Orchid Island Capital, Inc. (NYSE:ORC) ("Orchid” or the
"Company"), a real estate investment trust ("REIT"), today
announced results of operations for the three month period ended
March 31, 2023.
First Quarter 2023 Results
- Net income of $3.5 million, or $0.09 per common share, which
consists of:
- Net interest expense of $4.2 million, or $0.11 per common
share
- Total expenses of $5.0 million, or $0.13 per common share
- Net realized and unrealized gains of $12.7 million, or $0.33
per common share, on RMBS and derivative instruments, including net
interest income on interest rate swaps
- First quarter dividends declared and paid of $0.48 per common
share
- Book value per common share of $11.55 at March 31, 2023
- Total return of 0.84%, comprised of $0.48 dividend per common
share and $0.38 decrease in book value per common share, divided by
beginning book value per common share
Other Financial Highlights
- Orchid maintained a liquidity position of $197.0 million in
cash and cash equivalents and unpledged RMBS, or 44% of
stockholders' equity as of March 31, 2023
- Borrowing capacity in excess of March 31, 2023 outstanding
repurchase agreement balances of $3,769.4 million, spread across 20
active lenders
- Company to discuss results on Friday, April 28, 2023, at 10:00
AM ET
- Supplemental materials to be discussed on the call can be
downloaded from the investor relations section of the Company’s
website at https://ir.orchidislandcapital.com
Management Commentary
Commenting on the first quarter results, Robert E. Cauley,
Chairman and Chief Executive Officer, said, “The economy and the
outlook for monetary policy were very volatile during the quarter.
While it is likely we are nearing the end of the Federal Reserve's
("Fed") accelerated policy removal period that began last March,
the outlook for monetary policy over the balance of 2023 and beyond
changed multiple times during the quarter, generating significant
interest rate volatility, particularly in March of 2023.
“As the first quarter began, the market, as reflected in Fed
funds futures pricing, anticipated the Fed would hike the Fed funds
rate one or possibly two more times in early 2023 and then pivot to
easing later in the year as inflation moderated towards the Fed's
long-term goal of 2%. However, the Fed is focused on services
inflation, particularly services excluding housing or shelter
related costs (what is currently referred to as “super core”
inflation). Readings on “super core” inflation accelerated during
the quarter and market pricing for Fed funds continued to increase
as the projected terminal rate eventually exceeded 5.5%. The
outlook changed abruptly when two banks failed and were taken over
by the Federal Deposit Insurance Corporation ("FDIC"). The FDIC,
U.S. Treasury and Fed responded quickly, and as we enter the second
quarter it seems the macroprudential steps taken appeared to have
contained the crisis. However, in the immediate aftermath of these
developments the market reaction was rapid and significant. The
two-year U.S. treasury yield decreased by approximately 130 basis
points in a little over two weeks. The December 2023 Fed funds
future contract price moved nearly 175 basis points in the week
after the failure of Silicon Valley Bank. In sum, volatility across
the entire rates market was extremely elevated, surpassing all
previous periods since the 2008 financial crisis.
“For Orchid, our performance coming into the first quarter
benefited from our exposure to lower coupon, longer duration
securities that we owned throughout 2022. While such securities
generate less interest income, they offer very attractive total
return opportunities, especially versus higher coupon, newer
origination securities. Our book value performance for the first
quarter of 2023 was primarily the result of price related returns
on these securities, which enabled us to generate a total positive
return for the quarter of 0.84%. In conjunction with the Company’s
short positions in lower coupon TBAs we have been able to manage
our risk to higher rates, all the while maintaining an economic
leverage ratio on the low end of our typical range. We prefer to
continue to hold these lower coupon holdings as a core position,
supplemented by modest additions of higher coupons with new capital
and pay-downs, while continuing to maintain a lower coupon
bias.
“The failure of Silicon Valley Bank and Signature Bank in March
led to their takeover by the FDIC. The FDIC took possession of
approximately $114 billion of securities held by the two banks that
the FDIC needs to liquidate. The magnitude of these sales in
proportion to typical supply levels in the current rate environment
represents a formidable test for the sector over the near term.
