ORCHID ISLAND CAPITAL ANNOUNCES
MARCH 2022 MONTHLY DIVIDEND, AND FEBRUARY 28, 2022 RMBS
PORTFOLIO CHARACTERISTICS
●
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., March 16, 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 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%
9.4%
8.0%
$
3,918
$
(4,164)
15yr 4.0
427
450
0.01%
105.22
4.00%
4.54%
0.7%
0.7%
6
(7)
15yr Total
209,656
213,253
4.04%
101.72
2.50%
2.88%
9.4%
8.0%
3,924
(4,171)
30yr 2.5
365,631
361,707
6.85%
98.93
2.50%
3.41%
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%
5.8%
7.1%
102,356
(116,946)
30yr 3.5
242,130
254,730
4.82%
105.20
3.50%
4.04%
13.5%
16.6%
5,663
(6,256)
30yr 4.0
104,795
111,046
2.10%
105.96
4.00%
4.75%
26.7%
24.6%
1,615
(1,995)
30yr Total
4,761,154
4,855,945
91.90%
101.99
3.01%
3.53%
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%
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%
17.1%
20.9%
(1,916)
1,301
IO 20yr 4.0
13,036
1,591
0.03%
12.20
4.00%
4.57%
13.5%
15.5%
(13)
7
IO 30yr 3.0
89,448
12,941
0.24%
14.47
3.00%
3.66%
14.2%
14.7%
(672)
508
IO 30yr 3.5
769,538
132,111
2.50%
17.17
3.48%
4.00%
16.6%
18.7%
(7,479)
5,609
IO 30yr 4.0
164,847
24,529
0.46%
14.88
4.00%
4.56%
28.2%
27.7%
(1,644)
1,523
IO 30yr 4.5
4,543
772
0.01%
16.99
4.50%
4.99%
20.0%
24.2%
(45)
40
IO 30yr 5.0
2,529
421
0.01%
16.63
5.00%
5.36%
11.5%
17.6%
(23)
23
IO Total
1,401,962
212,761
4.03%
15.18
3.40%
3.98%
17.9%
20.0%
(11,792)
9,011
IIO 30yr 4.0
41,270
2,014
0.04%
4.88
3.75%
4.40%
53.6%
35.0%
124
(230)
Total Structured RMBS
1,443,232
214,775
4.06%
14.88
3.41%
3.99%
18.9%
20.5%
(11,668)
8,781
Total Mortgage Assets
$
6,414,042
$
5,283,973
100.00%
3.08%
3.61%
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.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400