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Orchid Island Capital Announces Estimated First Quarter 2022 Results, April 2022 Monthly Dividend and March 31, 2022 RMBS Portfolio Characteristics

04/13/2022
  • April 2022 Monthly Dividend of $0.045 Per Share of Common Stock
  • Estimated Book Value Per Share as of March 31, 2022 of $3.34
  • Estimated GAAP net loss of $0.84 per share for the quarter ended March 31, 2022, including an estimated $1.04 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated (19.5)% total return on equity for the quarter
  • Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
  • RMBS Portfolio Characteristics as of March 31, 2022
  • Next Dividend Announcement Expected May 11, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of April 2022. The dividend of $0.045 per share will be paid May 27, 2022 to holders of record of the Company’s common stock on April 29, 2022, with an ex-dividend date of April 28, 2022. The Company plans on announcing its next common stock dividend on May 11, 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 April 13, 2022 and March 31, 2022, the Company had 177,117,186 shares of common stock outstanding. As of December 31, 2021, the Company had 176,993,049 shares of common stock outstanding.

Estimated March 31, 2022 Book Value Per Share

The Company’s estimated book value per share as of March 31, 2022 was $3.34. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2022, the Company's preliminary estimated total stockholders' equity was approximately $592.4 million with 177,117,186 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.84, which includes $1.04 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 2022. These amounts compare to total dividends declared during the quarter of $0.155 per share. Net loss per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net loss. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended March 31, 2022 was (19.5)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $(0.845) per share, comprised of dividends per share of $0.155 and a decrease in book value per share of $1.00 from December 31, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 2022 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended March 31, 2022, are subject to review by the Company’s independent registered public accounting firm.

  • 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, 2021.

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mar 2022

Jan - Mar

 

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 Apr)

in Apr)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

206,448

$

204,481

4.46%

$

99.05

2.50%

2.87%

15

159

13.3%

9.8%

$

3,967

$

(4,144)

15yr 4.0

 

425

 

441

0.01%

 

103.99

4.00%

4.54%

47

133

0.7%

0.7%

 

7

 

(7)

15yr Total

 

206,873

 

204,922

4.47%

 

99.06

2.50%

2.88%

16

159

13.3%

9.8%

 

3,974

 

(4,151)

30yr 2.5

 

145,559

 

139,140

3.04%

 

95.59

2.50%

3.31%

5

354

4.1%

2.9%

 

3,905

 

(4,375)

30yr 3.0

 

3,730,328

 

3,679,649

80.33%

 

98.64

3.00%

3.48%

11

346

7.0%

7.2%

 

98,820

 

(108,173)

30yr 3.5

 

238,175

 

243,620

5.32%

 

102.29

3.50%

4.04%

25

328

15.9%

15.0%

 

5,781

 

(6,215)

30yr 4.0

 

101,708

 

105,186

2.30%

 

103.42

4.00%

4.75%

30

327

37.0%

30.4%

 

1,858

 

(2,129)

30yr Total

 

4,215,770

 

4,167,595

90.98%

 

98.86

3.04%

3.53%

12

345

8.2%

8.0%

 

110,364

 

(120,892)

Total Pass Through RMBS

 

4,422,643

 

4,372,517

95.46%

 

98.87

3.01%

3.50%

13

336

8.4%

8.1%

 

114,338

 

(125,043)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

350,810

 

40,756

0.89%

 

11.62

3.00%

3.69%

69

165

20.7%

19.6%

 

(1,073)

 

806

IO 20yr 4.0

 

12,785

 

1,533

0.03%

 

11.99

4.00%

4.57%

123

110

17.0%

14.8%

 

(4)

 

2

IO 30yr 3.0

 

43,536

 

6,570

0.14%

 

15.09

3.00%

3.69%

33

320

15.8%

19.7%

 

(360)

 

312

IO 30yr 3.5

 

721,916

 

128,985

2.82%

 

17.87

3.50%

4.01%

54

297

17.4%

17.5%

 

(5,076)

 

4,348

IO 30yr 4.0

 

159,528

 

27,516

0.60%

 

17.25

4.00%

4.56%

71

280

25.2%

26.9%

 

(1,478)

 

1,393

IO 30yr 4.5

 

4,439

 

809

0.02%

 

18.23

4.50%

4.99%

141

206

20.8%

21.4%

 

(34)

 

30

IO 30yr 5.0

 

2,496

 

448

0.01%

 

17.95

5.00%

5.36%

141

206

33.1%

21.7%

 

(20)

 

19

IO Total

 

1,295,510

 

206,617

4.51%

 