Since the FDIC announced its intention to liquidate these
securities, Agency RMBS have widened versus comparable duration
U.S. treasuries, with lower coupons performing worse than the
sector as a whole. The liquidation sales commenced on April 18,
2023, and are expected to continue for 30 to 40 more weeks. As the
Company’s portfolio contains a significant allocation to some of
the securities to be sold, the liquidation sales could impact our
preference to maintain a lower coupon bias for the balance of
2023.
“The liquidations of two large bank portfolios and extreme
volatility of the rates market have caused Agency RMBS spreads to
comparable duration U.S. treasuries to widen to levels last seen in
October of 2022. The liquidation sales by the FDIC have just begun
and will last several months, so the ultimate impact on the market
remains to be seen. However, since the liquidations began last
week, the sector appears to have stabilized somewhat, so it may be
the market has priced in the sales already. Time will tell. In the
interim we intend to maintain our lower coupon bias as we believe
they offer the best total return potential as we approach the end
of the Fed’s tightening cycle and eventual pivot towards easing. To
the extent we are able to raise new capital, and we desire to do
so, we believe the return opportunities will be very attractive,
even if performance of the sector may be choppy in the near
term.”
Details of First Quarter 2023 Results of Operations
The Company reported net income of $3.5 million for the three
month period ended March 31, 2023, compared with a net loss of
$148.7 million for the three month period ended March 31, 2022. The
Company increased its Agency RMBS portfolio over the course of the
first quarter of 2023, from $3.5 billion at December 31, 2022 to
$4.0 billion at March 31, 2023. Interest income on the portfolio in
the first quarter was up approximately $6.1 million from the fourth
quarter of 2022. The yield on our average Agency RMBS increased
from 3.79% in the fourth quarter of 2022 to 4.03% for the first
quarter of 2023, repurchase agreement borrowing costs increased
from 3.63% for the fourth quarter of 2022 to 4.72% for the first
quarter of 2023, and our net interest spread decreased from 0.16%
in the fourth quarter of 2022 to (0.69)% in the first quarter of
2023.
Book value decreased by $0.38 per share in the first quarter of
2023. The decrease in book value reflects our net income of $0.09
per share and the dividend distribution of $0.48 per share. The
Company recorded net realized and unrealized gains of $0.33 per
share on Agency RMBS assets and derivative instruments, including
net interest income on interest rate swaps.
Prepayments
For the quarter ended March 31, 2023, Orchid received 61.0
million in scheduled and unscheduled principal repayments and
prepayments, which equated to a 3-month constant prepayment rate
(“CPR”) of approximately 4.0%. Prepayment rates on the two RMBS
sub-portfolios were as follows (in CPR):
Structured
PT RMBS
RMBS
Total
Three Months Ended
Portfolio (%)
Portfolio (%)
Portfolio (%)
March 31, 2023
3.9
5.7
4.0
December 31, 2022
4.9
6.0
5.0
September 30, 2022
6.1
10.4
6.5
June 30, 2022
8.3
13.7
9.4
March 31, 2022
8.1
19.5
10.7
Portfolio
The following tables summarize certain characteristics of
Orchid’s PT RMBS (as defined below) and structured RMBS as of March
31, 2023 and December 31, 2022:
($ in thousands)
Weighted
Percentage
Average
of
Weighted
Maturity
Fair
Entire
Average
in
Longest
Asset Category
Value
Portfolio
Coupon
Months
Maturity
March 31, 2023
Fixed Rate RMBS
$
3,980,462
99.5
%
3.56
%
338
1-Feb-53
Interest-Only Securities
18,962
0.5
