ORC

• July 2022 Monthly Dividend of $0.045 Per Share of Common Stock
• Estimated Book Value Per Share as of June 30, 2022 of $2.87
• Estimated GAAP net loss of $0.34 per share for the quarter ended June 30, 2022, including an estimated $0.46 per share of net realized and unrealized losses on RMBS and derivative instruments
• Estimated (10.0)% total return on equity for the quarter
• Estimated book value, net loss and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
• RMBS Portfolio Characteristics as of June 30, 2022
• Next Dividend Announcement Expected August 17, 2022

Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of July 2022. The dividend of $0.045 per share will be paid August 29, 2022 to holders of record of the Company’s common stock on July 29, 2022, with an ex-dividend date of July 28, 2022. The Company plans on announcing its next common stock dividend on August 17, 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 July 13, 2022 and June 30, 2022, the Company had 176,251,193 shares of common stock outstanding. As of March 31, 2022, the Company had 177,117,186 shares of common stock outstanding.

Estimated June 30, 2022 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2022 was $2.87. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2022, the Company's preliminary estimated total stockholders' equity was approximately $507.4 million with 176,251,193 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.34, which includes $0.46 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended June 30, 2022. These amounts compare to total dividends declared during the quarter of $0.135 per share. Net loss per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net loss. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended June 30, 2022 was (10.0)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $(0.335) per share, comprised of dividends per share of $0.135 and a decrease in book value per share of $0.47 from March 31, 2022.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 2022 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended June 30, 2022, are subject to review by the Company’s independent registered public accounting firm.

• 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jun 2022

Apr - Jun

 

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 Jul)

in Jul)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

$

416

$

425

0.01

%

$

101.96

4.00%

4.54%

50

130

0.8%

0.8%

$

7

 

$

(7

)

15yr TBA

 

175,000

 

173,975

4.23

%

 

99.41

3.50%

 

 

 

 

 

 

2,831

 

 

(3,136

)

15yr Total

 

175,416

 

174,400

4.24

%

 

99.42

3.50%

4.54%

50

130

0.8%

0.8%

 

2,838

 

 

(3,143

)

30yr 3.0

 

3,469,251

 

3,260,634

79.24

%

 

93.99

3.00%

3.46%

15

342

7.4%

7.7%

 

104,218

 

 

(109,092

)

30yr 3.5

 

227,580

 

222,919

5.42

%

 

97.95

3.50%

4.03%

28

324

11.7%

12.8%

 

6,201

 

 

(6,466

)

30yr 4.0

 

284,173

 

282,173

6.86

%

 

99.30

4.00%

4.72%

12

347

7.5%

18.0%

 

6,265

 

 

(7,088

)

30yr Total

 

3,981,004

 

3,765,726

91.52

%

 

94.59

3.10%

3.59%

15

342

7.6%

8.3%

 

116,684

 

 

(122,646

)

Total Pass Through RMBS

 

4,156,420

 

3,940,126

95.75

%

 

94.80

3.12%

3.59%

15

342

7.6%

8.3%

 

119,522

 

 

(125,789

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

330,732

 

39,254

0.95

%

 

11.87

3.00%

3.69%

72

161

12.2%

13.5%

 

(485

)

 

252

 

IO 20yr 4.0

 

11,963

 

1,404

0.03

%

 

11.73

4.00%

4.57%

126

107

11.8%

14.3%

 

-

 

 

(2

)

IO 30yr 3.0

 

41,727

 

6,784

0.16

%

 

16.26

3.00%

3.70%

36

317

13.3%

12.8%

 

(213

)

 

165

 

IO 30yr 3.5

 

503,821

 

98,384

2.39

%

 

19.53

3.50%

4.01%

55

296

12.9%

12.4%

 

(2,181

)

 

1,492

 

IO 30yr 4.0

 

148,069

 

26,662

0.65

%

 

18.01

4.00%

4.55%

74

277

20.1%

19.4%

 

(974

)

 

802

 

IO 30yr 4.5

 

4,197

 

799

0.02

%

 

19.05

4.50%

4.99%

144

203

11.0%

15.4%

 

(22

)

 

18

 

IO 30yr 5.0

 

2,350

 

467

0.01

%

 

19.87

5.00%

5.36%

144

203

30.0%

17.3%

 

(15

)

 

13

 

IO Total

 

1,042,859

 

173,754

4.22

%

 

16.66

3.41%

3.99%

64

249

13.7%

13.8%

 

(3,890

)

 

2,740

 

IIO 30yr 4.0

 

35,107

 

