Orchid Island Capital Announces Estimated Second Quarter 2022 Results, July 2022 Monthly Dividend and June 30, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (NYSE: ORC) declared a monthly cash dividend of $0.045 per share for July 2022, payable on August 29, 2022. The estimated book value per share as of June 30, 2022, is $2.87, while the company reported an estimated net loss of $0.34 per share, attributed to $0.46 of net losses on RMBS and derivatives. The estimated total return on equity was (10.0)% for the quarter. Orchid Island aims to distribute 90% of its REIT taxable income to avoid tax penalties but has not guaranteed future distributions.

Positive

• Declared monthly cash dividend of $0.045 per share.
• Estimated book value per share of $2.87 indicates equity stability.

Negative

• Estimated net loss of $0.34 per share for the quarter.
• Negative total return on equity of (10.0)%, indicating financial strain.

• July 2022 Monthly Dividend of $0.045 Per Share of Common Stock
• Estimated Book Value Per Share as of June 30, 2022 of $2.87
• Estimated GAAP net loss of $0.34 per share for the quarter ended June 30, 2022, including an estimated $0.46 per share of net realized and unrealized losses on RMBS and derivative instruments
• Estimated (10.0)% total return on equity for the quarter
• Estimated book value, net loss 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 June 30, 2022
• Next Dividend Announcement Expected August 17, 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 July 2022. The dividend of $0.045 per share will be paid August 29, 2022 to holders of record of the Company’s common stock on July 29, 2022, with an ex-dividend date of July 28, 2022. The Company plans on announcing its next common stock dividend on August 17, 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 July 13, 2022 and June 30, 2022, the Company had 176,251,193 shares of common stock outstanding. As of March 31, 2022, the Company had 177,117,186 shares of common stock outstanding.

Estimated June 30, 2022 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2022 was $2.87. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2022, the Company's preliminary estimated total stockholders' equity was approximately $507.4 million with 176,251,193 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 $0.34, which includes $0.46 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended June 30, 2022. These amounts compare to total dividends declared during the quarter of $0.135 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 June 30, 2022 was (10.0)%. 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 $(0.335) per share, comprised of dividends per share of $0.135 and a decrease in book value per share of $0.47 from March 31, 2022.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 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 June 30, 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
																					Jun 2022		Apr - Jun			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 Jul)		in Jul)			(-50 BPS)(1)				(+50 BPS)(1)
Pass Through RMBS
15yr 4.0	$	416		$	425		0.01	%		$	101.96		4.00%		4.54%		50		130		0.8%		0.8%		$	7			$	(7	)
15yr TBA		175,000			173,975		4.23	%			99.41		3.50%													2,831				(3,136	)
15yr Total		175,416			174,400		4.24	%			99.42		3.50%		4.54%		50		130		0.8%		0.8%			2,838				(3,143	)
30yr 3.0		3,469,251			3,260,634		79.24	%			93.99		3.00%		3.46%		15		342		7.4%		7.7%			104,218				(109,092	)
30yr 3.5		227,580			222,919		5.42	%			97.95		3.50%		4.03%		28		324		11.7%		12.8%			6,201				(6,466	)
30yr 4.0		284,173			282,173		6.86	%			99.30		4.00%		4.72%		12		347		7.5%		18.0%			6,265				(7,088	)
30yr Total		3,981,004			3,765,726		91.52	%			94.59		3.10%		3.59%		15		342		7.6%		8.3%			116,684				(122,646	)
Total Pass Through RMBS		4,156,420			3,940,126		95.75	%			94.80		3.12%		3.59%		15		342		7.6%		8.3%			119,522				(125,789	)
Structured RMBS
IO 20yr 3.0		330,732			39,254		0.95	%			11.87		3.00%		3.69%		72		161		12.2%		13.5%			(485	)			252
IO 20yr 4.0		11,963			1,404		0.03	%			11.73		4.00%		4.57%		126		107		11.8%		14.3%			-				(2	)
IO 30yr 3.0		41,727			6,784		0.16	%			16.26		3.00%		3.70%		36		317		13.3%		12.8%			(213	)			165
IO 30yr 3.5		503,821			98,384		2.39	%			19.53		3.50%		4.01%		55		296		12.9%		12.4%			(2,181	)			1,492
IO 30yr 4.0		148,069			26,662		0.65	%			18.01		4.00%		4.55%		74		277		20.1%		19.4%			(974	)			802
IO 30yr 4.5		4,197			799		0.02	%			19.05		4.50%		4.99%		144		203		11.0%		15.4%			(22	)			18
IO 30yr 5.0		2,350			467		0.01	%			19.87		5.00%		5.36%		144		203		30.0%		17.3%			(15	)			13
IO Total		1,042,859			173,754		4.22	%			16.66		3.41%		3.99%		64		249		13.7%		13.8%			(3,890	)			2,740
IIO 30yr 4.0		35,107			955		0.02	%			2.72		3.02%		4.40%		58		293		9.9%		11.1%			194				(189	)
Total Structured RMBS		1,077,966			174,709		4.25	%			16.21		3.39%		4.00%		63		250		13.6%		13.7%			(3,696	)			2,551
Total Mortgage Assets	$	5,234,386		$	4,114,835		100.00	%					3.17%		3.67%		25		323		8.9%		9.5%		$	115,826			$	(123,238	)