%
4.01
%
231
25-Jul-48
Inverse Interest-Only Securities
482
0.0
%
0.00
%
283
15-Jun-42
Total Mortgage Assets
$
3,999,906
100.0
%
3.55
%
335
1-Feb-53
December 31, 2022
Fixed Rate RMBS
$
3,519,906
99.4
%
3.47
%
339
1-Nov-52
Interest-Only Securities
19,669
0.6
%
4.01
%
234
25-Jul-48
Inverse Interest-Only Securities
427
0.0
%
0.00
%
286
15-Jun-42
Total Mortgage Assets
$
3,540,002
100.0
%
3.46
%
336
1-Nov-52
($ in thousands)
March 31, 2023
December 31, 2022
Percentage of
Percentage of
Agency
Fair Value
Entire Portfolio
Fair Value
Entire Portfolio
Fannie Mae
$
2,630,153
65.8
%
$
2,320,960
65.6
%
Freddie Mac
1,369,753
34.2
%
1,219,042
34.4
%
Total Portfolio
$
3,999,906
100.0
%
$
3,540,002
100.0
%
March 31, 2023
December 31, 2022
Weighted Average Pass-through Purchase
Price
$
105.59
$
106.41
Weighted Average Structured Purchase
Price
$
18.74
$
18.74
Weighted Average Pass-through Current
Price
$
93.32
$
91.46
Weighted Average Structured Current
Price
$
14.02
$
14.05
Effective Duration (1)
5.500
5.580
(1)
Effective duration of 5.500 indicates that
an interest rate increase of 1.0% would be expected to cause a
5.500% decrease in the value of the RMBS in the Company’s
investment portfolio at March 31, 2023. An effective duration of
5.580 indicates that an interest rate increase of 1.0% would be
expected to cause a 5.580% decrease in the value of the RMBS in the
Company’s investment portfolio at December 31, 2022. These figures
include the structured securities in the portfolio, but do not
include the effect of the Company’s funding cost hedges. Effective
duration quotes for individual investments are obtained from The
Yield Book, Inc.
Financing, Leverage and Liquidity
As of March 31, 2023, the Company had outstanding repurchase
obligations of approximately $3,769.4 million with a net weighted
average borrowing rate of 4.90%. These agreements were
collateralized by RMBS with a fair value, including accrued
interest, of approximately $3,959.0 million and cash pledged to
counterparties of approximately $18.1 million. The Company’s
adjusted leverage ratio, defined as the balance of repurchase
agreement liabilities divided by stockholders' equity, at March 31,
2023 was 8.4 to 1. At March 31, 2023, the Company’s liquidity was
approximately $197.0 million consisting of cash and cash
equivalents and unpledged RMBS (not including unsettled securities
purchases). To enhance our liquidity even further, we may pledge
more of our structured RMBS as part of a repurchase agreement
funding, but retain the cash in lieu of acquiring additional
assets. In this way we can, at a modest cost, retain higher levels
of cash on hand and decrease the likelihood we will have to sell
assets in a distressed market in order to raise cash. Below is a
list of our outstanding borrowings under repurchase obligations at
March 31, 2023.
($ in thousands)
Weighted
Weighted
Total
Average
Average
Outstanding
% of
Borrowing
Amount
Maturity
Counterparty
Balances
Total
Rate
at Risk(1)
in Days
J.P. Morgan Securities LLC
$
350,932
9.2
%
4.87
%
$
21,181
13
Merrill Lynch, Pierce, Fenner & Smith
Inc.
337,222
8.9
%
4.96
%
12,736
19
RBC Capital Markets, LLC
315,289
8.4
%
4.94
%
11,481
25
Mirae Asset Securities (USA) Inc.
303,698
8.1
%
4.72
%
16,738
86
Daiwa Capital Markets America, Inc.
255,292
6.8
%
4.76
%
11,006
17
Marex Capital Markets Inc.
234,160
6.2
%
4.88
%
10,874
18
ING Financial Markets LLC
232,368
6.2
%
4.97
%
11,341
34
ABN AMRO Bank N.V.
220,568
5.9
%
5.12
%
12,506
74
Cantor Fitzgerald & Co.
219,290
5.8
%
4.85
%
12,339
9
ASL Capital Markets Inc.
213,221
5.7
%
4.88
%
12,153
18
Citigroup Global Markets, Inc.
190,315
5.0
%
4.99
%
10,234
27
StoneX Financial Inc.