955

0.02

%

 

2.72

3.02%

4.40%

58

293

9.9%

11.1%

 

194

 

 

(189

)

Total Structured RMBS

 

1,077,966

 

174,709

4.25

%

 

16.21

3.39%

4.00%

63

250

13.6%

13.7%

 

(3,696

)

 

2,551

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,234,386

$

4,114,835

100.00

%

 

 

3.17%

3.67%

25

323

8.9%

9.5%

$

115,826

 

$

(123,238

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(1,200,500

)

 

Sep-2022

 

 

 

 

 

 

 

 

 

$

(31,555

)

$

22,351

 

10-Year Treasury Ultra(3)

 

(274,500

)

 

Sep-2022

 

 

 

 

 

 

 

 

 

 

(15,536

)

 

13,691

 

Swaps

 

(1,400,000

)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

(36,711

)

 

35,424

 

TBA

 

(175,000

)

 

Jul-2022

 

 

 

 

 

 

 

 

 

 

(5,392

)

 

5,692

 

Swaptions

 

(777,800

)

 

Mar-2023

 

 

 

 

 

 

 

 

 

 

(12,182

)

 

11,118

 

Hedge Total

$

(3,827,800

)

 

 

 

 

 

 

 

 

 

 

 

$

(101,376

)

$

88,276

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

14,450

 

$

(34,962

)

(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 $112.25 at June 30, 2022. The market value of the short position was $1,347.6 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $127.38 at June 30, 2022. The market value of the short position was $349.7 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 June 30, 2022

 

 

 

 

As of June 30, 2022

 

 

 

Fannie Mae

$

2,591,682

65.8%

 

Non-Whole Pool Assets

$

237,439

6.0%

Freddie Mac

 

1,349,178

34.2%

 

Whole Pool Assets

 

3,703,421

94.0%

Total Mortgage Assets

$

3,940,860

100.0%

 

Total Mortgage Assets

$

3,940,860

100.0%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of June 30, 2022

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

J.P. Morgan Securities LLC

$

355,463

 

9.4%

 

1.44%

40

8/10/2022

ABN AMRO Bank N.V.

 

332,722

 

8.9%

 

0.97%

12

7/14/2022

Mitsubishi UFJ Securities (USA), Inc

 

330,133

 

8.8%

 

1.69%

34

8/29/2022

Merrill Lynch, Pierce, Fenner & Smith

 

320,104

 

8.5%

 

1.15%

16

7/26/2022

Mirae Asset Securities (USA) Inc.

 

291,534

 

7.8%

 

1.16%

65

11/18/2022

Cantor Fitzgerald & Co

 

246,670

 

6.6%

 

1.50%

28

8/23/2022

RBC Capital Markets, LLC

 

228,511

 

6.1%

 

1.23%

26

8/18/2022

ING Financial Markets LLC

 

196,520

 

5.2%

 

1.64%

28

7/28/2022

ASL Capital Markets Inc.

 

179,465

 

4.8%

 

1.59%

18

7/21/2022

Santander Bank, N.A.

 

173,115

 

4.6%

 

1.34%

27

7/28/2022

Goldman, Sachs & Co.

 

158,181

 

4.2%

 

1.63%

25

7/27/2022

ED&F Man Capital Markets Inc

 

150,941

 

4.0%

 

1.02%

20

7/25/2022

Daiwa Capital Markets America Inc.

 

144,585

 

3.8%

 

1.62%

18

7/18/2022

Wells Fargo Bank, N.A.

 

123,434

 

3.3%

 

1.10%

14

7/21/2022

Citigroup Global Markets Inc

 

115,434

 

3.1%

 

1.37%

21

7/25/2022

BMO Capital Markets Corp.

 

115,236

 

3.1%

 

1.20%

18

7/21/2022

Nomura Securities International, Inc.

 

86,155

 

2.3%

 

1.62%

22

7/22/2022

Austin Atlantic Asset Management Co.

 

83,356

 

2.2%

 

1.62%

6

7/6/2022

South Street Securities, LLC

 

60,322

 

1.6%

 

1.17%

18

7/18/2022

Lucid Cash Fund USG, LLC

 

24,157

 

0.6%

 

1.27%

14

7/14/2022

StoneX Financial Inc.

 

23,337

 

0.6%

 

1.64%

28

7/28/2022

Lucid Prime Fund, LLC

 

19,604

 

0.5%

 

1.52%

14

7/14/2022

Total Borrowings

$

3,758,979

 

100.0%

 

1.36%

27

11/18/2022

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20220713005742/en/

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