																Interest					Interest
		Average			Hedge											Rate					Rate
		Notional			Period											Sensitivity					Sensitivity
Hedge		Balance			End											(-50 BPS)(1)					(+50 BPS)(1)
5-Year Treasury Future(2)	$	(1,200,500	)		Sep-2022										$	(31,555	)		$		22,351
10-Year Treasury Ultra(3)		(274,500	)		Sep-2022											(15,536	)				13,691
Swaps		(1,400,000	)		Jul-2028											(36,711	)				35,424
TBA		(175,000	)		Jul-2022											(5,392	)				5,692
Swaptions		(777,800	)		Mar-2023											(12,182	)				11,118
Hedge Total	$	(3,827,800	)												$	(101,376	)		$		88,276
Rate Shock Grand Total															$	14,450			$		(34,962	)

(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 $112.25 at June 30, 2022. The market value of the short position was $1,347.6 million.
(3)	Ten-year Treasury Ultra futures contracts were valued at prices of $127.38 at June 30, 2022. The market value of the short position was $349.7 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 June 30, 2022						As of June 30, 2022
Fannie Mae		$	2,591,682	65.8%		Non-Whole Pool Assets	$	237,439	6.0%
Freddie Mac			1,349,178	34.2%		Whole Pool Assets		3,703,421	94.0%
Total Mortgage Assets		$	3,940,860	100.0%		Total Mortgage Assets	$	3,940,860	100.0%

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of June 30, 2022		Borrowings		Debt		Rate	in Days	Maturity
J.P. Morgan Securities LLC	$	355,463		9.4%		1.44%	40	8/10/2022
ABN AMRO Bank N.V.		332,722		8.9%		0.97%	12	7/14/2022
Mitsubishi UFJ Securities (USA), Inc		330,133		8.8%		1.69%	34	8/29/2022
Merrill Lynch, Pierce, Fenner & Smith		320,104		8.5%		1.15%	16	7/26/2022
Mirae Asset Securities (USA) Inc.		291,534		7.8%		1.16%	65	11/18/2022
Cantor Fitzgerald & Co		246,670		6.6%		1.50%	28	8/23/2022
RBC Capital Markets, LLC		228,511		6.1%		1.23%	26	8/18/2022
ING Financial Markets LLC		196,520		5.2%		1.64%	28	7/28/2022
ASL Capital Markets Inc.		179,465		4.8%		1.59%	18	7/21/2022
Santander Bank, N.A.		173,115		4.6%		1.34%	27	7/28/2022
Goldman, Sachs & Co.		158,181		4.2%		1.63%	25	7/27/2022
ED&F Man Capital Markets Inc		150,941		4.0%		1.02%	20	7/25/2022
Daiwa Capital Markets America Inc.		144,585		3.8%		1.62%	18	7/18/2022
Wells Fargo Bank, N.A.		123,434		3.3%		1.10%	14	7/21/2022
Citigroup Global Markets Inc		115,434		3.1%		1.37%	21	7/25/2022
BMO Capital Markets Corp.		115,236		3.1%		1.20%	18	7/21/2022
Nomura Securities International, Inc.		86,155		2.3%		1.62%	22	7/22/2022
Austin Atlantic Asset Management Co.		83,356		2.2%		1.62%	6	7/6/2022
South Street Securities, LLC		60,322		1.6%		1.17%	18	7/18/2022
Lucid Cash Fund USG, LLC		24,157		0.6%		1.27%	14	7/14/2022
StoneX Financial Inc.		23,337		0.6%		1.64%	28	7/28/2022
Lucid Prime Fund, LLC		19,604		0.5%		1.52%	14	7/14/2022
Total Borrowings	$	3,758,979		100.0%		1.36%	27	11/18/2022

 

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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 July 2022 for ORC?

The dividend amount for July 2022 is $0.045 per share.

When will the dividend for July 2022 be paid?

The dividend will be paid on August 29, 2022.

What is the estimated book value per share for ORC as of June 30, 2022?

The estimated book value per share is $2.87.

What is the total return on equity for ORC for the quarter ended June 30, 2022?

The estimated total return on equity is (10.0)%.

When is the next dividend announcement for ORC?

The next dividend announcement is expected on August 17, 2022.