182,084
4.8
%
4.81
%
9,240
25
Mitsubishi UFJ Securities (USA), Inc.
173,462
4.6
%
4.87
%
11,115
22
Wells Fargo Bank, N.A.
162,880
4.3
%
5.06
%
9,187
45
Goldman Sachs & Co. LLC
124,384
3.3
%
4.89
%
8,120
17
Santander Bank, N.A.
118,614
3.1
%
4.84
%
5,752
23
BMO Capital Markets Corp.
77,400
2.1
%
4.91
%
4,446
20
South Street Securities, LLC
37,144
1.0
%
4.83
%
1,670
17
Lucid Cash Fund USG, LLC
18,430
0.5
%
4.79
%
876
13
Lucid Prime Fund, LLC
2,684
0.1
%
4.95
%
220
13
Total / Weighted Average
$
3,769,437
100.0
%
4.90
%
$
193,215
30
(1)
Equal to the sum of the fair value of
securities sold, accrued interest receivable and cash posted as
collateral (if any), minus the sum of repurchase agreement
liabilities, accrued interest payable and the fair value of
securities posted by the counterparties (if any).
Hedging
In connection with its interest rate risk management strategy,
the Company economically hedges a portion of the cost of its
repurchase agreement funding against a rise in interest rates by
entering into derivative financial instrument contracts. The
Company has not elected hedging treatment under U.S. generally
accepted accounting principles (“GAAP”) in order to align the
accounting treatment of its derivative instruments with the
treatment of its portfolio assets under the fair value option
election. As such, all gains or losses on these instruments are
reflected in earnings for all periods presented. At March 31, 2023,
such instruments were comprised of U.S. Treasury note (“T-Note”)
futures contracts, interest rate swap agreements, interest rate
swaption agreements, interest rate caps and contracts to sell
to-be-announced ("TBA") securities.
The table below presents information related to the Company’s
T-Note futures contracts at March 31, 2023.
($ in thousands)
March 31, 2023
Average
Weighted
Weighted
Contract
Average
Average
Notional
Entry
Effective
Open
Expiration Year
Amount
Rate
Rate
Equity(1)
Treasury Note Futures Contracts (Short
Positions)(2)
June 2023 5-year T-Note futures (Jun 2023
- Jun 2028 Hedge Period)
$
926,500
4.17
%
3.89
%
$
(20,719
)
June 2023 10-year Ultra futures (Jun 2023
- Jun 2033 Hedge Period)
$
54,200
3.91
%
3.48
%
$
(2,181
)
(1)
Open equity represents the cumulative
gains (losses) recorded on open futures positions from
inception.
(2)
5-Year T-Note futures contracts were
valued at a price of $109.5 at March 31, 2023. The contract values
of the short positions were $1,014.6 million at March 31, 2023.
10-Year Ultra futures contracts were valued at a price of $121.1 at
March 31, 2023. The contract value of the short position was $65.7
million at March 31, 2023.
The table below presents information related to the Company’s
interest rate swap positions at March 31, 2023.
($ in thousands)
Average
Fixed
Average
Average
Notional
Pay
Receive
Maturity
Amount
Rate
Rate
(Years)
Expiration > 3 to ≤ 5 years
$
500,000
0.84
%
5.02
%
3.5
Expiration > 5 years
1,174,000
2.10
%
4.88
%
7.2
$
1,674,000
1.72
%
4.92
%
6.1
The following table presents information related to our interest
rate swaption positions as of March 31, 2023.
($ in thousands)
Option
Underlying Swap
Weighted
Weighted
Average
Average
Average
Average
Fair
Months to
Notional
Fixed
Adjustable
Term
Expiration
Cost
Value
Expiration
Amount
Rate
Rate
(Years)
Payer Swaptions (long
positions)
≤ 1 year
$
36,685
$
6,548
6.6
$
1,250,000
4.09
%
SOFR
10.0
>1 year
10,115
8,301
21.7
1,000,000
3.49
%
SOFR
2.0
$
46,800
$
14,849
13.3
$
2,250,000
3.82
%
6.4
Payer Swaptions (short
positions)
>1 year
$
(12,252
)
$
(8,528
)
13.0
$
(1,917,000
)
3.91
%
SOFR
5.8
The following table presents information related to our interest
cap positions as of March 31, 2023.
