Company Announcements

Orchid Island Capital Announces May 2022 Monthly Dividend and April 30, 2022 RMBS Portfolio Characteristics

  • May 2022 Monthly Dividend of $0.045 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of April 30, 2022
  • Next Dividend Announcement Expected June 14, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)--May 11, 2022-- 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 May 2022. The dividend of $0.045 per share will be paid June 28, 2022, to holders of record of the Company’s common stock on May 31, 2022, with an ex-dividend date of May 27, 2022. The Company plans on announcing its next common stock dividend on June 14, 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 May 11, 2022, April 30, 2022 and March 31, 2022, the Company had 177,117,186 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apr 2022

Feb - Apr

 

 

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 May)

in May)

 

 

(-50 BPS)(2)

 

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

422

 

$

434

0.01

%

 

$

102.82

4.00

%

4.54

%

48

132

0.8

%

0.7

%

 

$

7

 

 

$

(7

)

15yr TBA

 

200,000

 

 

196,498

4.64

%

 

 

98.25

3.19

%

 

 

 

 

 

 

 

3,908

 

 

 

(4,166

)

15yr Total

 

200,422

 

 

196,932

4.65

%

 

 

98.26

3.19

%

4.54

%

48

132

0.8

%

0.7

%

 

 

3,915

 

 

 

(4,173

)

30yr 3.0

 

3,529,349

 

 

3,354,573

79.22

%

 

 

95.05

3.00

%

3.47

%

13

345

7.5

%

6.8

%

 

 

100,185

 

 

 

(106,588

)

30yr 3.5

 

234,038

 

 

230,649

5.45

%

 

 

98.55

3.50

%

4.03

%

26

326

11.6

%

13.8

%

 

 

6,092

 

 

 

(6,424

)

30yr 4.0

 

272,605

 

 

272,381

6.43

%

 

 

99.92

4.00

%

1.70

%

12

117

23.0

%

29.4

%

 

 

5,896

 

 

 

(6,665

)

30yr Total

 

4,035,992

 

 

3,857,603

91.10

%

 

 

95.58

3.10

%

3.38

%

13

328

8.1

%

7.8

%

 

 

112,173

 

 

 

(119,677

)

Total Pass Through RMBS

 

4,236,414

 

 

4,054,535

95.76

%

 

 

95.71

3.10

%

3.38

%

13

328

8.1

%

7.8

%

 

 

116,088

 

 

 

(123,850

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

342,464

 

 

40,793

0.96

%

 

 

11.91

3.00

%

3.69

%

70

164

15.8

%

17.9

%

 

 

(723

)

 

 

464

 

IO 20yr 4.0

 

12,492

 

 

1,525

0.04

%

 

 

12.20

4.00

%

4.57

%

124

109

17.1

%

15.9

%

 

 

(1

)

 

 

(1

)

IO 30yr 3.0

 

42,836

 

 

7,036

0.17

%

 

 

16.43

3.00

%

3.69

%

34

319

14.6

%

17.3

%

 

 

(286

)

 

 

220

 

IO 30yr 3.5

 

517,016

 

 

99,925

2.36

%

 

 

19.33

3.50

%

4.01

%

53

298

12.9

%

15.3

%

 

 

(2,914

)

 

 

2,133

 

IO 30yr 4.0

 

154,709

 

 

27,986

0.66

%

 

 

18.09

4.00

%

4.56

%

72

279

19.9

%

24.6

%

 

 

(1,165

)

 

 

1,026

 

IO 30yr 4.5

 

4,350

 

 

774

0.02

%

 

 

17.80

4.50

%

4.99

%

142

205

20.3

%

20.3

%

 

 

(23

)

 

 

19

 

IO 30yr 5.0

 

2,407

 

 

432

0.01

%

 

 

17.96

5.00

%

5.36

%

142

204

15.1

%

20.5

%

 

 

(15

)

 

 

12

 

IO Total

 

1,076,274

 

 

178,471

4.21

%

 

 

16.58

3.41

%

3.99

%

62

251

15.0

%

17.6

%

 

 

(5,127

)

 

 

3,873

 

IIO 30yr 4.0

 

36,690

 

 

1,261

0.03

%

 

 

3.44

3.53

%

4.41

%

56

296

21.5

%

29.9

%

 

 

205

 

 

 

(214

)

Total Structured RMBS

 

1,112,964

 

 

179,732

4.24

%

 

 

16.15

3.41

%

4.00

%

61

252

15.2

%

18.0

%

 

 

(4,922

)

 

 

3,659

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,349,378

 

$

4,234,267

100.00

%

 

 

 

3.17

%

3.51

%

24

312

9.7

%

10.1

%

 

$

111,166

 

 

$

(120,191

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

(-50 BPS)(2)

 

(+50 BPS)(2)

5-Year Treasury Future(3)

$

(1,194,000

)

 

Jun-2022

 

 

 

 

 

 

 

$

(31,130

)

$

31,251

 

10-Year Treasury Ultra(4)

 

(270,000

)

 

Jun-2022

 

 

 

 

 

 

 

 

(21,135

)

 

17,781

 

TBA

 

(250,000

)

 

