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

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) announced a monthly cash dividend of $0.055 per share for February 2022. This dividend will be paid on March 29, 2022, to shareholders on record as of February 28, 2022, with an ex-dividend date of February 25, 2022. The company is committed to announcing its next dividend on March 16, 2022. As a REIT, Orchid Island must distribute at least 90% of its taxable income to avoid income tax; however, they have not guaranteed future distributions.

Positive

• Monthly dividend of $0.055 per share announced for February 2022.
• Next dividend announcement expected on March 16, 2022.
• Commitment to regular cash distributions to shareholders.

Negative

• No minimum distribution payment level established, creating uncertainty for future dividends.
• Subject to income tax on undistributed taxable income which may affect cash reserves.

• 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

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20220216006147/en/

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount announced by Orchid Island Capital for February 2022?

The dividend amount is $0.055 per share.

When is the payment date for the February 2022 dividend?

The payment date is March 29, 2022.

What is the ex-dividend date for the February 2022 dividend?

The ex-dividend date is February 25, 2022.

When will Orchid Island Capital announce its next dividend?

The next dividend announcement is expected on March 16, 2022.

How does being a REIT affect Orchid Island Capital's dividend payments?

As a REIT, Orchid Island must distribute at least 90% of its taxable income to stockholders.