Orchid Island Capital Announces September 2022 Monthly Dividend and August 31, 2022 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) declared a monthly cash dividend of $0.16 per share for September 2022, payable on October 27, 2022, to shareholders of record as of September 30, 2022. The ex-dividend date is set for September 29, 2022. The Company plans to announce its next dividend on October 12, 2022. As a REIT, Orchid is required to distribute at least 90% of its taxable income to avoid income tax on undistributed earnings. As of September 12, 2022, the Company had 35,075,239 shares of common stock outstanding.

Positive

• Declared a cash dividend of $0.16 per share for September 2022.
• Next dividend announcement expected on October 12, 2022.
• Compliance with REIT distribution requirements demonstrates operational stability.

Negative

• No minimum distribution payment level established, raising concerns over future payments.
• Company is subject to income tax on undistributed earnings, which can impact cash reserves.

• September 2022 Monthly Dividend of $0.16 Per Share of Common Stock
• RMBS Portfolio Characteristics as of August 31, 2022
• Next Dividend Announcement Expected October 12, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of September 2022. The dividend of $0.16 per share will be paid October 27, 2022 to holders of record of the Company’s common stock on September 30, 2022, with an ex-dividend date of September 29, 2022. The Company plans on announcing its next common stock dividend on October 12, 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 September 12, 2022, the Company had 35,075,239 shares of common stock outstanding. As of August 31, 2022 and June 30, 2022, the Company had 35,250,239 shares of common stock outstanding, adjusted for the Company’s one-for-five reverse stock split effective August 30, 2022.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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 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
														Aug 2022	Jun - Aug		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 Sep)	in Sep)		(-50 BPS)(2)			(+50 BPS)(2)
Pass Through RMBS
15yr 4.0	$	411		$	413	0.01	%	$	100.46	4.00%	4.54%	52	127	0.7%	0.8%	$	7		$	(7	)
15yr Total		411			413	0.01	%		100.46	4.00%	4.54%	52	127	0.7%	0.8%		7			(7	)
30yr 3.0		3,417,993			3,188,340	74.66	%		93.28	3.00%	3.46%	17	340	6.3%	6.5%		101,295			(105,745	)
30yr 3.5		221,920			215,654	5.05	%		97.18	3.50%	4.03%	30	321	10.1%	11.4%		6,018			(6,250	)
30yr 4.0		279,622			274,982	6.44	%		98.34	4.00%	4.72%	14	345	6.6%	7.3%		6,174			(6,922	)
30yr 4.5		371,742			370,995	8.69	%		99.80	4.50%	5.45%	2	359	n/a	n/a		5,623			(6,897	)
30yr 5.0		55,453			56,119	1.31	%		101.20	5.00%	5.92%	2	359	12.0%	n/a		678			(852	)
30yr Total		4,346,730			4,106,090	96.15	%		94.46	3.24%	3.77%	16	341	6.6%	6.8%		119,788			(126,666	)
Total Pass Through RMBS		4,347,141			4,106,503	96.16	%		94.46	3.24%	3.77%	16	341	6.6%	6.8%		119,795			(126,673	)
Structured RMBS
IO 20yr 3.0		321,009			37,756	0.88	%		11.76	3.00%	3.69%	74	159	10.0%	10.9%		(331	)		153
IO 20yr 4.0		11,540			1,373	0.03	%		11.90	4.00%	4.57%	128	105	13.3%	12.3%		1			(4	)
IO 30yr 3.0		40,417			6,292	0.15	%		15.57	3.00%	3.69%	38	315	13.3%	14.5%		(173	)		135
IO 30yr 3.5		491,842			91,966	2.15	%		18.70	3.50%	4.01%	57	294	10.4%	11.0%		(1,736	)		1,154
IO 30yr 4.0		143,093			24,875	0.58	%		17.38	4.00%	4.55%	76	275	12.3%	14.7%		(837	)		668
IO 30yr 4.5		4,105			725	0.02	%		17.66	4.50%	4.99%	146	201	11.6%	10.6%		(18	)		14
IO 30yr 5.0		2,253			445	0.01	%		19.73	5.00%	5.36%	146	201	2.4%	14.1%		(14	)		11
IO Total		1,014,259			163,432	3.83	%		16.11	3.41%	3.99%	65	246	10.7%	11.7%		(3,108	)		2,131
IIO 30yr 4.0		34,042			736	0.02	%		2.16	1.92%	4.40%	60	290	23.4%	12.8%		181			(159	)
Total Structured RMBS		1,048,301			164,168	3.84	%		15.66	3.36%	4.00%	65	248	11.1%	11.7%		(2,927	)		1,972
Total Mortgage Assets	$	5,395,442		$	4,270,671	100.00	%			3.27%	3.82%	25	323	7.6%	7.8%	$	116,868		$	(124,701	)
																	Interest			Interest
		Average			Hedge												Rate			Rate
		Notional			Period												Sensitivity			Sensitivity
Hedge		Balance			End												(-50 BPS)(2)			(+50 BPS)(2)
5-Year Treasury Future(3)	$	(1,200,500	)		Dec-2022											$	(27,346	)	$	31,640
10-Year Treasury Ultra(4)		(274,500	)		Dec-2022												(16,897	)		17,978
Swaps		(1,400,000	)		Jul-2028												(35,518	)		34,325
TBA		(175,000	)		Oct-2022												(5,361	)		5,550
Swaptions		(826,900	)		Jul-2025												(14,138	)		11,159
Hedge Total	$	(3,876,900	)													$	(99,260	)	$	100,652
Rate Shock Grand Total																$	17,608		$	(24,049	)

