REIT Press Releases

ORC - Orchid Island Capital Announces Estimated Fourth Quarter 2021 Results, January 2022 Monthly Dividend and December 31, 2021 RMBS Portfolio Characteristics

Orchid Island Capital Announces Estimated Fourth Quarter 2021 Results, January 2022 Monthly Dividend and December 31, 2021 RMBS Portfolio Characteristics

01/13/2022
  • January 2022 Monthly Dividend of $0.055 Per Share of Common Stock
  • Estimated Book Value Per Share as of December 31, 2021 of $4.34
  • Estimated GAAP net loss of $0.27 per share for the quarter ended December 31, 2021, including an estimated $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated (4.9)% 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 December 31, 2021
  • Next Dividend Announcement Expected February 16, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)-- 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 January 2022. The dividend of $0.055 per share will be paid February 24, 2022 to holders of record of the Company’s common stock on January 31, 2022, with an ex-dividend date of January 28, 2022. The Company plans on announcing its next common stock dividend on February 16, 2022.

The Company has elected to reduce the monthly cash dividend in light of the rapid compression of the Company’s net interest margin that has occurred over the course of the fourth quarter. Additionally, recent comments from members of the Federal Open Market Committee indicate that the Federal Reserve may take actions to remove the substantial monetary policy accommodation that has been in place since the onset of the COVID-19 pandemic over the very near term. The Company’s net interest margin has also been impacted by the persistence of longer-term rates remaining at or below levels observed earlier in 2021. As a result, prepayment rates on the Company’s pass-through and interest-only securities remain elevated.

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 January 13, 2022 and December 31, 2021, the Company had 176,993,049 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.

Estimated December 31, 2021 Book Value Per Share

The Company’s estimated book value per share as of December 31, 2021 was $4.34. The Company computes book value per share by dividing total stockholders’ equity by the total number of outstanding shares of common stock. At December 31, 2021, the Company’s preliminary estimated total stockholders’ equity was approximately $768.1 million with 176,993,049 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 $0.27, which includes $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended December 31, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income 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 income. 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 December 31, 2021 was (4.9)%. 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 $(0.235) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.43 from September 30, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 2021 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 December 31, 2021, 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 and the effect of actual or proposed actions of the Federal Reserve and the Federal Open Market Committee with respect to monetary policy or interest rates, timing with respect thereto, and the related impact of those actual or proposed actions on the Company. 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, 2020.

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dec 2021

Oct - Dec

 

Modeled

 

Modeled

 

 

 

 

 

 

 

 

Net

 

 

Weighted

CPR

2021 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 Jan)

in Jan)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

214,031

 

$

223,724

3.44

%

$

104.53

2.50

%

2.87

%

12

163

7.9

%

9.9

%

$

3,536

 

$

(4,053

)

15yr 4.0

 

433

 

 

461

0.01

%

 

106.67

4.00

%

4.54

%

44

136

0.7

%

62.7

%

 

6

 

 

(7

)

15yr Total

 

214,464

 

 

224,185

3.44

%

 

104.53

2.50

%

2.88

%

13

163

7.8

%

10.0

%

 

3,542

 

 

(4,060

)

30yr 2.5

 

1,055,207

 

 

1,079,884

16.59

%

 

102.34

2.50

%

3.30

%

6

353

2.8

%

5.7

%

 

17,623

 

 

(25,647

)

30yr 3.0

 

4,347,161

 

 

4,600,632

70.66

%

 

105.83

3.00

%

3.48

%

9

350

7.8

%

8.8

%

 

81,570

 

 

(108,919

)

30yr 3.5

 

251,296

 

 

274,480

4.22

%

 

109.23

3.50

%

4.04

%

22

331

20.2

%

21.4

%

 

4,704

 

 

(5,769

)

30yr 4.0

 

110,070

 

 

119,006

1.83

%

 

108.12

4.00

%

4.75

%

27

331

19.1

%

17.6

%

 

1,162

 

 

(1,474

)

30yr Total

 

5,763,734

 

 

6,074,002

93.29

%

 

105.38

2.95

%

3.50

%

9

349

7.7

%

8.9

%

 

105,059

 

 

(141,809

)

Total Pass Through RMBS

 

5,978,198

 

 

6,298,187

96.73

%

 

105.35

2.93

%

3.47

%

9

342

7.7

%

9.0

%

 

108,601

 

 

(145,869

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

377,211

 

 

39,506

0.61

%

 

10.47

3.00

%

3.69

%

66

168

24.4

%

28.0

%

 

(3,555

)

 

2,517

 

IO 20yr 4.0

 

13,647

 

 

1,663

0.03

%

 

12.18

4.00

%

4.57

%

120

113

19.1

%

18.5

%

 

(29

)

 

18

 

IO 30yr 3.0

 

92,301

 

 

12,971

0.20

%

 

14.05

3.00

%

3.65

%

52

299

14.8

%

17.5

%

 

(1,241

)

 

915

 

IO 30yr 3.5

 

801,314

 

 

130,095

2.00

%

 

16.24

3.48

%

4.00

%

50

301

20.3

%

20.2

%

 

(13,333

)

 

10,094

 

IO 30yr 4.0

 

175,555

 

 

24,971

0.38

%

 

14.22

4.00

%

4.56

%

69

284

27.9

%

29.2

%

 

(2,227

)

 

2,226

 

IO 30yr 4.5

 

4,811

 

 

768

0.01

%

 

15.97

4.50

%

4.99

%

138

209

28.7

%

24.1

%

 

(68

)

 

58

 

IO 30yr 5.0

 

2,643

 

 

410

0.01

%

 

15.51

5.00

%

5.36

%

138

209

22.0

%

29.7

%

 

(29

)

 

27

 

IO Total

 

1,467,482

 

 

