UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM
CURRENT REPORT
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Item 2.02. Results of Operations and Financial Condition
On April 13, 2022, Orchid Island Capital, Inc. (the “Company”) announced its estimated book value of $3.34 per share as of
March 31, 2022, certain details of its RMBS portfolio as of March 31, 2022, and estimated GAAP net loss per share of $0.84,
including an estimated $1.04 per share of net realized and unrealized losses, for the quarter ended March 31, 2022. These
figures and the estimated book value per share and estimated GAAP net loss per share are preliminary, subject to change, and
subject to review by the Company’s independent registered public accounting firm.
Item 8.01. Other Events.
On April 13, 2022, the Company announced that the Board of Directors of the Company declared a dividend for the month of
April 2022 of $0.045 per share of the Company’s common stock to be paid on May 27, 2022 to holders of record on April 29,
2022, with an ex-dividend date of April 28, 2022. In addition, the Company announced certain details of its RMBS portfolio
as of March 31, 2022 as well as certain other information regarding the Company. A copy of the Company’s press release
announcing the dividend and the other information regarding the Company is attached hereto as Exhibit 99.1 and incorporated
herein by this reference.
Caution About Forward-Looking Statements.
This Current Report on Form 8-K contains forward-looking statements within the meaning of the Private Securities Litigation
Reform Act of 1995 and other federal securities laws, including, but not limited to statements about the Company’s
distributions. These forward-looking statements are based upon the Company’s present expectations, but the Company cannot
assure investors that actual results will not vary from the expectations contained in the forward-looking statements. 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. All forward-looking statements speak only as of the date on which they are made. New risks and
uncertainties arise over time, and it is not possible to predict those events or how they may affect the Company. Except as
required by law, the Company is not obligated to, and does not intend to, update or revise any forward-looking statements,
whether as a result of new information, future events or otherwise.
Item 9.01. Financial Statements and Exhibits.
(d) Exhibits
Exhibit No.
Description
99.1
104
Cover Page Interactive Data File (embedded within the Inline XBRL
document)
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned hereunto duly authorized.
Date: April 13, 2022
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
ESTIMATED FIRST QUARTER 2022 RESULTS,
APRIL 2022 MONTHLY DIVIDEND AND
MARCH 31, 2022 RMBS PORTFOLIO CHARACTERISTICS
●
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., April 13, 2022 - 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%
13.3%
9.8%
$
3,967
$
(4,144)
15yr 4.0
425
441
0.01%
103.99
4.00%
4.54%
0.7%
0.7%
7
(7)
15yr Total
206,873
204,922
4.47%
99.06
2.50%
2.88%
13.3%
9.8%
3,974
(4,151)
30yr 2.5
145,559
139,140
3.04%
95.59
2.50%
3.31%
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%
7.0%
7.2%
98,820
(108,173)
30yr 3.5
238,175
243,620
5.32%
102.29
3.50%
4.04%
15.9%
15.0%
5,781
(6,215)
30yr 4.0
101,708
105,186
2.30%
103.42
4.00%
4.75%
37.0%
30.4%
1,858
(2,129)
30yr Total
4,215,770
4,167,595
90.98%
98.86
3.04%
3.53%
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%
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%
20.7%
19.6%
(1,073)
806
IO 20yr 4.0
12,785
1,533
0.03%
11.99
4.00%
4.57%
17.0%
14.8%
(4)
2
IO 30yr 3.0
43,536
6,570
0.14%
15.09
3.00%
3.69%
15.8%
19.7%
(360)
312
IO 30yr 3.5
721,916
128,985
2.82%
17.87
3.50%
4.01%
17.4%
17.5%
(5,076)
4,348
IO 30yr 4.0
159,528
27,516
0.60%
17.25
4.00%
4.56%
25.2%
26.9%
(1,478)
1,393
IO 30yr 4.5
4,439
809
0.02%
18.23
4.50%
4.99%
20.8%
21.4%
(34)
30
IO 30yr 5.0
2,496
448
0.01%
17.95
5.00%
5.36%
33.1%
21.7%
(20)
19
IO Total
1,295,510
206,617
4.51%
15.95
3.42%
4.00%
19.3%
19.3%
(8,045)
6,910
IIO 30yr 4.0
37,143
1,460
0.03%
3.93
3.75%
4.40%
5.3%
27.3%
182
(205)
Total Structured RMBS
1,332,653
208,077
4.54%
15.61
3.43%
4.01%
18.9%
19.5%
(7,863)
6,705
Total Mortgage Assets
$
5,755,296
$
4,580,594
100.00%
3.11%
3.62%
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
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400