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

Rhea-AI Summary

The Board of Orchid Island Capital declared a monthly cash dividend of $0.045 per share for April 2022, payable on May 27, 2022. The estimated book value per share as of March 31, 2022, is $3.34, with a significant estimated net loss of $0.84 per share for Q1 2022, including losses of $1.04 related to RMBS and derivatives. The estimated total return on equity stands at (19.5)% for the quarter. The next dividend announcement is expected on May 11, 2022.

Positive

• Monthly cash dividend of $0.045 per share announced.
• Company maintains regular distribution intentions.

Negative

• Estimated net loss of $0.84 per share for Q1 2022.
• Total return on equity estimated at (19.5)% for the quarter.
• Estimated $1.04 per share in losses on RMBS and derivatives.

• 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

 

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Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount for Orchid Island Capital in April 2022?

The dividend amount is $0.045 per share.

When will the dividend for April 2022 be paid?

The dividend will be paid on May 27, 2022.

What is the estimated book value per share for Orchid Island Capital as of March 31, 2022?

The estimated book value per share is $3.34.

What is the estimated net loss per share for Orchid Island Capital for the quarter ending March 31, 2022?

The estimated net loss per share is $0.84.

What is the expected total return on equity for Orchid Island Capital for Q1 2022?

The estimated total return on equity is (19.5)%.