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Orchid Island Capital Announces March 2022 Monthly Dividend, and February 28, 2022 Rmbs Portfolio Characteristics

03/16/2022
  • March 2022 Monthly Dividend of $0.045 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of February 28, 2022
  • Next Dividend Announcement Expected April 13, 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 March 2022. The dividend of $0.045 per share will be paid April 27, 2022, to holders of record of the Company’s common stock on March 31, 2022, with an ex-dividend date of March 30, 2022. The Company plans on announcing its next common stock dividend on April 13, 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 March 16, 2022, February 28, 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 February 28, 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, 2021.

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Feb 2022

Dec - Feb

 

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 Mar)

in Mar)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

209,229

$

212,803

4.03%

$

101.71

2.50%

2.87%

14

160

9.4%

8.0%

$

3,918

$

(4,164)

15yr 4.0

 

427

 

450

0.01%

 

105.22

4.00%

4.54%

46

134

0.7%

0.7%

 

6

 

(7)

15yr Total

 

209,656

 

213,253

4.04%

 

101.72

2.50%

2.88%

15

160

9.4%

8.0%

 

3,924

 

(4,171)

30yr 2.5

 

365,631

 

361,707

6.85%

 

98.93

2.50%

3.41%

11

345

9.1%

5.3%

 

8,933

 

(10,567)

30yr 3.0

 

4,048,598

 

4,128,462

78.13%

 

101.97

3.00%

3.48%

11

347

5.8%

7.1%

 

102,356

 

(116,946)

30yr 3.5

 

242,130

 

254,730

4.82%

 

105.20

3.50%

4.04%

24

328

13.5%

16.6%

 

5,663

 

(6,256)

30yr 4.0

 

104,795

 

111,046

2.10%

 

105.96

4.00%

4.75%

29

329

26.7%

24.6%

 

1,615

 

(1,995)

30yr Total

 

4,761,154

 

4,855,945

91.90%

 

101.99

3.01%

3.53%

12

346

6.9%

7.8%

 

118,567

 

(135,764)

Total Pass Through RMBS

 

4,970,810

 

5,069,198

95.94%

 

101.98

2.99%

3.50%

12

338

7.0%

7.8%

 

122,491

 

(139,935)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

358,021

 

40,396

0.76%

 

11.28

3.00%

3.69%

68

166

17.1%

20.9%

 

(1,916)

 

1,301

IO 20yr 4.0

 

13,036

 

1,591

0.03%

 

12.20

4.00%

4.57%

122

111

13.5%

15.5%

 

(13)

 

7

IO 30yr 3.0

 

89,448

 

12,941

0.24%

 

14.47

3.00%

3.66%

54

298

14.2%

14.7%

 

(672)

 

508

IO 30yr 3.5

 

769,538

 

132,111

2.50%

 

17.17

3.48%

4.00%

52

299

16.6%

18.7%

 

(7,479)

 

5,609

IO 30yr 4.0

 

164,847

 

24,529

0.46%

 

14.88

4.00%

4.56%

70

282

28.2%

27.7%

 

(1,644)

 

1,523

IO 30yr 4.5

 

4,543

 

772

0.01%

 

16.99

4.50%

4.99%

140

207

20.0%

24.2%

 

(45)

 

40

IO 30yr 5.0

 

2,529

 

421

0.01%

 

16.63

5.00%

5.36%

140

207

11.5%

17.6%

 

(23)

 

23

IO Total

 

1,401,962

 

212,761

4.03%

 

15.18

3.40%

3.98%

59

261

17.9%

20.0%

 

(11,792)

 

9,011

IIO 30yr 4.0

 

41,270

 

2,014

0.04%

 

4.88

3.75%

4.40%

53

298

53.6%

35.0%

 

124

 

(230)

Total Structured RMBS

 

1,443,232

 

214,775

4.06%

 

14.88

3.41%

3.99%

59

262

18.9%

20.5%

 

(11,668)

 

8,781

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

6,414,042

$

5,283,973

100.00%

 

 

3.08%

3.61%

22

321

9.7%

10.7%

$

110,823

$

(131,154)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

$

(35,702)

$

32,030

10-Year Treasury Ultra(4)

 

(270,000)

 

Jun-2022

 

 

