Orchid Island Capital Announces February 2022 Monthly Dividend and January 31, 2022 RMBS Portfolio Characteristics

February 2022 Monthly Dividend of $0.055 Per Share of Common Stock
RMBS Portfolio Characteristics as of January 31, 2022
Next Dividend Announcement Expected March 16, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company (the “Board”) declared a monthly cash dividend for the month of February 2022. The dividend of $0.055 per share will be paid March 29, 2022, to holders of record of the Company’s common stock on February 28, 2022, with an ex-dividend date of February 25, 2022. The Company plans on announcing its next common stock dividend on March 16, 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 February 16, 2022, January 31, 2022 and December 31, 2021, the Company had 176,993,049 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 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:

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. 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, 2020.

RMBS Valuation Characteristics
($ in thousands)
												Realized	Realized
												Jan 2022	Nov - Jan		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 Feb)	in Feb)		(-50 BPS)⁽¹⁾		(+50 BPS)⁽¹⁾
Pass Through RMBS
15yr 2.5	$	211,500	$	217,429	3.44%	$	102.80	2.50%	2.87%	13	162	6.6%	9.3%	$	3,922	$	(4,228)
15yr 4.0		430		457	0.01%		106.22	4.00%	4.54%	45	135	0.7%	0.7%		6		(7)
15yr Total		211,930		217,886	3.45%		102.81	2.50%	2.88%	14	162	6.6%	9.3%		3,928		(4,235)
30yr 2.5		1,050,955		1,051,121	16.64%		100.02	2.50%	3.30%	7	352	2.8%	4.8%		23,993		(29,923)
30yr 3.0		4,309,680		4,453,578	70.50%		103.34	3.00%	3.48%	10	348	8.6%	8.5%		103,208		(122,345)
30yr 3.5		245,869		263,930	4.18%		107.35	3.50%	4.04%	23	330	14.5%	17.1%		5,505		(6,258)
30yr 4.0		107,916		116,048	1.84%		107.54	4.00%	4.75%	28	330	27.2%	21.2%		1,444		(1,867)
30yr Total		5,714,420		5,884,677	93.15%		102.98	2.95%	3.49%	10	348	8.2%	8.5%		134,150		(160,393)
Total Pass Through RMBS		5,926,350		6,102,563	96.60%		102.97	2.93%	3.47%	10	341	8.1%	8.6%		138,078		(164,628)
Structured RMBS
IO 20yr 3.0		366,815		42,320	0.67%		11.54	3.00%	3.69%	67	167	21.0%	24.5%		(2,470)		1,738
IO 20yr 4.0		13,308		1,637	0.03%		12.30	4.00%	4.57%	121	112	13.7%	17.8%		(17)		10
IO 30yr 3.0		90,860		12,435	0.20%		13.69	3.00%	3.66%	53	298	15.0%	14.7%		(751)		558
IO 30yr 3.5		784,649		130,679	2.07%		16.65	3.48%	4.00%	51	300	18.9%	20.6%		(8,735)		6,526
IO 30yr 4.0		169,891		24,403	0.39%		14.36	4.00%	4.56%	69	282	26.4%	27.4%		(1,720)		1,721
IO 30yr 4.5		4,669		784	0.01%		16.79	4.50%	4.99%	139	208	23.5%	24.5%		(51)		45
IO 30yr 5.0		2,582		423	0.01%		16.38	5.00%	5.36%	139	208	19.1%	27.7%		(25)		25
IO Total		1,432,774		212,681	3.37%		14.84	3.40%	3.98%	58	262	20.0%	22.2%		(13,769)		10,623
IIO 30yr 4.0		42,179		2,160	0.03%		5.12	3.75%	4.41%	52	299	12.6%	22.3%		74		(222)
Total Structured RMBS		1,474,953		214,841	3.40%		14.57	3.41%	3.99%	58	263	19.8%	22.2%		(13,695)		10,401

Total Mortgage Assets	$	7,401,303	$	6,317,404	100.00%			3.03%	3.58%	20	326	10.4%	11.1%	$	124,383	$	(154,227)

