ORC

• September 2022 Monthly Dividend of $0.16 Per Share of Common Stock
• RMBS Portfolio Characteristics as of August 31, 2022
• Next Dividend Announcement Expected October 12, 2022

Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of September 2022. The dividend of $0.16 per share will be paid October 27, 2022 to holders of record of the Company’s common stock on September 30, 2022, with an ex-dividend date of September 29, 2022. The Company plans on announcing its next common stock dividend on October 12, 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 September 12, 2022, the Company had 35,075,239 shares of common stock outstanding. As of August 31, 2022 and June 30, 2022, the Company had 35,250,239 shares of common stock outstanding, adjusted for the Company’s one-for-five reverse stock split effective August 30, 2022.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aug 2022

Jun - Aug

 

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 Sep)

in Sep)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

$

411

 

$

413

0.01

%

$

100.46

4.00%

4.54%

52

127

0.7%

0.8%

$

7

 

$

(7

)

15yr Total

 

411

 

 

413

0.01

%

 

100.46

4.00%

4.54%

52

127

0.7%

0.8%

 

7

 

 

(7

)

30yr 3.0

 

3,417,993

 

 

3,188,340

74.66

%

 

93.28

3.00%

3.46%

17

340

6.3%

6.5%

 

101,295

 

 

(105,745

)

30yr 3.5

 

221,920

 

 

215,654

5.05

%

 

97.18

3.50%

4.03%

30

321

10.1%

11.4%

 

6,018

 

 

(6,250

)

30yr 4.0

 

279,622

 

 

274,982

6.44

%

 

98.34

4.00%

4.72%

14

345

6.6%

7.3%

 

6,174

 

 

(6,922

)

30yr 4.5

 

371,742

 

 

370,995

8.69

%

 

99.80

4.50%

5.45%

2

359

n/a

n/a

 

5,623

 

 

(6,897

)

30yr 5.0

 

55,453

 

 

56,119

1.31

%

 

101.20

5.00%

5.92%

2

359

12.0%

n/a

 

678

 

 

(852

)

30yr Total

 

4,346,730

 

 

4,106,090

96.15

%

 

94.46

3.24%

3.77%

16

341

6.6%

6.8%

 

119,788

 

 

(126,666

)

Total Pass Through RMBS

 

4,347,141

 

 

4,106,503

96.16

%

 

94.46

3.24%

3.77%

16

341

6.6%

6.8%

 

119,795

 

 

(126,673

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

321,009

 

 

37,756

0.88

%

 

11.76

3.00%

3.69%

74

159

10.0%

10.9%

 

(331

)

 

153

 

IO 20yr 4.0

 

11,540

 

 

1,373

0.03

%

 

11.90

4.00%

4.57%

128

105

13.3%

12.3%

 

1

 

 

(4

)

IO 30yr 3.0

 

40,417

 

 

6,292

0.15

%

 

15.57

3.00%

3.69%

38

315

13.3%

14.5%

 

(173

)

 

135

 

IO 30yr 3.5

 

491,842

 

 

91,966

2.15

%

 

18.70

3.50%

4.01%

57

294

10.4%

11.0%

 

(1,736

)

 

1,154

 

IO 30yr 4.0

 

143,093

 

 

24,875

0.58

%

 

17.38

4.00%

4.55%

76

275

12.3%

14.7%

 

(837

)

 

668

 

IO 30yr 4.5

 

4,105

 

 

725

0.02

%

 

17.66

4.50%

4.99%

146

201

11.6%

10.6%

 

(18

)

 

14

 

IO 30yr 5.0

 

2,253

 

 

445

0.01

%

 

19.73

5.00%

5.36%

146

201

2.4%

14.1%

 

(14

)

 

11

 

IO Total

 

1,014,259

 

 

163,432

3.83

%

 

16.11

3.41%

3.99%

65

246

10.7%

11.7%

 

(3,108

)

 

2,131

 

IIO 30yr 4.0

 

34,042

 

 

736

0.02

%

 

2.16

1.92%

4.40%

60

290

23.4%

12.8%

 

181

 

 

(159

)

Total Structured RMBS

 

1,048,301

 

 

164,168

3.84

%

 

15.66

3.36%

4.00%

65

248

11.1%

11.7%

 

(2,927

)

 

1,972

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,395,442

 

$

4,270,671

100.00

%

 