210,384

3.23

%

 

14.34

3.40

%

3.98

%

57

263

21.9

%

24.6

%

 

(20,482

)

 

15,855

 

IIO 30yr 4.0

 

44,505

 

 

2,524

0.04

%

 

5.67

3.75

%

4.41

%

51

300

32.3

%

24.9

%

 

(142

)

 

(97

)

Total Structured RMBS

 

1,511,987

 

 

212,908

3.27

%

 

14.08

3.41

%

3.99

%

57

264

22.3

%

24.6

%

 

(20,624

)

 

15,758

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

7,490,185

 

$

6,511,095

100.00

%

 

 

3.03

%

3.58

%

19

326

10.6

%

11.4

%

$

87,977

 

$

(130,111

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(369,000

)

 

Mar-2022

 

 

 

 

 

 

 

 

 

$

(8,602

)

$

13,379

 

10-Year Treasury Ultra(3)

 

(220,000

)

 

Mar-2022

 

 

 

 

 

 

 

 

 

 

(15,908

)

 

25,428

 

Swaps

 

(1,355,000

)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(34,700

)

 

34,700

 

TBA

 

(575,000

)

 

Jan-2022

 

 

 

 

 

 

 

 

 

 

(7,842

)

 

11,454

 

Swaptions

 

(327,000

)

 

Oct-2022

 

 

 

 

 

 

 

 

 

 

(8,686

)

 

14,124

 

Hedge Total

$

(2,846,000

)

 

 

 

 

 

 

 

 

 

 

 

$

(75,738

)

$

99,085

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

12,239

 

$

(31,026

)

 
(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 $120.98 at December 31, 2021. The market value of the short position was $446.4 million.

(3) Ten-year Treasury Ultra futures contracts were valued at prices of $146.44 at December 31, 2021. The market value of the short position was $322.2 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 December 31, 2021

 

 

 

 

As of December 31, 2021

 

 

 

Fannie Mae

$

4,719,349

72.5

%

 

Non-Whole Pool Assets

$

290,344

4.5

%

Freddie Mac

 

1,791,746

27.5

%

 

Whole Pool Assets

 

6,220,751

95.5

%

Total Mortgage Assets

$

6,511,095

100.0

%

 

Total Mortgage Assets

$

6,511,095

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of December 31, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

436,954

 

7.2

%

 

0.13

%

29

2/11/2022

Mirae Asset Securities (USA) Inc.

 

425,890

 

6.8

%

 

0.13

%

62

9/14/2022

J.P. Morgan Securities LLC

 

424,776

 

6.8

%

 

0.14

%

31

2/8/2022

RBC Capital Markets, LLC

 

416,185

 

6.7

%

 

0.14

%

15

1/28/2022

ABN AMRO Bank N.V.

 

407,945

 

6.5

%

 

0.13

%

44

3/14/2022

Merrill Lynch, Pierce, Fenner & Smith

 

388,303

 

6.2

%

 

0.16

%

15

1/28/2022

Cantor Fitzgerald & Co

 

348,968

 

5.6

%

 

0.12

%

29

3/21/2022

Mitsubishi UFJ Securities (USA), Inc

 

345,853

 

5.5

%

 

0.22

%

48

3/31/2022

Goldman, Sachs & Co.

 

339,026

 

5.4

%

 

0.18

%

21

1/28/2022

Citigroup Global Markets Inc

 

318,709

 

5.1

%

 

0.14

%

15

1/21/2022

ED&F Man Capital Markets Inc

 

301,941

 

4.8

%

 

0.11

%

22

2/17/2022

Santander Bank

 

299,670

 

4.8

%

 

0.14

%

17

1/25/2022

Nomura Securities International, Inc.

 

284,851

 

4.6

%

 

0.13

%

47

2/22/2022

ASL Capital Markets Inc.

 

281,879

 

4.5

%

 

0.14

%

17

1/20/2022

ING Financial Markets LLC

 

274,333

 

4.4

%

 

0.13

%

10

1/10/2022

Bank of Montreal

 

245,932

 

3.9

%

 

0.17

%

25

2/14/2022

Daiwa Capital Markets America Inc.

 

207,575

 

3.3

%

 

0.15

%

15

2/8/2022

South Street Securities, LLC

 

141,548

 

2.3

%

 

0.15

%

17

1/18/2022

Barclays Capital Inc

 

137,691

 

2.2

%

 

0.14

%

14

1/14/2022

Austin Atlantic Asset Management Co.

 

95,754

 

1.5

%

 

0.14

%

5

1/5/2022

Lucid Cash Fund USG, LLC

 

88,865

 

1.4

%

 

0.18

%

13

1/13/2022

StoneX Financial Inc.

 

27,869

 

0.4

%

 

0.13

%

18

1/18/2022

Mizuho Securities USA, Inc

 

3,589

 

0.1

%

 

0.56

%

12

1/12/2022

Total Borrowings

$

6,244,106

 

100.0

%

 

0.15

%

27

9/14/2022

 

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

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REIT Profile

Orchid Island Capital, Inc.
Symbol: ORC
CIK: 1518621
Exchange: NYSE
Founded: 2010 (12 years)
Type of REIT: Mortgage REIT
Listing Status: Public
Market Capitalization: Small-Cap
REIT Sector: Mortgage
Externally Managed REIT

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Overall Score: 4.6 | See trend

REITRating is REITNote's Real Estate Investment Trust industry-specific rating and ranking system. The overall score is out of ten points, with ten being the best score.

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Latest Price: $4.23
High: $4.29
Low: $4.16
Open: $4.29
Previous Close: $4.58
Volume: 14,396,789
52-Week High: $5.54
52-Week Low: $4.11

Last updated: 2022-01-14 12:57:03 PST

Last updated: 2022-01-16 - v0.8