Orchid Island Capital Announces March 2022 Monthly Dividend, and February 28, 2022 Rmbs Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) declared a monthly cash dividend of $0.045 per share for March 2022, payable on April 27, 2022, to shareholders on record by March 31, 2022. The ex-dividend date is set for March 30, 2022. As a REIT, the Company must distribute at least 90% of its taxable income annually to avoid taxation on undistributed income. The next dividend announcement is expected on April 13, 2022.

Positive

• Declaring a consistent monthly dividend of $0.045 per share, signaling confidence in cash flow.
• Commitment to regular monthly cash distributions to stockholders.

Negative

• Lack of assurance for future dividend payments, indicating potential cash reserve concerns.
• No established minimum distribution payment level may affect shareholder expectations.

• March 2022 Monthly Dividend of $0.045 Per Share of Common Stock
• RMBS Portfolio Characteristics as of February 28, 2022
• Next Dividend Announcement Expected April 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 March 2022. The dividend of $0.045 per share will be paid April 27, 2022, to holders of record of the Company’s common stock on March 31, 2022, with an ex-dividend date of March 30, 2022. The Company plans on announcing its next common stock dividend on April 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 March 16, 2022, February 28, 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 February 28, 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
																					Feb 2022		Dec - Feb			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(1)		Portfolio			Price		Coupon		GWAC		Age		(Months)		in Mar)		in Mar)			(-50 BPS)(2)			(+50 BPS)(2)
Pass Through RMBS
15yr 2.5		$	209,229		$	212,803		4.03%		$	101.71		2.50%		2.87%		14		160		9.4%		8.0%	$		3,918	$		(4,164)
15yr 4.0			427			450		0.01%			105.22		4.00%		4.54%		46		134		0.7%		0.7%			6			(7)
15yr Total			209,656			213,253		4.04%			101.72		2.50%		2.88%		15		160		9.4%		8.0%			3,924			(4,171)
30yr 2.5			365,631			361,707		6.85%			98.93		2.50%		3.41%		11		345		9.1%		5.3%			8,933			(10,567)
30yr 3.0			4,048,598			4,128,462		78.13%			101.97		3.00%		3.48%		11		347		5.8%		7.1%			102,356			(116,946)
30yr 3.5			242,130			254,730		4.82%			105.20		3.50%		4.04%		24		328		13.5%		16.6%			5,663			(6,256)
30yr 4.0			104,795			111,046		2.10%			105.96		4.00%		4.75%		29		329		26.7%		24.6%			1,615			(1,995)
30yr Total			4,761,154			4,855,945		91.90%			101.99		3.01%		3.53%		12		346		6.9%		7.8%			118,567			(135,764)
Total Pass Through RMBS			4,970,810			5,069,198		95.94%			101.98		2.99%		3.50%		12		338		7.0%		7.8%			122,491			(139,935)
Structured RMBS
IO 20yr 3.0			358,021			40,396		0.76%			11.28		3.00%		3.69%		68		166		17.1%		20.9%			(1,916)			1,301
IO 20yr 4.0			13,036			1,591		0.03%			12.20		4.00%		4.57%		122		111		13.5%		15.5%			(13)			7
IO 30yr 3.0			89,448			12,941		0.24%			14.47		3.00%		3.66%		54		298		14.2%		14.7%			(672)			508
IO 30yr 3.5			769,538			132,111		2.50%			17.17		3.48%		4.00%		52		299		16.6%		18.7%			(7,479)			5,609
IO 30yr 4.0			164,847			24,529		0.46%			14.88		4.00%		4.56%		70		282		28.2%		27.7%			(1,644)			1,523
IO 30yr 4.5			4,543			772		0.01%			16.99		4.50%		4.99%		140		207		20.0%		24.2%			(45)			40
IO 30yr 5.0			2,529			421		0.01%			16.63		5.00%		5.36%		140		207		11.5%		17.6%			(23)			23
IO Total			1,401,962			212,761		4.03%			15.18		3.40%		3.98%		59		261		17.9%		20.0%			(11,792)			9,011
IIO 30yr 4.0			41,270			2,014		0.04%			4.88		3.75%		4.40%		53		298		53.6%		35.0%			124			(230)
Total Structured RMBS			1,443,232			214,775		4.06%			14.88		3.41%		3.99%		59		262		18.9%		20.5%			(11,668)			8,781
Total Mortgage Assets		$	6,414,042		$	5,283,973		100.00%					3.08%		3.61%		22		321		9.7%		10.7%	$		110,823	$		(131,154)
																										Interest			Interest
			Average			Hedge																				Rate			Rate
			Notional			Period																				Sensitivity			Sensitivity
Hedge			Balance			End																				(-50 BPS)(2)			(+50 BPS)(2)
5-Year Treasury Future(3)		$	(1,194,000)			Jun-2022																		$		(35,702)	$		32,030
10-Year Treasury Ultra(4)			(270,000)			Jun-2022																				(29,703)			17,843
TBA			(500,000)			Mar-2022																				(10,132)			12,200
Swaps			(1,400,000)			Jul-2028																				(42,437)			42,437
Swaptions			(868,700)			Apr-2023																				(12,885)			20,334
Hedge Total		$	(4,232,700)																					$		(130,859)	$		124,844
Rate Shock Grand Total																								$		(20,036)	$		(6,310)

