
9/22/2022
RBC Capital Markets, LLC
224,605
6.0%
2.38%
6
9/14/2022
ING Financial Markets LLC
199,799
5.3%
2.38%
22
9/22/2022
Daiwa Capital Markets America Inc.
179,821
4.8%
2.36%
17
9/22/2022
Santander Bank, N.A.
171,740
4.6%
2.51%
28
9/29/2022
Goldman, Sachs & Co.
157,918
4.2%
2.51%
27
9/29/2022
ASL Capital Markets Inc.
136,326
3.6%
2.38%
16
9/16/2022
Wells Fargo Bank, N.A.
119,485
3.2%
2.48%
37
11/10/2022
Citigroup Global Markets Inc
115,187
3.1%
2.53%
39
10/24/2022
BMO Capital Markets Corp.
109,982
2.9%
2.44%
25
11/18/2022
StoneX Financial Inc.
77,380
2.1%
2.39%
22
9/22/2022
South Street Securities, LLC
59,791
1.6%
2.39%
19
9/19/2022
Nomura Securities International, Inc.
35,099
0.9%
2.38%
21
9/21/2022
Lucid Cash Fund USG, LLC
23,506
0.6%
2.38%
8
9/8/2022
Total Borrowings
$
3,748,413
100.0%
2.44%
29
1/30/2023
(1)
In August 2022, the Company purchased assets with a fair value of approximately $371.0 million, which settle in September 2022 that are expected to be funded substantially by repurchase agreements not included in the table above.
View source version on businesswire.com: https://www.businesswire.com/news/home/20220912005916/en/
Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772) 231-1400
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