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

• 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

 

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Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.