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Orchid Island Capital Announces May 2022 Monthly Dividend and April 30, 2022 RMBS Portfolio Characteristics

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

  • RMBS Portfolio Characteristics as of April 30, 2022

  • Next Dividend Announcement Expected June 14, 2022

VERO BEACH, Fla., May 11, 2022--(BUSINESS WIRE)--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 May 2022. The dividend of $0.045 per share will be paid June 28, 2022, to holders of record of the Company’s common stock on May 31, 2022, with an ex-dividend date of May 27, 2022. The Company plans on announcing its next common stock dividend on June 14, 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 May 11, 2022, April 30, 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 April 30, 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 and the expected funding of purchased assets. 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

Apr 2022

Feb - Apr

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(1)

Portfolio

Price

Coupon

GWAC

Age

(Months)

in May)

in May)

(-50 BPS)(2)

(+50 BPS)(2)

Pass Through RMBS

15yr 2.5

$

422

$

434

0.01

%

$

102.82

4.00

%

4.54

%

48

132

0.8

%

0.7

%

$

7

$

(7

)

15yr TBA

200,000

196,498

4.64

%

98.25

3.19

%

3,908

(4,166

)

15yr Total

200,422

196,932

4.65

%

98.26

3.19

%

4.54

%

48

132

0.8

%

0.7

%

3,915

(4,173

)

30yr 3.0

3,529,349

3,354,573

79.22

%

95.05

3.00

%

3.47

%

13

345

7.5

%

6.8

%

100,185

(106,588

)

30yr 3.5

234,038

230,649

5.45

%

98.55

3.50

%

4.03

%

26

326

11.6

%

13.8

%

6,092

(6,424

)

30yr 4.0

272,605

272,381

6.43

%

99.92

4.00

%

1.70

%

12

117

23.0

%

29.4

%

5,896

(6,665

)

30yr Total

4,035,992

3,857,603

91.10

%

95.58

3.10

%

3.38

%

13

328

8.1

%

7.8

%

112,173

(119,677

)

Total Pass Through RMBS

4,236,414

4,054,535

95.76

%

95.71

3.10

%

3.38

%

13

328

8.1

%

7.8

%

116,088

(123,850

)

Structured RMBS

IO 20yr 3.0

342,464

40,793

0.96

%

11.91

3.00

%

3.69

%

70

164

15.8

%

17.9

%

(723

)

464

IO 20yr 4.0

12,492

1,525

0.04

%

12.20

4.00

%

4.57

%

124

109

17.1

%

15.9

%

(1

)

(1

)

IO 30yr 3.0

42,836

7,036

0.17

%

16.43

3.00

%

3.69

%

34

319

14.6

%

17.3

%

(286

)

220

IO 30yr 3.5

517,016

99,925

2.36

%

19.33

3.50

%

4.01

%

53

298

12.9

%

15.3

%

(2,914

)

2,133

IO 30yr 4.0

154,709

27,986

0.66

%

18.09

4.00

%

4.56

%

72

279

19.9

%

24.6

%

(1,165

)

1,026

IO 30yr 4.5

4,350

774

0.02

%

17.80

4.50

%

4.99

%

142

205

20.3

%

20.3

%

(23

)

19

IO 30yr 5.0

2,407

432

0.01

%

17.96

5.00

%

5.36

%

142

204

15.1

%

20.5

%

(15

)

12

IO Total

1,076,274

178,471

4.21

%

16.58

3.41

%

3.99

%

62

251

15.0

%

17.6

%

(5,127

)

3,873

IIO 30yr 4.0

36,690

1,261

0.03

%

3.44

3.53

%

4.41

%

56

296

21.5

%

29.9

%

205

(214

)

Total Structured RMBS

1,112,964

179,732

4.24

%

16.15

3.41

%

4.00

%

61

252

15.2

%

18.0

%

(4,922

)

3,659

Total Mortgage Assets

$

5,349,378

$

4,234,267

100.00

%

3.17

%

3.51

%

24

312

9.7

%

10.1

%

$

111,166

$

(120,191

)

Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(2)

(+50 BPS)(2)

5-Year Treasury Future(3)

$

(1,194,000

)

Jun-2022

$

(31,130

)

$

31,251

10-Year Treasury Ultra(4)

(270,000

)

Jun-2022

(21,135

)

17,781

TBA

(250,000

)

Jun-2022

(7,735

)

8,208

Swaps

(1,400,000

)

Jul-2028

(38,102

)

36,748

Swaptions

(777,800

)

Mar-2023

(22,697

)

22,884

Hedge Total

$

(3,891,800

)

$

(120,799

)

$

116,872

Rate Shock Grand Total

$

(9,633

)

$

(3,319

)

(1)

Amounts in the tables above include assets with a fair value of approximately $174.5 million purchased in April 2022, which settle in May 2022, and exclude assets with a fair value of approximately $352.6 million sold in April 2022, which settle in May 2022.

