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

02/16/2022
  • 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

 

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

Source: Orchid Island Capital, Inc.

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