($ in thousands)
Net
Strike
Estimated
Notional
Swap
Curve
Fair
Expiration
Amount
Cost
Rate
Spread
Value
February 8, 2024
$
200,000
$
1,450
0.09
%
2Y10Y
$
474
The following table summarizes our contracts to sell TBA
securities as of March 31, 2023.
($ in thousands)
Notional
Net
Amount
Cost
Market
Carrying
Long (Short)(1)
Basis(2)
Value(3)
Value(4)
March 31, 2023
30-Year TBA securities:
2.00%
$
(175,000
)
$
(144,511
)
$
(144,526
)
$
(15
)
3.00%
(700,000
)
(616,438
)
(627,457
)
(11,019
)
$
(875,000
)
$
(760,949
)
$
(771,983
)
$
(11,034
)
(1)
Notional amount represents the par value
(or principal balance) of the underlying Agency RMBS.
(2)
Cost basis represents the forward price to
be paid (received) for the underlying Agency RMBS.
(3)
Market value represents the current market
value of the TBA securities (or of the underlying Agency RMBS) as
of period-end.
(4)
Net carrying value represents the
difference between the market value and the cost basis of the TBA
securities as of period-end and is reported in derivative assets
(liabilities) at fair value in our balance sheets.
Dividends
In addition to other requirements that must be satisfied to
qualify as a REIT, we must pay annual dividends to our stockholders
of at least 90% of our REIT taxable income, determined without
regard to the deduction for dividends paid and excluding any net
capital gains. We intend to pay regular monthly dividends to our
stockholders and have declared the following dividends since our
February 2013 IPO.
(in thousands, except per share data)
Year
Per Share Amount
Total
2013
$
6.975
$
4,662
2014
10.800
22,643
2015
9.600
38,748
2016
8.400
41,388
2017
8.400
70,717
2018
5.350
55,814
2019
4.800
54,421
2020
3.950
53,570
2021
3.900
97,601
2022
2.475
87,906
2023 - YTD(1)
0.640
25,098
Totals
$
65.290
$
552,568
(1)
On April 12, 2023, the Company declared a
dividend of $0.16 per share to be paid on May 26, 2023. The effect
of this dividend is included in the table above but is not
reflected in the Company’s financial statements as of March 31,
2023.
Book Value Per Share
The Company's book value per share at March 31, 2023 was $11.55.
The Company computes book value per share by dividing total
stockholders' equity by the total number of shares outstanding of
the Company's common stock. At March 31, 2023, the Company's
stockholders' equity was $451.4 million with 39,085,756 shares of
common stock outstanding.
Capital Allocation and Return on Invested Capital
The Company allocates capital to two RMBS sub-portfolios, the
pass-through RMBS portfolio, consisting of mortgage pass-through
certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae (the
“GSEs”) and collateralized mortgage obligations (“CMOs”) issued by
the GSEs (“PT RMBS”), and the structured RMBS portfolio, consisting
of interest-only (“IO”) and inverse interest-only (“IIO”)
securities. As of March 31, 2023, approximately 95.3% of the
Company’s investable capital (which consists of equity in pledged
PT RMBS, available cash and unencumbered assets) was deployed in
the PT RMBS portfolio. At December 31, 2022, the allocation to the
PT RMBS portfolio was approximately 95.0%.
The table below details the changes to the respective
sub-portfolios during the quarter.