(1)		Amounts in the tables above exclude assets with a fair value of approximately $335.2 million sold in February 2022, which settle in March 2022.
(2)		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.
(3)		Five-year Treasury futures contracts were valued at prices of $118.28 at February 28, 2022. The market value of the short position was $1,412.3 million.
(4)		Ten-year Treasury Ultra futures contracts were valued at prices of $141.33 at February 28, 2022. The market value of the short position was $381.6 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(1)		Portfolio						Asset Category			Value(1)		Portfolio
As of February 28, 2022										As of February 28, 2022
Fannie Mae	$	3,579,700		67.7%						Non-Whole Pool Assets		$	287,136		5.4%
Freddie Mac		1,704,273		32.3%						Whole Pool Assets			4,996,837		94.6%
Total Mortgage Assets	$	5,283,973		100.0%						Total Mortgage Assets		$	5,283,973		100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $335.2 million sold in February 2022, which settle in March 2022.

Borrowings By Counterparty
($ in thousands)
						Weighted		Weighted
				% of		Average		Average
		Total		Total		Repo		Maturity		Longest
As of February 28, 2022		Borrowings(1)		Debt		Rate		in Days		Maturity
ABN AMRO Bank N.V.	$	412,908		7.6%		0.14%		18		4/12/2022
J.P. Morgan Securities LLC		399,470		7.4%		0.15%		13		4/25/2022
Merrill Lynch, Pierce, Fenner & Smith Incorporated		379,052		7.0%		0.23%		37		4/13/2022
RBC Capital Markets, LLC		367,437		6.8%		0.16%		18		4/29/2022
Mirae Asset Securities (USA) Inc.		358,959		6.6%		0.18%		42		9/14/2022
Wells Fargo Bank, N.A.		337,707		6.3%		0.13%		13		3/21/2022
Mitsubishi UFJ Securities (USA), Inc		337,363		6.2%		0.30%		36		4/29/2022
Cantor Fitzgerald & Co., Inc.		334,806		6.2%		0.15%		18		4/25/2022
ED&F Man Capital Markets Inc		286,077		5.3%		0.18%		35		4/14/2022
Santander Bank, N.A.		283,297		5.2%		0.21%		30		4/25/2022
Goldman, Sachs & Co. LLC		260,082		4.8%		0.39%		48		4/25/2022
ING Financial Markets LLC		256,403		4.7%		0.13%		17		3/17/2022
Citigroup Global Markets Inc.		225,487		4.2%		0.21%		29		4/25/2022
Nomura Securities International, Inc.		222,175		4.1%		0.13%		16		3/17/2022
ASL Capital Markets Inc.		219,094		4.1%		0.17%		23		4/22/2022
Daiwa Capital Markets America Inc.		197,371		3.7%		0.14%		17		3/17/2022
BMO Capital Markets Corp.		189,048		3.5%		0.19%		17		3/21/2022
Austin Atlantic Asset Management Co.		90,178		1.7%		0.14%		2		3/2/2022
South Street Securities LLC		87,114		1.6%		0.31%		39		4/18/2022
Lucid Cash Fund USG, LLC		85,252		1.6%		0.19%		10		3/10/2022
Barclays Capital Inc		42,074		0.8%		0.19%		14		3/14/2022
StoneX Financial Inc.		27,648		0.5%		0.19%		50		4/19/2022
Mizuho Securities USA, Inc		3,671		0.1%		0.57%		11		3/11/2022
Total Borrowings	$	5,402,673		100.0%		0.19%		25		9/14/2022

(1) In February 2022, the Company sold assets with a fair value of approximately $335.2 million, which settle in March 2022 that collateralize approximately $323.1 million of repurchase agreements included in the table above.

View source version on businesswire.com: https://www.businesswire.com/news/home/20220316005940/en/

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the March 2022 dividend amount for ORC?

The March 2022 dividend amount for Orchid Island Capital is $0.045 per share.

When will the March dividend for ORC be paid?

The March dividend for ORC will be paid on April 27, 2022.

What is the ex-dividend date for the March dividend of ORC?

The ex-dividend date for the March dividend of ORC is March 30, 2022.

What are the requirements for ORC to maintain its REIT status?

To maintain its REIT status, ORC must distribute at least 90% of its taxable income annually.

When is the next dividend announcement for ORC?

The next dividend announcement for ORC is expected on April 13, 2022.