Orchid Island Capital Announces May 2022 Monthly Dividend and April 30, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital announced a monthly cash dividend of $0.045 per share for May 2022, payable on June 28, 2022, to shareholders on record as of May 31, 2022. The ex-dividend date is May 27, 2022. The company aims to maintain regular monthly distributions to meet its REIT obligations, which require it to distribute at least 90% of its taxable income annually. Additionally, the next dividend announcement is expected on June 14, 2022. As of May 11, 2022, the company had 177,117,186 shares outstanding.

Positive

• Monthly cash dividend of $0.045 per share supports shareholder income.
• Company intends to make regular monthly cash distributions.

Negative

• No assurance of future distribution payments can create uncertainty for investors.

• May 2022 Monthly Dividend of $0.045 Per Share of Common Stock
• RMBS Portfolio Characteristics as of April 30, 2022
• Next Dividend Announcement Expected June 14, 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 May 2022. The dividend of $0.045 per share will be paid June 28, 2022, to holders of record of the Company’s common stock on May 31, 2022, with an ex-dividend date of May 27, 2022. The Company plans on announcing its next common stock dividend on June 14, 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 May 11, 2022, April 30, 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 April 30, 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 and the expected funding of purchased assets. 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
																	Apr 2022		Feb - Apr				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 May)		in May)				(-50 BPS)(2)				(+50 BPS)(2)
Pass Through RMBS
15yr 2.5	$	422		$	434	0.01	%		$	102.82	4.00	%	4.54	%	48	132	0.8	%	0.7	%		$	7			$	(7	)
15yr TBA		200,000			196,498	4.64	%			98.25	3.19	%											3,908				(4,166	)
15yr Total		200,422			196,932	4.65	%			98.26	3.19	%	4.54	%	48	132	0.8	%	0.7	%			3,915				(4,173	)
30yr 3.0		3,529,349			3,354,573	79.22	%			95.05	3.00	%	3.47	%	13	345	7.5	%	6.8	%			100,185				(106,588	)
30yr 3.5		234,038			230,649	5.45	%			98.55	3.50	%	4.03	%	26	326	11.6	%	13.8	%			6,092				(6,424	)
30yr 4.0		272,605			272,381	6.43	%			99.92	4.00	%	1.70	%	12	117	23.0	%	29.4	%			5,896				(6,665	)
30yr Total		4,035,992			3,857,603	91.10	%			95.58	3.10	%	3.38	%	13	328	8.1	%	7.8	%			112,173				(119,677	)
Total Pass Through RMBS		4,236,414			4,054,535	95.76	%			95.71	3.10	%	3.38	%	13	328	8.1	%	7.8	%			116,088				(123,850	)
Structured RMBS
IO 20yr 3.0		342,464			40,793	0.96	%			11.91	3.00	%	3.69	%	70	164	15.8	%	17.9	%			(723	)			464
IO 20yr 4.0		12,492			1,525	0.04	%			12.20	4.00	%	4.57	%	124	109	17.1	%	15.9	%			(1	)			(1	)
IO 30yr 3.0		42,836			7,036	0.17	%			16.43	3.00	%	3.69	%	34	319	14.6	%	17.3	%			(286	)			220
IO 30yr 3.5		517,016			99,925	2.36	%			19.33	3.50	%	4.01	%	53	298	12.9	%	15.3	%			(2,914	)			2,133
IO 30yr 4.0		154,709			27,986	0.66	%			18.09	4.00	%	4.56	%	72	279	19.9	%	24.6	%			(1,165	)			1,026
IO 30yr 4.5		4,350			774	0.02	%			17.80	4.50	%	4.99	%	142	205	20.3	%	20.3	%			(23	)			19
IO 30yr 5.0		2,407			432	0.01	%			17.96	5.00	%	5.36	%	142	204	15.1	%	20.5	%			(15	)			12
IO Total		1,076,274			178,471	4.21	%			16.58	3.41	%	3.99	%	62	251	15.0	%	17.6	%			(5,127	)			3,873
IIO 30yr 4.0		36,690			1,261	0.03	%			3.44	3.53	%	4.41	%	56	296	21.5	%	29.9	%			205				(214	)
Total Structured RMBS		1,112,964			179,732	4.24	%			16.15	3.41	%	4.00	%	61	252	15.2	%	18.0	%			(4,922	)			3,659
Total Mortgage Assets	$	5,349,378		$	4,234,267	100.00	%				3.17	%	3.51	%	24	312	9.7	%	10.1	%		$	111,166			$	(120,191	)

														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								$	(31,130	)	$	31,251
10-Year Treasury Ultra(4)		(270,000	)		Jun-2022									(21,135	)		17,781
TBA		(250,000	)		Jun-2022									(7,735	)		8,208
Swaps		(1,400,000	)		Jul-2028									(38,102	)		36,748
Swaptions		(777,800	)		Mar-2023									(22,697	)		22,884
Hedge Total	$	(3,891,800	)										$	(120,799	)	$	116,872
Rate Shock Grand Total													$	(9,633	)	$	(3,319	)

(1)		Amounts in the tables above include assets with a fair value of approximately $174.5 million purchased in April 2022, which settle in May 2022, and exclude assets with a fair value of approximately $352.6 million sold in April 2022, which settle in May 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 $112.67 at April 30, 2022. The market value of the short position was $1,345.3 million.
(4)		Ten-year Treasury Ultra futures contracts were valued at prices of $129.00 at April 30, 2022. The market value of the short position was $348.3 million.