 

 

 

 

 

 

 

 

(29,703)

 

17,843

TBA

 

(500,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

 

(10,132)

 

12,200

Swaps

 

(1,400,000)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

(42,437)

 

42,437

Swaptions

 

(868,700)

 

Apr-2023

 

 

 

 

 

 

 

 

 

 

(12,885)

 

20,334

Hedge Total

$

(4,232,700)

 

 

 

 

 

 

 

 

 

 

 

$

(130,859)

$

124,844

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(20,036)

$

(6,310)

(1)

Amounts in the tables above exclude assets with a fair value of approximately $335.2 million sold in February 2022, which settle in March 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 $118.28 at February 28, 2022. The market value of the short position was $1,412.3 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $141.33 at February 28, 2022. The market value of the short position was $381.6 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(1)

Portfolio

 

Asset Category

 

Value(1)

Portfolio

As of February 28, 2022

 

 

 

 

As of February 28, 2022

 

 

 

Fannie Mae

$

3,579,700

67.7%

 

Non-Whole Pool Assets

$

287,136

5.4%

Freddie Mac

 

1,704,273

32.3%

 

Whole Pool Assets

 

4,996,837

94.6%

Total Mortgage Assets

$

5,283,973

100.0%

 

Total Mortgage Assets

$

5,283,973

100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $335.2 million sold in February 2022, which settle in March 2022.

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of February 28, 2022

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

ABN AMRO Bank N.V.

$

412,908

 

7.6%

 

0.14%

18

4/12/2022

J.P. Morgan Securities LLC

 

399,470

 

7.4%

 

0.15%

13

4/25/2022

Merrill Lynch, Pierce, Fenner & Smith Incorporated

 

379,052

 

7.0%

 

0.23%

37

4/13/2022

RBC Capital Markets, LLC

 

367,437

 

6.8%

 

0.16%

18

4/29/2022

Mirae Asset Securities (USA) Inc.

 

358,959

 

6.6%

 

0.18%

42

9/14/2022

Wells Fargo Bank, N.A.

 

337,707

 

6.3%

 

0.13%

13

3/21/2022

Mitsubishi UFJ Securities (USA), Inc

 

337,363

 

6.2%

 

0.30%

36

4/29/2022

Cantor Fitzgerald & Co., Inc.

 

334,806

 

6.2%

 

0.15%

18

4/25/2022

ED&F Man Capital Markets Inc

 

286,077

 

5.3%

 

0.18%

35

4/14/2022

Santander Bank, N.A.

 

283,297

 

5.2%

 

0.21%

30

4/25/2022

Goldman, Sachs & Co. LLC

 

260,082

 

4.8%

 

0.39%

48

4/25/2022

ING Financial Markets LLC

 

256,403

 

4.7%

 

0.13%

17

3/17/2022

Citigroup Global Markets Inc.

 

225,487

 

4.2%

 

0.21%

29

4/25/2022

Nomura Securities International, Inc.

 

222,175

 

4.1%

 

0.13%

16

3/17/2022

ASL Capital Markets Inc.

 

219,094

 

4.1%

 

0.17%

23

4/22/2022

Daiwa Capital Markets America Inc.

 

197,371

 

3.7%

 

0.14%

17

3/17/2022

BMO Capital Markets Corp.

 

189,048

 

3.5%

 

0.19%

17

3/21/2022

Austin Atlantic Asset Management Co.

 

90,178

 

1.7%

 

0.14%

2

3/2/2022

South Street Securities LLC

 

87,114

 

1.6%

 

0.31%

39

4/18/2022

Lucid Cash Fund USG, LLC

 

85,252

 

1.6%

 

0.19%

10

3/10/2022

Barclays Capital Inc

 

42,074

 

0.8%

 

0.19%

14

3/14/2022

StoneX Financial Inc.

 

27,648

 

0.5%

 

0.19%

50

4/19/2022

Mizuho Securities USA, Inc

 

3,671

 

0.1%

 

0.57%

11

3/11/2022

Total Borrowings

$

5,402,673

 

100.0%

 

0.19%

25

9/14/2022

(1) In February 2022, the Company sold assets with a fair value of approximately $335.2 million, which settle in March 2022 that collateralize approximately $323.1 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.

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