Orchid Island Capital Announces June 2022 Monthly Dividend and May 31, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital announced a monthly cash dividend of $0.045 per share for June 2022, with payment scheduled for July 27, 2022. Shareholders on record as of June 30, 2022 will receive this dividend, while the ex-dividend date is set for June 29, 2022. The company plans to announce its next dividend on July 13, 2022. As a REIT, it is required to distribute at least 90% of its taxable income annually to avoid income tax issues. However, the company has not guaranteed future distributions.

Positive

• Monthly cash dividend of $0.045 per share indicates consistent income for shareholders.
• Next dividend announcement scheduled for July 13, 2022, suggesting ongoing shareholder engagement.

Negative

• The company has not established a minimum distribution level, raising uncertainty about future dividends.
• Subject to income tax if it does not distribute at least 90% of taxable income, which could impact cash reserves.

• June 2022 Monthly Dividend of $0.045 Per Share of Common Stock
• RMBS Portfolio Characteristics as of May 31, 2022
• Next Dividend Announcement Expected July 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 June 2022. The dividend of $0.045 per share will be paid July 27, 2022, to holders of record of the Company’s common stock on June 30, 2022, with an ex-dividend date of June 29, 2022. The Company plans on announcing its next common stock dividend on July 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 June 14, 2022, May 31, 2022 and March 31, 2022, the Company had 177,117,186 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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, 2021.

RMBS Valuation Characteristics
($ in thousands)
												Realized	Realized
												May 2022	Mar - May		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 Jun)	in Jun)		(-50 BPS)(1)		(+50 BPS)(1)
Pass Through RMBS
15yr 2.5	$	419	$	432	0.01%	$	103.01	4.00%	4.54%	49	131	0.8%	0.8%	$	7	$	(7)
15yr TBA		175,000		175,697	4.17%		100.40	3.50%							2,950		(3,310)
15yr Total		175,419		176,129	4.18%		100.40	3.50%	4.54%	49	131	0.8%	0.8%		2,957		(3,317)
30yr 3.0		3,500,185		3,363,833	79.75%		96.10	3.00%	3.47%	14	344	8.1%	7.5%		106,826		(112,329)
30yr 3.5		230,994		230,669	5.47%		99.86	3.50%	4.03%	27	325	14.2%	14.1%		6,331		(6,645)
30yr 4.0		270,277		272,437	6.46%		100.80	4.00%	4.71%	12	347	7.8%	26.8%		5,928		(6,852)
30yr Total		4,001,456		3,866,939	91.67%		96.64	3.10%	3.58%	14	343	8.5%	8.4%		119,085		(125,826)
Total Pass Through RMBS		4,176,875		4,043,068	95.85%		96.80	3.11%	3.62%	16	334	8.5%	8.4%		122,042		(129,143)
Structured RMBS
IO 20yr 3.0		335,999		40,141	0.95%		11.95	3.00%	3.69%	71	162	12.3%	16.4%		(595)		299
IO 20yr 4.0		12,205		1,485	0.04%		12.17	4.00%	4.57%	125	108	13.8%	16.0%		-		(2)
IO 30yr 3.0		42,190		6,859	0.16%		16.26	3.00%	3.69%	35	318	10.4%	13.7%		(249)		181
IO 30yr 3.5		510,044		97,678	2.32%		19.15	3.50%	4.01%	54	297	11.5%	14.1%		(2,522)		1,738
IO 30yr 4.0		151,311		26,628	0.63%		17.60	4.00%	4.55%	73	278	18.2%	21.3%		(1,071)		890
IO 30yr 4.5		4,261		761	0.02%		17.86	4.50%	4.99%	143	204	14.6%	18.6%		(22)		17
IO 30yr 5.0		2,367		427	0.01%		18.03	5.00%	5.36%	143	204	4.8%	18.5%		(15)		12
IO Total		1,058,377		173,979	4.12%		16.44	3.41%	3.99%	63	250	12.7%	15.9%		(4,474)		3,135
IIO 30yr 4.0		35,321		1,162	0.03%		3.29	3.40%	4.40%	57	294	0.6%	9.6%		217		(230)
Total Structured RMBS		1,093,698		175,141	4.15%		16.01	3.41%	4.00%	62	251	12.3%	15.7%		(4,257)		2,905
Total Mortgage Assets	$	5,270,573	$	4,218,209	100.00%			3.17%	3.70%	25	317	9.3%	10.0%	$	117,785	$	(126,238)
															Interest		Interest
		Average		Hedge											Rate		Rate
		Notional		Period											Sensitivity		Sensitivity
Hedge		Balance		End											(-50 BPS)(1)		(+50 BPS)(1)
5-Year Treasury Future(2)	$	(1,194,000)		Sep-2022										$	(27,336)	$	26,775
10-Year Treasury Ultra(3)		(270,000)		Sep-2022											(15,009)		14,116
TBA		(1,400,000)		Jul-2028											(38,357)		37,016
Swaps		(175,000)		Jul-2022											(5,868)		6,055
Swaptions		(777,800)		Mar-2023											(12,242)		11,918
Hedge Total	$	(3,816,800)												$	(98,812)	$	95,880
Rate Shock Grand Total														$	18,973	$	(30,358)

