CORRECT and REPLACE Orchid Island Capital Announces June 2022 Monthly Dividend and RMBS Portfolio Features as of May 31, 2022

  • June 2022 monthly dividend of $0.045 per common share

  • Characteristics of the RMBS portfolio as of May 31, 2022

  • Next dividend announcement scheduled for July 13, 2022

VERO BEACH, Florida, June 15, 2022–(BUSINESS WIRE)–The table describing the Company’s hedges in the release issued June 14, 2022, incorrectly labeled the Company’s interest rate swaps “TBA” and incorrectly labeled the “to be announced” securities of the Society ”Exchanges.”

The updated version reads as follows:

Orchid Island Capital Announces June 2022 Monthly Dividend and RMBS Portfolio Characteristics as of May 31, 2022

  • June 2022 monthly dividend of $0.045 per common share

  • Characteristics of the RMBS portfolio as of May 31, 2022

  • Next dividend announcement scheduled for July 13, 2022

Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) today announced that the Company’s Board of Directors (the “Board”) has declared a monthly cash dividend for the month of June 2022 The dividend of $0.045 per share will be paid on July 27, 2022 to registered holders of common stock of the Company on June 30, 2022, with an ex-dividend date of June 29, 2022. The Company expects to announce its next dividend in common shares on July 13, 2022.

The Company intends to pay regular monthly cash distributions to its common stockholders. In order to qualify as a real estate investment trust (“REIT”), the Company must annually distribute to its shareholders an amount at least equal to 90% of its taxable REIT income, determined without taking into account the deduction for dividends paid. and excluding any net capital gain. The Company will be subject to income tax on taxable income which is not distributed and to excise tax to the extent that a certain percentage of its taxable income is not distributed on specified dates. The Company has not established a minimum level of distribution payment and is not assured of its ability to make distributions to shareholders in the future.

As of June 14, 2022, May 31, 2022 and March 31, 2022, the Company had 177,117,186 common shares outstanding.

RMBS Wallet Features

Details of the RMBS portfolio as of May 31, 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 on information the Company believes to be accurate:

  • Valuation characteristics of RMBS

  • RMBS Assets by Branch

  • Investment Companies Act 1940 test results (entire pool)

  • Exposure to repurchase agreements

  • RMBS risk measures

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests leveraged in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of agency RMBS: (i) traditional agency pass-through RMBS, such as mortgage pass-through certificates and mortgage bonds guarantees issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) a structured agency RMBS. The Company is managed by Bimini Advisors, LLC, an investment adviser registered 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 on the current expectations of Orchid Island Capital, Inc., but these statements are not guaranteed to occur. Investors should not place undue reliance on forward-looking statements. For additional information on factors that could affect results, please see the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.

Valuation characteristics of RMBS

(in thousands of dollars)

Realized

Realized

May 2022

March – May

Modeled

Modeled

Report

Weighted

CPR

CPR 2022

Interest

Interest

%

Weighted

Medium

(1 month)

(3 months)

Assess

Assess

Running

Fair

of

Running

Medium

Maturity

(Reported

(Reported

Sensitivity

Sensitivity

Type

Face

Assess

Wallet

Price

Coupon

GWAC

Age

(Month)

in June)

in June)

(-50 basis points)(1)

(+50 basis points)(1)

Getting through RMBS

15 years 4.0

$

419

$

432

0.01%

$

103.01

4.00%

4.54%

49

131

0.8%

0.8%

$

seven

$

(seven)

15 years to be determined

175,000

175,697

4.17%

100.40

3.50%

2,950

(3,310)

Total 15 years

175,419

176 129

4.18%

100.40

3.50%

4.54%

49

131

0.8%

0.8%

2,957

(3,317)

30 years 3.0

3,500 185

3,363,833

79.75%

96.10

3.00%

3.47%

14

344

8.1%

7.5%

106,826

(112,329)

30 years 3.5

230,994

230,669

5.47%

99.86

3.50%

4.03%

27

325

14.2%

14.1%

6,331

(6,645)

30 years 4.0

270 277

272,437

6.46%

100.80

4.00%

4.71%

12

347

7.8%

26.8%

5,928

(6,852)

Total 30 years

4,001,456

3,866,939

91.67%

96.64

3.10%

3.58%

14

343

8.5%

8.4%

119,085

(125,826)

Total pass through RMBS

4,176,875

4,043,068

95.85%

96.80

3.11%

3.62%

16

334

8.5%

8.4%

122,042

(129,143)

Structured RMBS

OI 20 years 3.0

335,999

40 141

0.95%

11.95

3.00%

3.69%

71

162

12.3%

16.4%

(595)

299

OI 20 years 4.0

12,205

1,485

0.04%

12.17

4.00%

4.57%

125

108

13.8%

16.0%

(2)

OI 30 years 3.0

42,190

6,859

0.16%

16.26

3.00%

3.69%

35

318

10.4%

13.7%

(249)

181

RO 30 years 3.5

510,044

97,678

2.32%

19.15

3.50%

4.01%

54

297

11.5%

14.1%

(2,522)

1,738

OI 30 years 4.0

151,311

26,628

0.63%

5:60 p.m.

