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 14, 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 2.5
$
419
$
432
0.01%
$
103.01
4.00%
4.54%
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%
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%
8.1%
7.5%
106,826
(112,329)
30yr 3.5
230,994
230,669
5.47%
99.86
3.50%
4.03%
14.2%
14.1%
6,331
(6,645)
30yr 4.0
270,277
272,437
6.46%
100.80
4.00%
4.71%
7.8%
26.8%
5,928
(6,852)
30yr Total
4,001,456
3,866,939
91.67%
96.64
3.10%
3.58%
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%
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%
12.3%
16.4%
(595)
299
IO 20yr 4.0
12,205
1,485
0.04%
12.17
4.00%
4.57%
13.8%
16.0%
-
(2)
IO 30yr 3.0
42,190
6,859
0.16%
16.26
3.00%
3.69%
10.4%
13.7%
(249)
181
IO 30yr 3.5
510,044
97,678
2.32%
19.15
3.50%
4.01%
11.5%
14.1%
(2,522)
1,738
IO 30yr 4.0
151,311
26,628
0.63%
17.60
4.00%
4.55%
18.2%
21.3%
(1,071)
890
IO 30yr 4.5
4,261
761
0.02%
17.86
4.50%
4.99%
14.6%
18.6%
(22)
17
IO 30yr 5.0
2,367
427
0.01%
18.03
5.00%
5.36%
4.8%
18.5%
(15)
12
IO Total
1,058,377
173,979
4.12%
16.44
3.41%
3.99%
12.7%
15.9%
(4,474)
3,135
IIO 30yr 4.0
35,321
1,162
0.03%
3.29
3.40%
4.40%
0.6%
9.6%
217
(230)
Total Structured RMBS
1,093,698
175,141
4.15%
16.01
3.41%
4.00%
12.3%
15.7%
(4,257)
2,905
Total Mortgage Assets
$
5,270,573
$
4,218,209
100.00%
3.17%
3.70%
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
TBA
(1,400,000)
Jul-2028
(38,357)
37,016
Swaps
(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
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400