15.95

3.42%

4.00%

61

257

19.3%

19.3%

 

(8,045)

 

6,910

IIO 30yr 4.0

 

37,143

 

1,460

0.03%

 

3.93

3.75%

4.40%

55

297

5.3%

27.3%

 

182

 

(205)

Total Structured RMBS

 

1,332,653

 

208,077

4.54%

 

15.61

3.43%

4.01%

60

258

18.9%

19.5%

 

(7,863)

 

6,705

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,755,296

$

4,580,594

100.00%

 

 

3.11%

3.62%

24

318

10.8%

10.7%

$

106,475

$

(118,338)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(1,194,000)

 

Jun-2022

 

 

 

 

 

 

 

 

 

$

(22,697)

$

40,728

10-Year Treasury Ultra(3)

 

(270,000)

 

Jun-2022

 

 

 

 

 

 

 

 

 

 

(19,854)

 

21,726

Swaps

 

(1,400,000)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

(39,846)

 

38,395

Swaptions

 

(777,800)

 

Mar-2023

 

 

 

 

 

 

 

 

 

 

(4,133)

 

3,479

Hedge Total

$

(3,641,800)

 

 

 

 

 

 

 

 

 

 

 

$

(86,530)

$

104,328

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

19,945

$

(14,010)

(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 $114.69 at March 31, 2022. The market value of the short position was $1,369.4 million.

(3)

Ten year Treasury Ultra futures contracts were valued at prices of $135.47 at March 31, 2022. The market value of the short position was $365.8 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 March 31, 2022

 

 

 

 

As of March 31, 2022

 

 

 

Fannie Mae

$

3,016,954

65.9%

 

Non-Whole Pool Assets

$

277,250

6.1%

Freddie Mac

 

1,563,640

34.1%

 

Whole Pool Assets

 

4,303,344

93.9%

Total Mortgage Assets

$

4,580,594

100.0%

 

Total Mortgage Assets

$

4,580,594

100.0%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of March 31, 2022

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

J.P. Morgan Securities LLC

$

390,917

 

8.6%

 

0.35%

12

4/25/2022

Merrill Lynch, Pierce, Fenner & Smith Incorporated

 

376,951

 

8.4%

 

0.29%

15

4/26/2022

ABN AMRO Bank N.V.

 

357,326

 

8.0%

 

0.33%

12

4/14/2022

Mitsubishi UFJ Securities (USA), Inc

 

326,430

 

7.3%

 

0.51%

35

5/31/2022

Cantor Fitzgerald & Co., Inc.

 

315,791

 

7.1%

 

0.38%

27

5/13/2022

ED&F Man Capital Markets Inc.

 

282,992

 

6.3%

 

0.27%

17

4/25/2022

Mirae Asset Securities (USA) Inc.

 

263,899

 

5.9%

 

0.32%

58

9/14/2022

RBC Capital Markets, LLC

 

247,015

 

5.5%

 

0.37%

17

4/29/2022

Goldman, Sachs & Co. LLC

 

238,179

 

5.3%

 

0.44%

24

4/25/2022

ING Financial Markets LLC

 

221,203

 

5.0%

 

0.40%

35

5/5/2022

ASL Capital Markets Inc.

 

199,024

 

4.5%

 

0.38%

18

4/22/2022

Santander Bank, N.A.

 

189,837

 

4.3%

 

0.38%

21

4/25/2022

Citigroup Global Markets Inc.

 

182,158

 

4.1%

 

0.39%

20

4/25/2022

Nomura Securities International, Inc.

 

176,167

 

3.9%

 

0.38%

17

4/18/2022

Daiwa Capital Markets America Inc.

 

173,083

 

3.9%

 

0.39%

18

4/18/2022

Wells Fargo Bank, N.A.

 

132,026

 

3.0%

 

0.35%

14

4/21/2022

BMO Capital Markets Corp.

 

124,021

 

2.8%

 

0.42%

18

4/20/2022

Austin Atlantic Asset Management Co.

 

87,245

 

2.0%

 

0.39%

6

4/6/2022

Lucid Cash Fund USG, LLC

 

82,630

 

1.9%

 

0.42%

14

4/14/2022

South Street Securities LLC

 

65,571

 

1.5%

 

0.37%

18

4/18/2022

StoneX Financial Inc.

 

27,648

 

0.6%

 

0.19%

19

4/19/2022

Mizuho Securities USA, Inc

 

3,996

 

0.1%

 

0.90%

12

4/12/2022

Total Borrowings

$

4,464,109

 

100.0%

 

0.37%

22

9/14/2022

 

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

Source: Orchid Island Capital, Inc.

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