(in thousands)
Portfolio Activity for the
Quarter
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Market value - December 31,
2022
$
3,519,906
$
19,669
$
427
$
20,096
$
3,540,002
Securities purchased
467,460
-
-
-
467,460
Securities sold
-
-
-
-
-
Losses on sales
-
-
-
-
-
Return of investment
n/a
(679
)
-
(679
)
(679
)
Pay-downs
(60,348
)
n/a
n/a
n/a
(60,348
)
Discount accretion due to pay-downs
4,774
n/a
n/a
n/a
4,774
Mark to market gains (losses)
48,670
(28
)
55
27
48,697
Market value - March 31, 2023
$
3,980,462
$
18,962
$
482
$
19,444
$
3,999,906
The tables below present the allocation of capital between the
respective portfolios at December 31, 2022 and March 31, 2023, and
the return on invested capital for each sub-portfolio for the three
month period ended March 31, 2023.
($ in thousands)
Capital Allocation
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
March 31, 2023
Market value
$
3,980,462
$
18,962
$
482
$
19,444
$
3,999,906
Cash
185,958
-
-
-
185,958
Borrowings(1)
(3,769,437
)
-
-
-
(3,769,437
)
Total
$
396,983
$
18,962
$
482
$
19,444
$
416,427
% of Total
95.3
%
4.6
%
0.1
%
4.7
%
100.0
%
December 31, 2022
Market value
$
3,519,906
$
19,669
$
427
$
20,096
$
3,540,002
Cash
237,219
-
-
-
237,219
Borrowings(2)
(3,378,445
)
-
-
-
(3,378,445
)
Total
$
378,680
$
19,669
$
427
$
20,096
$
398,776
% of Total
95.0
%
4.9
%
0.1
%
5.0
%
100.0
%
(1)
At March 31, 2023, there were outstanding
repurchase agreement balances of $15.4 million secured by IO
securities and $0.3 million secured by IIO securities. We entered
into these arrangements to generate additional cash available to
meet margin calls on PT RMBS; therefore, we have not considered
these balances to be allocated to the structured securities
strategy.
(2)
At December 31, 2022, there were
outstanding repurchase agreement balances of $15.5 million secured
by IO securities and $0.4 million secured by IIO securities. We
entered into these arrangements to generate additional cash
available to meet margin calls on PT RMBS; therefore, we have not
considered these balances to be allocated to the structured
securities strategy.
The return on invested capital in the PT RMBS and structured
RMBS portfolios was approximately 2.1% and 2.2%, respectively, for
the first quarter of 2023. The combined portfolio generated a
return on invested capital of approximately 2.1%.
($ in thousands)
Returns for the Quarter Ended
March 31, 2023
Structured Security
Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Income (net of borrowing cost)
$
(4,622
)
$
417
$
-
$
417
$
(4,205
)
Realized and unrealized gains (losses)
53,868
(28
)
55
27
53,895
Derivative losses
(41,156
)
n/a
n/a
n/a
(41,156
)
Total Return
$
8,090
$
389
$
55
$
444
$
8,534
Beginning Capital Allocation
$
378,680
$
19,669
$
427
$
20,096
$
398,776
Return on Invested Capital for the
Quarter(1)
2.1
%
2.0
%
12.9
%
2.2
%
2.1
%
Average Capital Allocation(2)
$
387,832
$
19,316
$
455
$
19,771
$
407,603
Return on Average Invested Capital for the
Quarter(3)
2.1
%
2.0
%
12.1
%
2.2
%
2.1
%
(1)
Calculated by dividing the Total Return by
the Beginning Capital Allocation, expressed as a percentage.
(2)
Calculated using two data points, the
Beginning and Ending Capital Allocation balances.
(3)
Calculated by dividing the Total Return by
the Average Capital Allocation, expressed as a percentage.
Stock Offerings
On October 29, 2021, we entered into an equity distribution
agreement (the “October 2021 Equity Distribution Agreement”) with
four sales agents pursuant to which we could offer and sell, from
time to time, up to an aggregate amount of $250,000,000 of shares
of our common stock in transactions that were deemed to be “at the
market” offerings and privately negotiated transactions. We issued
a total of 9,742,188 shares under the October 2021 Equity
Distribution Agreement for aggregate gross proceeds of
approximately $151.8 million, and net proceeds of approximately
$149.3 million, after commissions and fees, prior to its
termination in March 2023.