 

3.27%

3.82%

25

323

7.6%

7.8%

$

116,868

 

$

(124,701

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(2)

 

(+50 BPS)(2)

5-Year Treasury Future(3)

$

(1,200,500

)

 

Dec-2022

 

 

 

 

 

 

 

 

 

$

(27,346

)

$

31,640

 

10-Year Treasury Ultra(4)

 

(274,500

)

 

Dec-2022

 

 

 

 

 

 

 

 

 

 

(16,897

)

 

17,978

 

Swaps

 

(1,400,000

)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

(35,518

)

 

34,325

 

TBA

 

(175,000

)

 

Oct-2022

 

 

 

 

 

 

 

 

 

 

(5,361

)

 

5,550

 

Swaptions

 

(826,900

)

 

Jul-2025

 

 

 

 

 

 

 

 

 

 

(14,138

)

 

11,159

 

Hedge Total

$

(3,876,900

)

 

 

 

 

 

 

 

 

 

 

 

$

(99,260

)

$

100,652

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

17,608

 

$

(24,049

)

(1)

Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 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 $110.82 at August 31, 2022. The market value of the short position was $1,330.4 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $125.19 at August 31, 2022. The market value of the short position was $343.6 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(1)

Portfolio

 

Asset Category

 

Value(1)

Portfolio

As of August 31, 2022

 

 

 

 

As of August 31, 2022

 

 

 

Fannie Mae

$

2,866,484

67.1

%

 

Non-Whole Pool Assets

$

259,030

6.1

%

Freddie Mac

 

1,404,186

32.9

%

 

Whole Pool Assets

 

4,011,640

93.9

%

Total Mortgage Assets

$

4,270,670

100.0

%

 

Total Mortgage Assets

$

4,270,670

100.0

%

(1)

Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 2022.

Borrowings By Counterparty

($ in thousands)

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of August 31, 2022

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

J.P. Morgan Securities LLC

$

350,323

 

9.3%

 

2.41%

13

9/26/2022

Mirae Asset Securities (USA) Inc.

 

347,836

 

9.3%

 

2.06%

43

1/30/2023

Mitsubishi UFJ Securities (USA), Inc

 

328,481

 

8.8%

 

2.71%

36

11/8/2022

ABN AMRO Bank N.V.

 

321,115

 

8.6%

 

2.62%

57

11/15/2022

Merrill Lynch, Pierce, Fenner & Smith

 

313,086

 

8.4%

 

2.50%

24

10/21/2022

Cantor Fitzgerald & Co

 

244,711

 

6.5%

 

2.55%

38

11/16/2022

ED&F Man Capital Markets Inc

 

232,222

 

6.2%

 

2.36%

21

9/22/2022

RBC Capital Markets, LLC

 

224,605

 

6.0%

 

2.38%

6

9/14/2022

ING Financial Markets LLC

 

199,799

 

5.3%

 

2.38%

22

9/22/2022

Daiwa Capital Markets America Inc.

 

179,821

 

4.8%

 

2.36%

17

9/22/2022

Santander Bank, N.A.

 

171,740

 

4.6%

 

2.51%

28

9/29/2022

Goldman, Sachs & Co.

 

157,918

 

4.2%

 

2.51%

27

9/29/2022

ASL Capital Markets Inc.

 

136,326

 

3.6%

 

2.38%

16

9/16/2022

Wells Fargo Bank, N.A.

 

119,485

 

3.2%

 

2.48%

37

11/10/2022

Citigroup Global Markets Inc

 

115,187

 

3.1%

 

2.53%

39

10/24/2022

BMO Capital Markets Corp.

 

109,982

 

2.9%

 

2.44%

25

11/18/2022

StoneX Financial Inc.

 

77,380

 

2.1%

 

2.39%

22

9/22/2022

South Street Securities, LLC

 

59,791

 

1.6%

 

2.39%

19

9/19/2022

Nomura Securities International, Inc.

 

35,099

 

0.9%

 

2.38%

21

9/21/2022

Lucid Cash Fund USG, LLC

 

23,506

 

0.6%

 

2.38%

8

9/8/2022

Total Borrowings

$

3,748,413

 

100.0%

 

2.44%

29

1/30/2023

(1)

In August 2022, the Company purchased assets with a fair value of approximately $371.0 million, which settle in September 2022 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20220912005916/en/

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