Jun-2022

 

 

 

 

 

 

 

 

(7,735

)

 

8,208

 

Swaps

 

(1,400,000

)

 

Jul-2028

 

 

 

 

 

 

 

 

(38,102

)

 

36,748

 

Swaptions

 

(777,800

)

 

Mar-2023

 

 

 

 

 

 

 

 

(22,697

)

 

22,884

 

Hedge Total

$

(3,891,800

)

 

 

 

 

 

 

 

 

 

$

(120,799

)

$

116,872

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

$

(9,633

)

$

(3,319

)

(1)

 

Amounts in the tables above include assets with a fair value of approximately $174.5 million purchased in April 2022, which settle in May 2022, and exclude assets with a fair value of approximately $352.6 million sold in April 2022, which settle in May 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 $112.67 at April 30, 2022. The market value of the short position was $1,345.3 million.

(4)

 

Ten-year Treasury Ultra futures contracts were valued at prices of $129.00 at April 30, 2022. The market value of the short position was $348.3 million.

 

RMBS Assets by Agency

 

 

 

 

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

 

(1)

 

 

($ in thousands)

 

(1)

 

 

 

 

Percentage

 

 

 

 

Percentage

 

 

Fair

of

 

 

 

Fair

of

Asset Category

 

Value

Portfolio

 

Asset Category

 

Value

Portfolio

As of April 30, 2022

 

 

 

 

As of April 30, 2022

 

 

 

Fannie Mae

$

2,847,347

 

70.5

%

 

Non-Whole Pool Assets

$

245,138

 

6.1

%

Freddie Mac

 

1,190,423

 

29.5

%

 

Whole Pool Assets

 

3,792,632

 

93.9

%

Total Mortgage Assets

$

4,037,770

 

100.0

%

 

Total Mortgage Assets

$

4,037,770

 

100.0

%

(1)

Amounts in the tables above include assets with a fair value of approximately $174.5 million purchased in April 2022, which settle in May 2022, and exclude assets with a fair value of approximately $352.6 million sold in April 2022, which settle in May 2022.

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of April 30, 2022

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

J.P. Morgan Securities LLC

$

372,217

 

9.0

%

 

0.70

%

43

7/25/2022

ABN AMRO Bank N.V.

 

335,617

 

8.2

%

 

0.84

%

67

7/14/2022

Mitsubishi UFJ Securities (USA), Inc

 

317,646

 

7.7

%

 

0.84

%

41

7/28/2022

Merrill Lynch, Pierce, Fenner & Smith Inc.

 

309,881

 

7.5

%

 

0.84

%

56

7/13/2022

Cantor Fitzgerald & Co

 

304,373

 

7.4

%

 

0.61

%

32

6/17/2022

ED&F Man Capital Markets Inc

 

262,263

 

6.4

%

 

0.69

%

41

7/25/2022

Mirae Asset Securities (USA) Inc.

 

258,676

 

6.3

%

 

0.41

%

38

9/14/2022

RBC Capital Markets, LLC

 

233,102

 

5.7

%

 

0.86

%

65

7/14/2022

ING Financial Markets LLC

 

221,203

 

5.4

%

 

0.40

%

5

5/5/2022

Goldman, Sachs & Co.

 

199,411

 

4.9

%

 

0.77

%

24

5/25/2022

ASL Capital Markets Inc.

 

188,140

 

4.6

%

 

0.64

%

24

6/21/2022

Santander Bank, N.A.

 

179,576

 

4.4

%

 

0.82

%

51

7/25/2022

Citigroup Global Markets Inc

 

177,318

 

4.3

%

 

0.70

%

30

6/24/2022

Daiwa Capital Markets America Inc.

 

151,289

 

3.7

%

 

0.73

%

47

6/16/2022

Nomura Securities International, Inc.

 

133,438

 

3.2

%

 

0.61

%

18

5/18/2022

Wells Fargo Bank, N.A.

 

125,542

 

3.1

%

 

0.81

%

62

7/21/2022

BMO Capital Markets Corp.

 

119,125

 

2.9

%

 

0.64

%

18

5/20/2022

Austin Atlantic Asset Management Co.

 

84,200

 

2.0

%

 

0.39

%

4

5/4/2022

South Street Securities, LLC

 

61,524

 

1.5

%

 

0.60

%

18

5/18/2022

Lucid Cash Fund USG, LLC

 

44,673

 

1.1

%

 

0.63

%

12

5/12/2022

StoneX Financial Inc.

 

24,410

 

0.6

%

 

0.61

%

19

5/19/2022

Mizuho Securities USA, Inc

 

4,235

 

0.1

%

 

1.00

%

12

5/12/2022

Total Borrowings

$

4,107,859

 

100.0

%

 

0.70

%

39

9/14/2022

(1)

In April 2022, the Company purchased assets with a fair value of approximately $174.5 million, which settle in May 2022 that are expected to be funded substantially by repurchase agreements not included in the table above. In April 2022, the Company sold assets with a fair value of approximately $352.6 million, which settle in May 2022 that collateralize approximately $348.6 million of repurchase agreements included in the table above.

 

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

Source: Orchid Island Capital, Inc.