- April 2022 Monthly Dividend of $0.045 Per Share of Common
Stock
- Estimated Book Value Per Share as of March 31, 2022 of
$3.34
- Estimated GAAP net loss of $0.84 per share for the quarter
ended March 31, 2022, including an estimated $1.04 per share of net
realized and unrealized losses on RMBS and derivative
instruments
- Estimated (19.5)% total return on equity for the quarter
- Estimated book value, net income and total return on equity
amounts are preliminary, subject to change, and subject to review
by the Company’s independent registered public accounting firm
- RMBS Portfolio Characteristics as of March 31, 2022
- Next Dividend Announcement Expected May 11, 2022
Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC)
announced today that the Board of Directors (the “Board”) declared
a monthly cash dividend for the month of April 2022. The dividend
of $0.045 per share will be paid May 27, 2022 to holders of record
of the Company’s common stock on April 29, 2022, with an
ex-dividend date of April 28, 2022. The Company plans on announcing
its next common stock dividend on May 11, 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 April 13, 2022 and March 31, 2022, the Company had
177,117,186 shares of common stock outstanding. As of December 31,
2021, the Company had 176,993,049 shares of common stock
outstanding.
Estimated March 31, 2022 Book Value Per Share
The Company’s estimated book value per share as of March 31,
2022 was $3.34. The Company computes book value per share by
dividing total stockholders' equity by the total number of
outstanding shares of common stock. At March 31, 2022, the
Company's preliminary estimated total stockholders' equity was
approximately $592.4 million with 177,117,186 shares of common
stock outstanding. These figures and the resulting estimated book
value per share are preliminary, subject to change, and subject to
review by the Company’s independent registered public accounting
firm.
Estimated Net Loss Per Share and Realized and Unrealized
Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net loss per share of
$0.84, which includes $1.04 per share of net realized and
unrealized losses on RMBS and derivative instruments for the
quarter ended March 31, 2022. These amounts compare to total
dividends declared during the quarter of $0.155 per share. Net loss
per common share calculated under generally accepted accounting
principles can, and does, differ from our REIT taxable income. The
Company views REIT taxable income as a better indication of income
to be paid in the form of a dividend rather than net loss. Many
components of REIT taxable income can only be estimated at this
time and our monthly dividends declared are based on both estimates
of REIT taxable income to be earned over the course of the current
quarter and calendar year and a longer-term estimate of the REIT
taxable income of the Company. These figures are preliminary,
subject to change, and subject to review by the Company’s
independent registered public accounting firm.
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter
ended March 31, 2022 was (19.5)%. The Company calculates total
return on equity as the sum of dividends declared and paid during
the quarter plus changes in book value during the quarter, divided
by the Company’s stockholders’ equity at the beginning of the
quarter. The total return was $(0.845) per share, comprised of
dividends per share of $0.155 and a decrease in book value per
share of $1.00 from December 31, 2021.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of March 31, 2022 are presented
below. These figures are preliminary and subject to change and,
with respect to figures that will appear in the Company’s financial
statements and associated footnotes as of and for the quarter ended
March 31, 2022, are subject to review by the Company’s independent
registered public accounting firm.
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 (Whole Pool) Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that
invests on a leveraged basis in Agency RMBS. Our investment
strategy focuses on, and our portfolio consists of, two categories
of Agency RMBS: (i) traditional pass-through Agency RMBS, such as
mortgage pass-through certificates and collateralized mortgage
obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and
(ii) structured Agency RMBS. The Company is managed by Bimini
Advisors, LLC, a registered investment adviser with the Securities
and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within
the meaning of the Private Securities Litigation Reform Act of 1995
and other federal securities laws. These forward-looking statements
include, but are not limited to, statements about the Company’s
distributions. These forward-looking statements are based upon
Orchid Island Capital, Inc.’s present expectations, but these
statements are not guaranteed to occur. Investors should not place