(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 $112.95 at May 31, 2022. The market value of the short position was $1,348.6 million.
(3)		Ten-year Treasury Ultra futures contracts were valued at prices of $128.48 at May 31, 2022. The market value of the short position was $346.9 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 May 31, 2022					As of May 31, 2022
Fannie Mae	$	2,850,250	70.5%		Non-Whole Pool Assets	$	239,763	5.9%
Freddie Mac		1,192,260	29.5%		Whole Pool Assets		3,802,747	94.1%
Total Mortgage Assets	$	4,042,510	100.0%		Total Mortgage Assets	$	4,042,510	100.0%

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of May 31, 2022		Borrowings		Debt		Rate	in Days	Maturity
J.P. Morgan Securities LLC	$	372,441		9.8%		0.71%	13	7/25/2022
ABN AMRO Bank N.V.		335,617		8.6%		0.84%	36	7/14/2022
Merrill Lynch, Pierce, Fenner & Smith		325,745		8.4%		0.95%	36	7/13/2022
Mitsubishi UFJ Securities (USA), Inc		314,666		8.1%		1.15%	32	7/28/2022
Mirae Asset Securities (USA) Inc.		295,186		7.6%		0.87%	77	11/18/2022
Cantor Fitzgerald & Co		256,377		6.6%		0.96%	38	8/23/2022
RBC Capital Markets, LLC		232,284		6.0%		0.89%	38	7/27/2022
ING Financial Markets LLC		206,841		5.3%		0.86%	3	6/3/2022
Goldman, Sachs & Co.		201,626		5.2%		1.10%	25	6/27/2022
ASL Capital Markets Inc.		186,177		4.8%		0.89%	17	6/21/2022
Santander Bank, N.A.		180,243		4.6%		0.97%	35	7/25/2022
Daiwa Capital Markets America Inc.		151,289		3.9%		0.73%	16	6/16/2022
ED&F Man Capital Markets Inc		151,112		3.9%		1.02%	50	7/25/2022
Wells Fargo Bank, N.A.		125,542		3.2%		0.81%	31	7/21/2022
Citigroup Global Markets Inc		121,265		3.1%		1.05%	37	7/18/2022
BMO Capital Markets Corp.		116,662		3.0%		1.17%	47	7/18/2022
Nomura Securities International, Inc.		88,988		2.3%		0.90%	17	6/17/2022
Austin Atlantic Asset Management Co.		86,789		2.2%		0.89%	1	6/1/2022
South Street Securities, LLC		60,672		1.6%		1.17%	48	7/18/2022
Lucid Cash Fund USG, LLC		44,112		1.1%		0.99%	9	6/9/2022
StoneX Financial Inc.		24,010		0.6%		0.89%	16	6/16/2022
Mizuho Securities USA, Inc		3,677		0.1%		1.29%	10	6/10/2022
Total Borrowings	$	3,881,321		100.0%		0.93%	32	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 June 2022 for ORC?

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

When will the dividend for June 2022 be paid to ORC shareholders?

The dividend will be paid on July 27, 2022.

What is the ex-dividend date for ORC's June 2022 dividend?

The ex-dividend date is June 29, 2022.

When will Orchid Island Capital announce its next dividend?

The next dividend announcement is expected on July 13, 2022.

What is the minimum distribution requirement for a REIT like ORC?

A REIT must distribute at least 90% of its taxable income annually to avoid income tax.