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CORRECTING and REPLACING Orchid Island Capital Announces June 2022 Monthly Dividend and May 31, 2022 RMBS Portfolio Characteristics

  • June 2022 Monthly Dividend of $0.045 Per Share of Common Stock

  • RMBS Portfolio Characteristics as of May 31, 2022

  • Next Dividend Announcement Expected July 13, 2022

VERO BEACH, Fla., 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 Company’s ''to-be-announced'' securities ''Swaps.''

The updated release reads:

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

  • June 2022 Monthly Dividend of $0.045 Per Share of Common Stock

  • RMBS Portfolio Characteristics as of May 31, 2022

  • Next Dividend Announcement Expected July 13, 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 June 2022. The dividend of $0.045 per share will be paid July 27, 2022, to holders of record of the Company’s common stock on June 30, 2022, with an ex-dividend date of June 29, 2022. The Company plans on announcing its next common stock dividend on July 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 June 14, 2022, May 31, 2022 and March 31, 2022, the Company had 177,117,186 shares of common stock outstanding.

RMBS Portfolio Characteristics

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 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

May 2022

Mar - May

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

Portfolio

Price

Coupon

GWAC

Age

(Months)

in Jun)

in Jun)

(-50 BPS)(1)

(+50 BPS)(1)

Pass Through RMBS

15yr 4.0

$

419

$

432

0.01%

$

103.01

4.00%

4.54%

49

131

0.8%

0.8%

$

7

$

(7)

15yr TBA

175,000

175,697

4.17%

100.40

3.50%

2,950

(3,310)

15yr Total

175,419

176,129

4.18%

100.40

3.50%

4.54%

49

131

0.8%

0.8%

2,957

(3,317)

30yr 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)

30yr 3.5

230,994

230,669

5.47%

99.86

3.50%

4.03%

27

325

14.2%

14.1%

6,331

(6,645)

30yr 4.0

270,277

272,437

6.46%

100.80

4.00%

4.71%

12

347

7.8%

26.8%

5,928

(6,852)

30yr Total

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

IO 20yr 3.0

335,999

40,141

0.95%

11.95

3.00%

3.69%

71

162

12.3%

16.4%

(595)

299

IO 20yr 4.0

12,205

1,485

0.04%

12.17

4.00%

4.57%

125

108

13.8%

16.0%

-

(2)

IO 30yr 3.0

42,190

6,859

0.16%

16.26

3.00%

3.69%

35

318

10.4%

13.7%

(249)

181

IO 30yr 3.5

510,044

97,678

2.32%

19.15

3.50%

4.01%

54

297

11.5%

14.1%

(2,522)

1,738

IO 30yr 4.0

151,311

26,628

0.63%

17.60

4.00%

4.55%

73

278

18.2%

21.3%

(1,071)

890

IO 30yr 4.5

4,261

761

0.02%

17.86

4.50%

4.99%

143

204

14.6%

18.6%

(22)

17

IO 30yr 5.0

2,367

427

0.01%

18.03

5.00%

5.36%

143

204

4.8%

18.5%

(15)

12

IO Total

1,058,377

173,979

4.12%

16.44

3.41%

3.99%

63

250

12.7%

15.9%

(4,474)

3,135

IIO 30yr 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

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(1)

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(1,194,000)

Sep-2022

$

(27,336)

$

26,775

10-Year Treasury Ultra(3)

(270,000)

Sep-2022

(15,009)

14,116

Swaps

(1,400,000)

Jul-2028

(38,357)

37,016

TBA

(175,000)

Jul-2022

(5,868)

6,055

Swaptions

(777,800)

Mar-2023

(12,242)

11,918

Hedge Total

$

(3,816,800)

$

(98,812)

$

95,880

Rate Shock Grand Total

$

18,973

$

(30,358)

(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 $112.95 at 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 at May 31, 2022. The market value of the short position was $346.9 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 May 31, 2022

As of May 31, 2022

Fannie Mae

$

2,850,250

70.5%

Non-Whole Pool Assets

$

239,763

5.9%

Freddie Mac

1,192,260

29.5%

Whole 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)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of May 31, 2022

Borrowings

Debt

Rate

in Days

Maturity

J.P. Morgan Securities LLC

$

372,441

9.8%

0.71%

13

7/25/2022

ABN AMRO Bank N.V.

335,617

8.6%

0.84%

36

7/14/2022

Merrill Lynch, Pierce, Fenner & Smith

325,745

8.4%

0.95%

36

7/13/2022

Mitsubishi UFJ Securities (USA), Inc

314,666

8.1%

1.15%

32

7/28/2022

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

8/23/2022

RBC Capital Markets, LLC

232,284

6.0%

0.89%

38

7/27/2022

ING Financial Markets LLC

206,841

5.3%

0.86%

3

6/3/2022

Goldman, Sachs & Co.

201,626

5.2%

1.10%

25

6/27/2022

ASL Capital Markets Inc.

186,177

4.8%

0.89%

17

6/21/2022

Santander Bank, N.A.

180,243

4.6%

0.97%

35

7/25/2022

Daiwa Capital Markets America Inc.

151,289

3.9%

0.73%

16

6/16/2022

ED&F Man Capital Markets Inc

151,112

3.9%

1.02%

50

7/25/2022

Wells Fargo Bank, N.A.

125,542

3.2%

0.81%

31

7/21/2022

Citigroup Global Markets Inc

121,265

3.1%

1.05%

37

7/18/2022

BMO Capital Markets Corp.

116,662

3.0%

1.17%

47

7/18/2022

Nomura Securities International, Inc.

88,988

2.3%

0.90%

17

6/17/2022

Austin Atlantic Asset Management Co.

86,789

2.2%

0.89%

1

6/1/2022

South Street Securities, LLC

60,672

1.6%

1.17%

48

7/18/2022

Lucid Cash Fund USG, LLC

44,112

1.1%

0.99%

9

6/9/2022

StoneX Financial Inc.

24,010

0.6%

0.89%

16

6/16/2022

Mizuho Securities USA, Inc

3,677

0.1%

1.29%

10

6/10/2022

Total Borrowings

$

3,881,321

100.0%

0.93%

32

11/18/2022

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

Contacts

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