(1)		Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 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 $110.82 at August 31, 2022. The market value of the short position was $1,330.4 million.
(4)		Ten-year Treasury Ultra futures contracts were valued at prices of $125.19 at August 31, 2022. The market value of the short position was $343.6 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 August 31, 2022						As of August 31, 2022
Fannie Mae	$	2,866,484	67.1	%		Non-Whole Pool Assets	$	259,030	6.1	%
Freddie Mac		1,404,186	32.9	%		Whole Pool Assets		4,011,640	93.9	%
Total Mortgage Assets	$	4,270,670	100.0	%		Total Mortgage Assets	$	4,270,670	100.0	%

(1)

Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 2022.

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of August 31, 2022		Borrowings(1)		Debt		Rate	in Days	Maturity
J.P. Morgan Securities LLC	$	350,323		9.3%		2.41%	13	9/26/2022
Mirae Asset Securities (USA) Inc.		347,836		9.3%		2.06%	43	1/30/2023
Mitsubishi UFJ Securities (USA), Inc		328,481		8.8%		2.71%	36	11/8/2022
ABN AMRO Bank N.V.		321,115		8.6%		2.62%	57	11/15/2022
Merrill Lynch, Pierce, Fenner & Smith		313,086		8.4%		2.50%	24	10/21/2022
Cantor Fitzgerald & Co		244,711		6.5%		2.55%	38	11/16/2022
ED&F Man Capital Markets Inc		232,222		6.2%		2.36%	21	9/22/2022
RBC Capital Markets, LLC		224,605		6.0%		2.38%	6	9/14/2022
ING Financial Markets LLC		199,799		5.3%		2.38%	22	9/22/2022
Daiwa Capital Markets America Inc.		179,821		4.8%		2.36%	17	9/22/2022
Santander Bank, N.A.		171,740		4.6%		2.51%	28	9/29/2022
Goldman, Sachs & Co.		157,918		4.2%		2.51%	27	9/29/2022
ASL Capital Markets Inc.		136,326		3.6%		2.38%	16	9/16/2022
Wells Fargo Bank, N.A.		119,485		3.2%		2.48%	37	11/10/2022
Citigroup Global Markets Inc		115,187		3.1%		2.53%	39	10/24/2022
BMO Capital Markets Corp.		109,982		2.9%		2.44%	25	11/18/2022
StoneX Financial Inc.		77,380		2.1%		2.39%	22	9/22/2022
South Street Securities, LLC		59,791		1.6%		2.39%	19	9/19/2022
Nomura Securities International, Inc.		35,099		0.9%		2.38%	21	9/21/2022
Lucid Cash Fund USG, LLC		23,506		0.6%		2.38%	8	9/8/2022
Total Borrowings	$	3,748,413		100.0%		2.44%	29	1/30/2023

(1)

In August 2022, the Company purchased assets with a fair value of approximately $371.0 million, which settle in September 2022 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

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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 Orchid Island Capital in September 2022?

The dividend amount for September 2022 is $0.16 per share.

When will the next dividend for ORC be announced?

The next dividend announcement for ORC is expected on October 12, 2022.

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

The ex-dividend date for the September 2022 dividend is September 29, 2022.

How many shares of common stock does Orchid Island Capital have outstanding?

As of September 12, 2022, Orchid Island Capital has 35,075,239 shares of common stock outstanding.

What are the REIT distribution requirements for Orchid Island Capital?

Orchid Island Capital must distribute at least 90% of its taxable income to its shareholders annually.