CORRECT and REPLACE Orchid Island Capital Announces June 2022 Monthly Dividend and RMBS Portfolio Features as of May 31, 2022
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June 2022 monthly dividend of $0.045 per common share
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Characteristics of the RMBS portfolio as of May 31, 2022
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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
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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:
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Valuation characteristics of RMBS
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RMBS Assets by Branch
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Investment Companies Act 1940 test results (entire pool)
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Exposure to repurchase agreements
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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 |
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(in thousands of dollars) |
||||||||
Weighted |
Weighted |
|||||||
% of |
Medium |
Medium |
||||||
Total |
Total |
repos |
Maturity |
The longest |
||||
As of May 31, 2022 |
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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