RMBS Assets by Agency							Investment Company Act of 1940 Whole Pool Test
($ in thousands)		(1)					($ in thousands)		(1)
				Percentage							Percentage
		Fair		of					Fair		of
Asset Category		Value		Portfolio			Asset Category		Value		Portfolio
As of April 30, 2022							As of April 30, 2022
Fannie Mae	$	2,847,347		70.5	%		Non-Whole Pool Assets	$	245,138		6.1	%
Freddie Mac		1,190,423		29.5	%		Whole Pool Assets		3,792,632		93.9	%
Total Mortgage Assets	$	4,037,770		100.0	%		Total Mortgage Assets	$	4,037,770		100.0	%

(1)		Amounts in the tables above include assets with a fair value of approximately $174.5 million purchased in April 2022, which settle in May 2022, and exclude assets with a fair value of approximately $352.6 million sold in April 2022, which settle in May 2022.

Borrowings By Counterparty
($ in thousands)
							Weighted		Weighted
				% of			Average		Average
		Total		Total			Repo		Maturity	Longest
As of April 30, 2022		Borrowings(1)		Debt			Rate		in Days	Maturity
J.P. Morgan Securities LLC	$	372,217		9.0	%		0.70	%	43	7/25/2022
ABN AMRO Bank N.V.		335,617		8.2	%		0.84	%	67	7/14/2022
Mitsubishi UFJ Securities (USA), Inc		317,646		7.7	%		0.84	%	41	7/28/2022
Merrill Lynch, Pierce, Fenner & Smith Inc.		309,881		7.5	%		0.84	%	56	7/13/2022
Cantor Fitzgerald & Co		304,373		7.4	%		0.61	%	32	6/17/2022
ED&F Man Capital Markets Inc		262,263		6.4	%		0.69	%	41	7/25/2022
Mirae Asset Securities (USA) Inc.		258,676		6.3	%		0.41	%	38	9/14/2022
RBC Capital Markets, LLC		233,102		5.7	%		0.86	%	65	7/14/2022
ING Financial Markets LLC		221,203		5.4	%		0.40	%	5	5/5/2022
Goldman, Sachs & Co.		199,411		4.9	%		0.77	%	24	5/25/2022
ASL Capital Markets Inc.		188,140		4.6	%		0.64	%	24	6/21/2022
Santander Bank, N.A.		179,576		4.4	%		0.82	%	51	7/25/2022
Citigroup Global Markets Inc		177,318		4.3	%		0.70	%	30	6/24/2022
Daiwa Capital Markets America Inc.		151,289		3.7	%		0.73	%	47	6/16/2022
Nomura Securities International, Inc.		133,438		3.2	%		0.61	%	18	5/18/2022
Wells Fargo Bank, N.A.		125,542		3.1	%		0.81	%	62	7/21/2022
BMO Capital Markets Corp.		119,125		2.9	%		0.64	%	18	5/20/2022
Austin Atlantic Asset Management Co.		84,200		2.0	%		0.39	%	4	5/4/2022
South Street Securities, LLC		61,524		1.5	%		0.60	%	18	5/18/2022
Lucid Cash Fund USG, LLC		44,673		1.1	%		0.63	%	12	5/12/2022
StoneX Financial Inc.		24,410		0.6	%		0.61	%	19	5/19/2022
Mizuho Securities USA, Inc		4,235		0.1	%		1.00	%	12	5/12/2022
Total Borrowings	$	4,107,859		100.0	%		0.70	%	39	9/14/2022

(1)

In April 2022, the Company purchased assets with a fair value of approximately $174.5 million, which settle in May 2022 that are expected to be funded substantially by repurchase agreements not included in the table above. In April 2022, the Company sold assets with a fair value of approximately $352.6 million, which settle in May 2022 that collateralize approximately $348.6 million of repurchase agreements included in the table above.

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20220511005981/en/

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount declared by Orchid Island Capital for May 2022?

Orchid Island Capital declared a dividend of $0.045 per share for May 2022.

When is the dividend payment date for Orchid Island Capital's May 2022 dividend?

The dividend payment date is June 28, 2022.

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

The ex-dividend date is May 27, 2022.

When is Orchid Island Capital expected to announce its next dividend?

The next dividend announcement is expected on June 14, 2022.

What percentage of income must Orchid Island Capital distribute to maintain REIT status?

The company must distribute at least 90% of its REIT taxable income annually.