					Interest		Interest
		Average	Hedge		Rate		Rate
		Notional	Period		Sensitivity		Sensitivity
Hedge		Balance	End		(-50 BPS)⁽¹⁾		(+50 BPS)⁽¹⁾
5-Year Treasury Future⁽²⁾	$	(944,000)	Mar-2022	$	(18,713)	$	35,716
10-Year Treasury Ultra⁽³⁾		(220,000)	Mar-2022		(14,985)		24,189
Swaps		(1,355,000)	Jul-2028		(30,589)		30,589
Swaptions		(458,300)	Feb-2023		(13,455)		19,993
Hedge Total	$	(2,977,300)		$	(77,742)	$	110,487
Rate Shock Grand Total				$	46,641	$	(43,740)

(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 $119.20 at January 31, 2022. The market value of the short position was $1,125.2 million.
(3)	Ten-year Treasury Ultra futures contracts were valued at prices of $142.83 at January 31, 2022. The market value of the short position was $314.2 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 January 31, 2022				As of January 31, 2022
Fannie Mae	$	4,576,565	72.4%	Non-Whole Pool Assets	$	290,116	4.6%
Freddie Mac		1,740,839	27.6%	Whole Pool Assets		6,027,288	95.4%
Total Mortgage Assets	$	6,317,404	100.0%	Total Mortgage Assets	$	6,317,404	100.0%

Borrowings By Counterparty
($ in thousands)
				Weighted	Weighted
			% of	Average	Average
		Total	Total	Repo	Maturity	Longest
As of January 31, 2022		Borrowings	Debt	Rate	in Days	Maturity
Wells Fargo Bank, N.A.	$	430,856	7.1%	0.13%	12	2/18/2022
Mirae Asset Securities (USA) Inc.		424,755	6.9%	0.13%	48	9/14/2022
J.P. Morgan Securities LLC		421,289	6.9%	0.14%	11	2/28/2022
RBC Capital Markets, LLC		404,661	6.6%	0.13%	16	2/28/2022
ABN AMRO Bank N.V.		403,098	6.6%	0.14%	30	4/12/2022
Merrill Lynch, Pierce, Fenner & Smith		382,142	6.2%	0.21%	56	4/13/2022
Mitsubishi UFJ Securities (USA), Inc		345,349	5.6%	0.24%	49	4/12/2022
Cantor Fitzgerald & Co		337,714	5.5%	0.13%	38	3/21/2022
Goldman, Sachs & Co.		336,585	5.5%	0.18%	21	2/28/2022
Citigroup Global Markets Inc		311,157	5.1%	0.14%	16	2/22/2022
Santander Bank, N.A.		294,089	4.8%	0.14%	17	2/24/2022
ED&F Man Capital Markets Inc		291,081	4.7%	0.17%	51	4/14/2022
Nomura Securities International, Inc.		284,851	4.6%	0.13%	16	2/22/2022
ASL Capital Markets Inc.		269,487	4.4%	0.13%	27	3/17/2022
ING Financial Markets LLC		266,089	4.3%	0.13%	11	2/11/2022
BMO Capital Markets Corp.		242,161	3.9%	0.17%	28	3/17/2022
Daiwa Capital Markets America Inc.		203,310	3.3%	0.14%	14	2/14/2022
South Street Securities, LLC		139,155	2.3%	0.14%	17	2/18/2022
Barclays Capital Inc		133,675	2.2%	0.12%	14	2/14/2022
Austin Atlantic Asset Management Co.		93,031	1.5%	0.14%	2	2/2/2022
Lucid Cash Fund USG, LLC		87,664	1.4%	0.18%	10	2/10/2022
StoneX Financial Inc.		27,648	0.5%	0.19%	78	4/19/2022
Mizuho Securities USA, Inc		3,832	0.1%	0.57%	11	2/11/2022
Total Borrowings	$	6,133,679	100.0%	0.15%	27	9/14/2022

View source version on businesswire.com: https://www.businesswire.com/news/home/20220216006147/en/

Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

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REIT Profile

Orchid Island Capital, Inc.
Symbol: ORC
CIK: 1518621
Exchange: NYSE
Founded: 2010 (14 years)
Type of REIT: Mortgage REIT
Listing Status: Public
Market Capitalization: Small-Cap
REIT Sector: Mortgage
Externally Managed REIT

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Overall Score: 5.8 | See trend

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Last updated: 2024-07-05 12:57:01 PST