On March 7, 2023, we entered into an equity distribution
agreement (the “March 2023 Equity Distribution Agreement”) with
three sales agents pursuant to which we may offer and sell, from
time to time, up to an aggregate amount of $250,000,000 of shares
of our common stock in transactions that are deemed to be “at the
market” offerings and privately negotiated transactions. No shares
have been issued under the March 2023 Equity Distribution Agreement
through March 31, 2023.
Stock Repurchase Program
On July 29, 2015, the Company’s Board of Directors authorized
the repurchase of up to 400,000 shares of our common stock. The
timing, manner, price and amount of any repurchases is determined
by the Company in its discretion and is 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 program may
be suspended or discontinued at the Company’s discretion without
prior notice. On February 8, 2018, the Board of Directors approved
an increase in the stock repurchase program for up to an additional
904,564 shares of the Company’s common stock. Coupled with the
156,751 shares remaining from the original 400,000 share
authorization, the increased authorization brought the total
authorization to 1,061,316 shares, representing 10% of the
Company’s then outstanding share count. On December 9, 2021, the
Board of Directors approved an increase in the number of shares of
the Company’s common stock available in the stock repurchase
program for up to an additional 3,372,399 shares, bringing the
remaining authorization under the stock repurchase program to
3,539,861 shares, representing approximately 10% of the Company’s
then outstanding shares of common stock. On October 12, 2022, the
Board of Directors approved an increase in the number of shares of
the Company’s common stock available in the stock repurchase
program for up to an additional 4,300,000 shares, bringing the
remaining authorization under the stock repurchase program to
6,183,601 shares, representing approximately 18% of the Company’s
then outstanding shares of common stock. This stock repurchase
program has no termination date.
From the inception of the stock repurchase program through March
31, 2023, the Company repurchased a total of 4,048,613 shares at an
aggregate cost of approximately $68.8 million, including
commissions and fees, for a weighted average price of $16.99 per
share. During the three months ended March 31, 2023, the Company
repurchased a total of 373,041 shares at an aggregate cost of
approximately $4.0 million, including commissions and fees, for a
weighted average price of $10.62 per share.
Earnings Conference Call Details
An earnings conference call and live audio webcast will be
hosted Friday, April 28, 2023, at 10:00 AM ET. The conference call
may be accessed by dialing toll free (888) 510-2356. The conference
passcode is 8493186. The supplemental materials may be downloaded
from the investor relations section of the Company’s website at
https://ir.orchidislandcapital.com. A live audio webcast of the
conference call can be accessed via the investor relations section
of the Company’s website at https://ir.orchidislandcapital.com, and
an audio archive of the webcast will be available until May 28,
2023.
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 CMOs issued by the GSEs,
and (ii) structured Agency RMBS, such as IOs, IIOs and principal
only securities, among other types of structured Agency RMBS.
Orchid is managed by Bimini Advisors, LLC, a registered investment
adviser with the Securities and Exchange Commission.
Forward Looking Statements
Statements herein relating to matters that are not historical
facts, including, but not limited to statements regarding interest
rates, inflation, liquidity, pledging of our structured RMBS,
funding levels and spreads, prepayment speeds, portfolio
positioning and repositioning, hedging levels, leverage ratio,
dividends, growth, return opportunities, the supply and demand for
Agency RMBS and the performance of the Agency RMBS sector
generally, the effect of actual or expected actions of the U.S.
government, including the Fed and the FDIC, market expectations,
capital raising, future opportunities and prospects of the Company,
the stock repurchase program and general economic conditions, are
forward-looking statements as defined in the Private Securities
Litigation Reform Act of 1995. The reader is cautioned that such
forward-looking statements are based on information available at
the time and on management's good faith belief with respect to
future events, and are subject to risks and uncertainties that
could cause actual performance or results to differ materially from
those expressed in such forward-looking statements. Important
factors that could cause such differences are described in Orchid
Island Capital, Inc.'s filings with the Securities and Exchange
Commission, including its most recent Annual Report on Form 10-K
and Quarterly Reports on Form 10-Q. Orchid Island Capital, Inc.
assumes no obligation to update forward-looking statements to
reflect subsequent results, changes in assumptions or changes in
other factors affecting forward-looking statements.