4.00%

4.55%

73

278

18.2%

21.3%

(1,071)

890

OI 30 years 4.5

4,261

761

0.02%

17.86

4.50%

4.99%

143

204

14.6%

18.6%

(22)

17

OI 30 years 5.0

2,367

427

0.01%

18.03

5.00%

5.36%

143

204

4.8%

18.5%

(15)

12

Total ES

1,058,377

173,979

4.12%

4:44 p.m.

3.41%

3.99%

63

250

12.7%

15.9%

(4,474)

3,135

IOI 30 years 4.0

35,321

1,162

0.03%

3.29

3.40%

4.40%

57

294

0.6%

9.6%

217

(230)

Total structured RMBS

1,093,698

175 141

4.15%

16.01

3.41%

4.00%

62

251

12.3%

15.7%

(4,257)

2,905

Total mortgage assets

$

5,270,573

$

4,218,209

100.00%

3.17%

3.70%

25

317

9.3%

10.0%

$

117,785

$

(126,238)

Interest

Interest

Medium

Hedge

Assess

Assess

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 basis points)(1)

(+50 basis points)(1)

5-year Treasury future(2)

$

(1,194,000)

September-2022

$

(27,336)

$

26,775

Ultra 10-Year Cash(3)

(270,000)

September-2022

(15,009)

14,116

Trades

(1,400,000)

Jul-2028

(38,357)

37,016

To be determined

(175,000)

Jul-2022

(5,868)

6,055

Trades

(777,800)

March-2023

(12,242)

11,918

Total coverage

$

(3,816,800)

$

(98,812)

$

95,880

General total of interest rate shocks

$

18,973

$

(30,358)

(1)

Results modeled from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel moves and horizon prices are calculated assuming constant spreads adjusted for LIBOR options. These results are for illustrative purposes only and actual results may differ materially.

(2)

The five-year Treasury futures were valued at prices of $112.95 as of May 31, 2022. The market value of the short position was $1,348.6 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $128.48 as of May 31, 2022. The market value of the short position was $346.9 million.

RMBS Assets by Branch

Investment Companies Act of 1940 Testing the Whole Pool

(in thousands of dollars)

(in thousands of dollars)

Percentage

Percentage

Fair

of

Fair

of

Asset class

Assess

Wallet

Asset class

Assess

Wallet

As of May 31, 2022

As of May 31, 2022

Fannie Mae

$

2,850,250

70.5%

Non-global pool assets

$

239,763

5.9%

Freddie Mac

1,192,260

29.5%

Entire Pool Assets

3,802,747

94.1%

Total mortgage assets

$

4,042,510

100.0%

Total mortgage assets

$

4,042,510

100.0%

Borrowings by counterparty

(in thousands of dollars)

Weighted

Weighted

% of

Medium

Medium

Total

Total

repos

Maturity

The longest

As of May 31, 2022

Loans

Debt

Assess

in days

Maturity

JP Morgan Securities LLC

$

372 441

9.8%

0.71%

13

07/25/2022

ABN AMRO Bank SA

335,617

8.6%

0.84%

36

07/14/2022

Merrill Lynch, Pierce, Fenner and Smith

325,745

8.4%

0.95%

36

07/13/2022

Mitsubishi UFJ Securities (USA), Inc.

314,666

8.1%

1.15%

32

07/28/2022

Mirae Asset Securities (USA) Inc.

295 186

7.6%

0.87%

77

11/18/2022

Cantor Fitzgerald & Co

256 377

6.6%

0.96%

38

08/23/2022

RBC Capital Markets, LLC

232 284

6.0%

0.89%

38

07/27/2022

ING Financial Markets LLC

206,841

5.3%

0.86%

3

06/03/2022

Goldman, Sachs & Co.

201,626

5.2%

1.10%

25

06/27/2022

ASL Capital Markets Inc.

186 177

4.8%

0.89%

17

06/21/2022

Santander Bank, North America

180 243

4.6%

0.97%

35

07/25/2022

Daiwa Capital Markets America Inc.

151,289

3.9%

0.73%

16

06/16/2022

ED&F Man Capital Markets Inc.

151 112

3.9%

1.02%

50

07/25/2022

Wells Fargo Bank, North America

125,542

3.2%

0.81%

31

07/21/2022

Citigroup Global Markets Inc.

121,265

3.1%

1.05%

37

07/18/2022

BMO Capital Markets Corp.

116,662

3.0%

1.17%

47

07/18/2022

Nomura Securities International, Inc.

88,988

2.3%

0.90%

17

06/17/2022

Austin Atlantic Asset Management Co.

86,789

2.2%

0.89%

1

06/01/2022

South Street Securities, LLC

60,672

1.6%

1.17%

48

07/18/2022

Lucid Cash Fund USG, LLC

44 112

1.1%

0.99%

9

06/09/2022

StoneX Financial Inc.

24,010

0.6%

0.89%

16

06/16/2022

Mizuho Securities USA, Inc.

3,677

0.1%

1.29%

ten

06/10/2022

Total borrowings

$

3,881,321

100.0%

0.93%

32

11/18/2022

See the source version on businesswire.com: https://www.businesswire.com/news/home/20220614005791/en/

contacts

Orchid Island Capital, Inc.
Robert E. Cauley
Phone: (772) 231-1400

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