undue reliance upon forward-looking statements. For further
discussion of the factors that could affect outcomes, please refer
to the “Risk Factors” section of the Company’s Annual Report on
Form 10-K for the fiscal year ended December 31, 2021.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Mar 2022
Jan - Mar
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 Apr)
in Apr)
(-50 BPS)(1)
(+50 BPS)(1)
Pass
Through RMBS
15yr 2.5
$
206,448
$
204,481
4.46%
$
99.05
2.50%
2.87%
15
159
13.3%
9.8%
$
3,967
$
(4,144)
15yr 4.0
425
441
0.01%
103.99
4.00%
4.54%
47
133
0.7%
0.7%
7
(7)
15yr Total
206,873
204,922
4.47%
99.06
2.50%
2.88%
16
159
13.3%
9.8%
3,974
(4,151)
30yr 2.5
145,559
139,140
3.04%
95.59
2.50%
3.31%
5
354
4.1%
2.9%
3,905
(4,375)
30yr 3.0
3,730,328
3,679,649
80.33%
98.64
3.00%
3.48%
11
346
7.0%
7.2%
98,820
(108,173)
30yr 3.5
238,175
243,620
5.32%
102.29
3.50%
4.04%
25
328
15.9%
15.0%
5,781
(6,215)
30yr 4.0
101,708
105,186
2.30%
103.42
4.00%
4.75%
30
327
37.0%
30.4%
1,858
(2,129)
30yr Total
4,215,770
4,167,595
90.98%
98.86
3.04%
3.53%
12
345
8.2%
8.0%
110,364
(120,892)
Total Pass Through RMBS
4,422,643
4,372,517
95.46%
98.87
3.01%
3.50%
13
336
8.4%
8.1%
114,338
(125,043)
Structured RMBS
IO 20yr 3.0
350,810
40,756
0.89%
11.62
3.00%
3.69%
69
165
20.7%
19.6%
(1,073)
806
IO 20yr 4.0
12,785
1,533
0.03%
11.99
4.00%
4.57%
123
110
17.0%
14.8%
(4)
2
IO 30yr 3.0
43,536
6,570
0.14%
15.09
3.00%
3.69%
33
320
15.8%
19.7%
(360)
312
IO 30yr 3.5
721,916
128,985
2.82%
17.87
3.50%
4.01%
54
297
17.4%
17.5%
(5,076)
4,348
IO 30yr 4.0
159,528
27,516
0.60%
17.25
4.00%
4.56%
71
280
25.2%
26.9%
(1,478)
1,393
IO 30yr 4.5
4,439
809
0.02%
18.23
4.50%
4.99%
141
206
20.8%
21.4%
(34)
30
IO 30yr 5.0
2,496
448
0.01%
17.95
5.00%
5.36%
141
206
33.1%
21.7%
(20)
19
IO Total
1,295,510
206,617
4.51%
15.95
3.42%
4.00%
61
257
19.3%
19.3%
(8,045)
6,910
IIO 30yr 4.0
37,143
1,460
0.03%
3.93
3.75%
4.40%
55
297
5.3%
27.3%
182
(205)
Total Structured RMBS
1,332,653
208,077
4.54%
15.61
3.43%
4.01%
60
258
18.9%
19.5%
(7,863)
6,705
Total Mortgage Assets
$
5,755,296
$
4,580,594
100.00%
3.11%
3.62%
24
318
10.8%
10.7%
$
106,475
$
(118,338)
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)
Jun-2022
$
(22,697)
$
40,728
10-Year Treasury Ultra(3)
(270,000)
Jun-2022
(19,854)
21,726
Swaps
(1,400,000)
Jul-2028
(39,846)
38,395
Swaptions
(777,800)
Mar-2023
(4,133)
3,479
Hedge Total
$
(3,641,800)
$
(86,530)
$
104,328
Rate Shock Grand Total
$
19,945
$
(14,010)
(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 $114.69 at March 31, 2022. The market value of
the short position was $1,369.4 million.
(3)
Ten year Treasury Ultra futures contracts
were valued at prices of $135.47 at March 31, 2022. The market
value of the short position was $365.8 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole
Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
Portfolio
Asset Category
Value
Portfolio
As of March 31, 2022
As of March 31, 2022
Fannie Mae
$
3,016,954
65.9%
Non-Whole Pool Assets
$
277,250
6.1%
Freddie Mac
1,563,640
34.1%
Whole Pool Assets
4,303,344
93.9%
Total Mortgage Assets
$
4,580,594
100.0%
Total Mortgage Assets
$
4,580,594
100.0%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of March 31, 2022
Borrowings
Debt
Rate
in Days
Maturity
J.P. Morgan Securities LLC
$
390,917
8.6%
0.35%
12
4/25/2022
Merrill Lynch, Pierce, Fenner & Smith
Incorporated
376,951
8.4%
0.29%
15
4/26/2022
ABN AMRO Bank N.V.
357,326
8.0%
0.33%
12
4/14/2022
Mitsubishi UFJ Securities (USA), Inc
326,430
7.3%
0.51%
35
5/31/2022
Cantor Fitzgerald & Co., Inc.
315,791
7.1%
0.38%
27
5/13/2022
ED&F Man Capital Markets Inc.
282,992
6.3%
0.27%
17
4/25/2022
Mirae Asset Securities (USA) Inc.
263,899
5.9%
0.32%
58
9/14/2022
RBC Capital Markets, LLC
247,015
5.5%
0.37%
17
4/29/2022
Goldman, Sachs & Co. LLC
238,179
5.3%
0.44%
24
4/25/2022
ING Financial Markets LLC
221,203
5.0%
0.40%
35
5/5/2022
ASL Capital Markets Inc.
199,024
4.5%
0.38%
18
4/22/2022
Santander Bank, N.A.
189,837
4.3%
0.38%
21
4/25/2022
Citigroup Global Markets Inc.
182,158
4.1%
0.39%
20
4/25/2022
Nomura Securities International, Inc.
176,167
3.9%
0.38%
17
4/18/2022
Daiwa Capital Markets America Inc.
173,083
3.9%
0.39%
18
4/18/2022
Wells Fargo Bank, N.A.
132,026
3.0%
0.35%
14
4/21/2022
BMO Capital Markets Corp.
124,021
2.8%
0.42%
18
4/20/2022
Austin Atlantic Asset Management Co.
87,245
2.0%
0.39%
6
4/6/2022
Lucid Cash Fund USG, LLC
82,630
1.9%
0.42%
14
4/14/2022
South Street Securities LLC
65,571
1.5%
0.37%
18
4/18/2022
StoneX Financial Inc.
27,648
0.6%
0.19%
19
4/19/2022
Mizuho Securities USA, Inc
3,996
0.1%
0.90%
12
4/12/2022
Total Borrowings
$
4,464,109
100.0%
0.37%
22
9/14/2022
View source
version on businesswire.com: https://www.businesswire.com/news/home/20220413005756/en/
Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772)
231-1400
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
Von Feb 2024 bis Mär 2024
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
Von Mär 2023 bis Mär 2024