- 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
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
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
From Aug 2024 to Sep 2024
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
From Sep 2023 to Sep 2024