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
●
October 2022 Monthly Dividend of $0.16 Per Share of Common Stock
●
Increased Stock Repurchase Program Authorization by 4.3 Million Sharesof 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 September30, 2022, including an
estimated $2.66 per share of net realized and unrealized losses on RMBS andderivative instruments
●
Estimated (16.7)% total return on equity for the quarter
●
Estimated book value,net loss andtotal return onequity amounts arepreliminary, subjectto 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
VeroBeach, Fla.,October 12,2022 -Orchid IslandCapital, Inc.(the "Company")(NYSE: ORC)announced todaythat the
Board of Directors (the "Board") declared a monthlycash dividend for the month of October 2022. The dividendof $0.16 per
share will be paid November 28, 2022 to holders of record of the Company'scommon 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 makeregular monthly cash distributionsto its holders of common stock.In order to qualify as areal
estate investment trust ("REIT"), the Company must distribute annuallyto its stockholders an amount at least equal to 90% of
its REITtaxable income,determined withoutregard tothe deductionfor dividendspaid andexcluding anynet capitalgain.
The Companywill be subjectto incometax on taxableincome that isnot distributedand to anexcise tax tothe extent thata
certain percentageof itstaxable incomeis notdistributed byspecified dates.The Companyhas notestablished aminimum
distribution payment level and is not assured of its ability to make distributionsto stockholders in the future.
As ofOctober 12,2022, theCompany had33,760,251 sharesof commonstock outstanding.As ofSeptember 30,2022, the
Company had 35,066,251shares of commonstock outstanding.As of June 30,2022, the Companyhad 35,250,239 sharesof
common stock outstanding,adjusted for theCompany's one-for-five reverse stock spliteffective August 30, 2022(the "Reverse
Stock Split").
Stock Repurchase Program
Today,the Boardapproved anincrease inthe numberof sharesof theCompany'scommon stockavailable inits previously
announcedstockrepurchaseprogram(the"RepurchaseProgram")foruptoanadditional4.3millionshares,bringingthe
remaining authorization underthe Repurchase Programto approximately 5.0 millionshares, representing approximately 15%
of the Company's currently outstandingshares of common stock.
As part of the Repurchase Program, shares may be purchased in open markettransactions, block purchases, through privately
negotiated transactions, orpursuant to any trading planthat may be adoptedin accordance with Rule 10b5-1 of the Securities
Exchange Act of 1934,as amended (the "ExchangeAct"). Open market repurchaseswill be madein accordance with Exchange
Act Rule10b-18, whichsets certainrestrictions onthe method,timing, priceand volumeof openmarket stockrepurchases.
The timing,manner,price andamount ofany repurchaseswill bedetermined bythe Companyin itsdiscretionand willbe
subject to economic and marketconditions, stock price, applicable legal requirements andother factors. The authorization does
not obligate the Companyto acquire any particular amountof common stock andthe Repurchase Program maybe suspended
or discontinued at the Company's discretionwithout prior notice. The Repurchase Program has no termination date.
Estimated September 30, 2022 Book ValuePer Share
The Company'sestimated bookvalue pershare as ofSeptember 30,2022 was$11.42.The Companycomputes bookvalue
per share by dividing total stockholders'equity by the total number of outstandingshares of common stock. At September30,
2022, the Company'spreliminary estimated totalstockholders' equity wasapproximately $400.4 million with35,066,251 shares
of common stockoutstanding. These figuresand the resultingestimated book valueper shareare preliminary, subject tochange,
and subject to review by the Company'sindependent registered public accounting firm.
Estimated Net Loss Per Share and Realized and UnrealizedGains and Losses on RMBS and Derivative Instruments
The Company estimates it generated anet loss per shareof $2.41, which includes $2.66 pershare of net realized andunrealized
lossesonRMBSandderivativeinstrumentsforthequarterendedSeptember30,2022.Theseamountscomparetototal
dividends declaredduring thequarter of$0.545 pershare, adjustedfor theReverse StockSplit, asapplicable.Net lossper
common share calculated under generally accepted accounting principles can, and does, differfrom our REIT taxable income.
The Company views REIT taxable income as a better indicationof income to be paid in the form of a dividend rather than net
loss. Manycomponents ofREIT taxableincome canonly beestimated atthis timeand ourmonthly dividendsdeclared are
based onboth estimatesof REITtaxable incometo beearned overthe courseof thecurrent quarterand calendaryear anda
longer-term estimate of theREIT taxable income ofthe Company. These figures are preliminary, subject tochange, and subject
to review by the Company's independentregistered public accounting firm.
Estimated TotalReturn on Equity
TheCompany'sestimatedtotalreturnonequityforthequarterendedSeptember30,2022was(16.7)%.TheCompany
calculates total return on equity as thesum of dividends declared and paidduring the quarter plus changes inbook value during
the quarter,divided by the Company'sstockholders' equity at the beginningof the quarter.The total return was $(2.395)per
share, comprised of dividends per share of $0.545 and a decrease in bookvalue per share of $2.94 from June 30, 2022.
RMBS Portfolio Characteristics
Details ofthe RMBSportfolioas ofSeptember 30,2022 arepresentedbelow.These figuresare preliminaryand subjectto
change and, withrespect to figuresthat will appearin the Company'sfinancial statements andassociated footnotes asof and
for the quarterended September30, 2022,are subject toreview by theCompany'sindependent registeredpublic accounting
firm.
●
RMBS ValuationCharacteristics
●
RMBS Assets by Agency
●
Investment Company Act of 1940 Whole Pool TestResults
●
Repurchase Agreement Exposure by Counterparty
●
RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveragedbasis in Agency RMBS. Our investment
strategy focuses on, andour portfolio consists of,two categories of AgencyRMBS: (i) traditional pass-throughAgency RMBS,
suchasmortgagepass-throughcertificatesandcollateralizedmortgageobligationsissuedbyFannieMae,FreddieMacor
Ginnie Mae, and (ii)structured Agency RMBS. TheCompany is managed byBimini Advisors, LLC, aregistered investment
adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release containsforward-looking statements withinthe meaning ofthe Private Securities LitigationReform Act of
1995 and otherfederal securities laws. Theseforward-looking statementsinclude, but are notlimited to, statements aboutthe
Company's distributions and the RepurchaseProgram. These forward-lookingstatements are basedupon Orchid IslandCapital,
Inc.'spresent expectations,but these statementsare notguaranteed tooccur.Investors shouldnot placeundue reliance upon
forward-looking statements. For further discussion of the factors that could affect outcomes, please referto the "Risk Factors"
section of the Company's Annual Reporton Form 10-K for the fiscal year ended December 31, 2021.
RMBS Valuation Characteristics
($ 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 ThroughRMBS
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 StructuredRMBS
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 TreasuryFuture
(2)
$
(750,500)
Dec-2022
$
(16,511)
$
18,056
10-Year TreasuryUltra
(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 fromCitigroup Global MarketsInc. YieldBook. Interest rateshocks assume instantaneousparallel shifts andhorizon prices arecalculated assuming
constant LIBOR option-adjusted spreads. These results are for illustrativepurposes only and actual results may differ materially.
(2)
Five-year Treasury futures contracts were valuedat prices of $107.51 at September 30, 2022.The market value of the short position was $806.8 million.
(3)
Ten-year TreasuryUltra futures contracts were valued at prices of $118.48at 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
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, VeroBeach, Florida 32963
Telephone: (772)231-1400

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Orchid Island Capital Inc. published this content on 12 October 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 12 October 2022 21:31:13 UTC.