Summarized Financial Statements
The following is a summarized presentation of the unaudited
balance sheets as of March 31, 2023, and December 31, 2022, and the
unaudited quarterly statements of operations for the three months
ended March 31, 2023 and 2022. Amounts presented are subject to
change.
ORCHID ISLAND CAPITAL,
INC.
BALANCE SHEETS
($ in thousands, except per
share data)
(Unaudited - Amounts Subject
to Change)
March 31, 2023
December 31, 2022
ASSETS:
Mortgage-backed securities
$
3,999,906
$
3,540,002
U.S. Treasury Notes
36,806
36,382
Cash, cash equivalents and restricted
cash
185,958
237,219
Accrued interest receivable
13,120
11,519
Derivative assets, at fair value
29,315
40,172
Other assets
907
442
Total Assets
$
4,266,012
$
3,865,736
LIABILITIES AND STOCKHOLDERS'
EQUITY
Repurchase agreements
$
3,769,437
$
3,378,445
Dividends payable
6,279
5,908
Derivative liabilities, at fair value
19,582
7,161
Accrued interest payable
14,753
9,209
Due to affiliates
1,229
1,131
Other liabilities
3,371
25,119
Total Liabilities
3,814,651
3,426,973
Total Stockholders' Equity
451,361
438,763
Total Liabilities and Stockholders'
Equity
$
4,266,012
$
3,865,736
Common shares outstanding
39,085,756
36,764,983
Book value per share
$
11.55
$
11.93
ORCHID ISLAND CAPITAL,
INC.
STATEMENTS OF
OPERATIONS
($ in thousands, except per
share data)
(Unaudited - Amounts Subject
to Change)
Three Months Ended March
31,
2023
2022
Interest income
$
38,012
$
41,857
Interest expense
(42,217
)
(2,655
)
Net interest (expense) income
(4,205
)
39,202
Losses (gains) on RMBS and derivative
contracts
12,739
(183,550
)
Net portfolio (loss) income
8,534
(144,348
)
Expenses
5,004
4,379
Net (loss) income
$
3,530
$
(148,727
)
Basic and diluted net (loss) income per
share
$
0.09
$
(4.20
)
Weighted Average Shares
Outstanding
38,491,767
35,399,513
Dividends Declared Per Common
Share:
$
0.480
$
0.975
Three Months Ended March
31,
Key Balance Sheet Metrics
2023
2022
Average RMBS(1)
$
3,769,954
$
5,545,844
Average repurchase agreements(1)
3,573,941
5,354,107
Average stockholders' equity(1)
445,062
419,570
Leverage ratio(2)
8.4:1
7.8:1
Key Performance Metrics
Average yield on RMBS(3)
4.03
%
3.02
%
Average cost of funds(3)
4.72
%
0.20
%
Average economic cost of funds(4)
2.57
%
0.32
%
Average interest rate spread(5)
(0.69
)%
2.82
%
Average economic interest rate
spread(6)
1.46
%
2.70
%
(1)
Average RMBS, borrowings and stockholders’
equity balances are calculated using two data points, the beginning
and ending balances.
(2)
The leverage ratio is calculated by
dividing total ending liabilities by ending stockholders’
equity.
(3)
Portfolio yields and costs of funds are
calculated based on the average balances of the underlying
investment portfolio/borrowings balances and are annualized for the
quarterly periods presented.
(4)
Represents the interest cost of our
borrowings and the effect of derivative agreements attributed to
the period related to hedging activities, divided by average
borrowings.
(5)
Average interest rate spread is calculated
by subtracting average cost of funds from average yield on
RMBS.
(6)
Average economic interest rate spread is
calculated by subtracting average economic cost of funds from
average yield on RMBS.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20230427005649/en/
Orchid Island Capital, Inc. Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
https://ir.orchidislandcapital.com
Orchid Island Capital (NYSE:ORC)
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