(2)

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.

(3)

Five-year Treasury futures contracts were valued at prices of $112.67 at April 30, 2022. The market value of the short position was $1,345.3 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $129.00 at April 30, 2022. The market value of the short position was $348.3 million.

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

(1)

($ in thousands)

(1)

Percentage

Percentage

Fair

of

Fair

of

Asset Category

Value

Portfolio

Asset Category

Value

Portfolio

As of April 30, 2022

As of April 30, 2022

Fannie Mae

$

2,847,347

70.5

%

Non-Whole Pool Assets

$

245,138

6.1

%

Freddie Mac

1,190,423

29.5

%

Whole Pool Assets

3,792,632

93.9

%

Total Mortgage Assets

$

4,037,770

100.0

%

Total Mortgage Assets

$

4,037,770

100.0

%

(1)

Amounts in the tables above include assets with a fair value of approximately $174.5 million purchased in April 2022, which settle in May 2022, and exclude assets with a fair value of approximately $352.6 million sold in April 2022, which settle in May 2022.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of April 30, 2022

Borrowings(1)

Debt

Rate

in Days

Maturity

J.P. Morgan Securities LLC

$

372,217

9.0

%

0.70

%

43

7/25/2022

ABN AMRO Bank N.V.

335,617

8.2

%

0.84

%

67

7/14/2022

Mitsubishi UFJ Securities (USA), Inc

317,646

7.7

%

0.84

%

41

7/28/2022

Merrill Lynch, Pierce, Fenner & Smith Inc.

309,881

7.5

%

0.84

%

56

7/13/2022

Cantor Fitzgerald & Co

304,373

7.4

%

0.61

%

32

6/17/2022

ED&F Man Capital Markets Inc

262,263

6.4

%

0.69

%

41

7/25/2022

Mirae Asset Securities (USA) Inc.

258,676

6.3

%

0.41

%

38

9/14/2022

RBC Capital Markets, LLC

233,102

5.7

%

0.86

%

65

7/14/2022

ING Financial Markets LLC

221,203

5.4

%

0.40

%

5

5/5/2022

Goldman, Sachs & Co.

199,411

4.9

%

0.77

%

24

5/25/2022

ASL Capital Markets Inc.

188,140

4.6

%

0.64

%

24

6/21/2022

Santander Bank, N.A.

179,576

4.4

%

0.82

%

51

7/25/2022

Citigroup Global Markets Inc

177,318

4.3

%

0.70

%

30

6/24/2022

Daiwa Capital Markets America Inc.

151,289

3.7

%

0.73

%

47

6/16/2022

Nomura Securities International, Inc.

133,438

3.2

%

0.61

%

18

5/18/2022

Wells Fargo Bank, N.A.

125,542

3.1

%

0.81

%

62

7/21/2022

BMO Capital Markets Corp.

119,125

2.9

%

0.64

%

18

5/20/2022

Austin Atlantic Asset Management Co.

84,200

2.0

%

0.39

%

4

5/4/2022

South Street Securities, LLC

61,524

1.5

%

0.60

%

18

5/18/2022

Lucid Cash Fund USG, LLC

44,673

1.1

%

0.63

%

12

5/12/2022

StoneX Financial Inc.

24,410

0.6

%

0.61

%

19

5/19/2022

Mizuho Securities USA, Inc

4,235

0.1

%

1.00

%

12

5/12/2022

Total Borrowings

$

4,107,859

100.0

%

0.70

%

39

9/14/2022

(1)

In April 2022, the Company purchased assets with a fair value of approximately $174.5 million, which settle in May 2022 that are expected to be funded substantially by repurchase agreements not included in the table above. In April 2022, the Company sold assets with a fair value of approximately $352.6 million, which settle in May 2022 that collateralize approximately $348.6 million of repurchase agreements included in the table above.

View source version on businesswire.com: https://www.businesswire.com/news/home/20220511005981/en/

Contacts

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