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    Orchid Island Capital Announces November 2022 Monthly Dividend and October 31, 2022 Rmbs Portfolio Characteristics

    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 November 2022. The dividend of $0.16 per share will be paid December 28, 2022 to holders of record of the Company’s common stock on November 30, 2022, with an ex-dividend date of November 29, 2022. The Company plans on announcing its next common stock dividend on December 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 November 9, 2022 and October 31, 2022, the Company had 33,422,207 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.

    RMBS Portfolio Characteristics

    Details of the RMBS portfolio as of October 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

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    Oct 2022

    Aug - Oct

     

    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 Nov)

    in Nov)

     

    (-50 BPS)(1)

     

    (+50 BPS)(1)

    Pass Through RMBS

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    15yr 4.0

    $

    405

    $

    390

    0.01%

    $

    96.25

    4.00%

    4.54%

    54

    125

    0.8%

    0.7%

    $

    7

    $

    (7)

    15yr Total

     

    405

     

    390

    0.01%

     

    96.25

    4.00%

    4.54%

    54

    125

    0.8%

    0.7%

     

    7

     

    (7)

    30yr 3.0

     

    2,584,539

     

    2,213,102

    71.79%

     

    85.63

    3.00%

    3.44%

    18

    338

    4.9%

    5.4%

     

    70,275

     

    (72,234)

    30yr 3.5

     

    217,939

     

    194,697

    6.32%

     

    89.34

    3.50%

    4.03%

    32

    319

    5.4%

    7.4%

     

    5,347

     

    (5,469)

    30yr 4.0

     

    275,109

     

    251,726

    8.17%

     

    91.50

    4.00%

    4.72%

    16

    342

    7.1%

    7.4%

     

    6,265

     

    (6,710)

    30yr 4.5

     

    370,457

     

    348,462

    11.30%

     

    94.06

    4.50%

    5.45%

    4

    356

    1.2%

    n/a

     

    7,203

     

    (7,963)

    30yr 5.0

     

    54,638

     

    52,785

    1.71%

     

    96.61

    5.00%

    5.92%

    4

    356

    0.1%

    4.9%

     

    934

     

    (1,065)

    30yr Total

     

    3,502,682

     

    3,060,772

    99.29%

     

    87.38

    3.30%

    3.83%

    17

    340

    4.7%

    5.7%

     

    90,024

     

    (93,441)

    Total Pass Through RMBS

     

    3,503,087

     

    3,061,162

    99.30%

     

    87.38

    3.30%

    3.83%

    17

    340

    4.7%

    5.7%

     

    90,031

     

    (93,448)

    Structured RMBS

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    IO 20yr 4.0

     

    11,124

     

    1,293

    0.04%

     

    11.62

    4.00%

    4.57%

    130

    103

    7.9%

    10.9%

     

    6

     

    (7)

    IO 30yr 3.0

     

    3,242

     

    403

    0.01%

     

    12.42

    3.00%

    3.64%

    93

    257

    0.8%

    17.3%

     

    (1)

     

    -

    IO 30yr 4.0

     

    93,045

     

    18,112

    0.59%

     

    19.47

    4.00%

    4.60%

    98

    253

    5.8%

    8.7%

     

    (422)

     

    307

    IO 30yr 4.5

     

    4,004

     

    767

    0.02%

     

    19.15

    4.50%

    4.99%

    148

    199

    6.6%

    9.7%

     

    (8)

     

    4

    IO 30yr 5.0

     

    2,232

     

    461

    0.01%

     

    20.64

    5.00%

    5.36%

    148

    200

    4.8%

    2.9%

     

    (8)

     

    6

    IO Total

     

    113,647

     

    21,036

    0.68%

     

    18.51

    4.01%

    4.60%

    104

    235

    5.9%

    9.1%

     

    (433)

     

    310

    IIO 30yr 4.0

     

    32,399

     

    454

    0.01%

     

    1.40

    1.01%

    4.40%

    61

    288

    1.9%

    9.2%

     

    118

     

    (99)

    Total Structured RMBS

     

    146,046

     

    21,490

    0.70%

     

    14.71

    3.34%

    4.55%

    95

    247

    5.0%

    9.1%

     

    (315)

     

    211

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    Total Mortgage Assets

    $

    3,649,133

    $

    3,082,652

    100.00%

     

     

    0.00%

    0.00%

    -

    -

    0.0%

    0.0%

    $

    89,716

    $

    (93,237)

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    Interest

     

    Interest

     

     

    Average

     

    Hedge

     

     

     

     

     

     

     

     

     

     

    Rate

     

    Rate

     

     

    Notional

     

    Period

     

     

     

     

     

     

     

     

     

     

    Sensitivity

     

    Sensitivity

    Hedge

     

    Balance

     

    End

     

     

     

     

     

     

     

     

     

     

    (-50 BPS)(1)

     

    (+50 BPS)(1)

    5-Year Treasury Future(2)

    $

    (750,500)

     

    Dec-2022

     

     

     

     

     

     

     

     

     

    $

    (17,228)

    $

    16,777

    10-Year Treasury Ultra(3)

     

    (174,500)

     

    Dec-2022

     

     

     

     

     

     

     

     

     

     

    (10,037)

     

    8,880

    Swaps

     

    (1,400,000)

     

    Jul-2028

     

     

     

     

     

     

     

     

     

     

    (32,381)

     

    31,321

    TBA

     

    (675,000)

     

    Nov-2022

     

     

     

     

     

     

     

     

     

     

    (18,570)

     

    19,335

    Swaptions

     

    (613,000)

     

    Jan-2024

     

     

     

     

     

     

     

     

     

     

    (10,424)

     

    10,520

    Hedge Total

    $

    (3,613,000)

     

     

     

     

     

     

     

     

     

     

     

    $

    (88,640)

    $

    86,833

    Rate Shock Grand Total

     

     

     

     

     

     

     

     

     

     

     

     

     

    $

    1,076

    $

    (6,404)

    (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 $106.59 at October 31, 2022. The market value of the short position was $800.0 million.

    (3)

    Ten-year Treasury Ultra futures contracts were valued at prices of $115.98 at October 31, 2022. The market value of the short position was $202.4 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 October 31, 2022

     

     

     

     

    As of October 31, 2022

     

     

     

    Fannie Mae

    $

    2,168,149

    70.3%

     

    Non-Whole Pool Assets

    $

    108,419

    3.5%

    Freddie Mac

     

    914,502

    29.7%

     

    Whole Pool Assets

     

    2,974,232

    96.5%

    Total Mortgage Assets

    $

    3,082,651

    100.0%

     

    Total Mortgage Assets

    $

    3,082,651

    100.0%

     

    Borrowings By Counterparty

     

     

     

     

     

     

     

     

    ($ in thousands)

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    Weighted

    Weighted

     

     

     

     

     

    % of

     

    Average

    Average

     

     

     

    Total

     

    Total

     

    Repo

    Maturity

    Longest

    As of October 31, 2022

     

    Borrowings

     

    Debt

     

    Rate

    in Days

    Maturity

    Daiwa Capital Markets America Inc.

    $

    299,275

     

    10.1%

     

    3.28%

    8

    11/14/2022

    Mirae Asset Securities (USA) Inc.

     

    282,056

     

    9.5%

     

    3.26%

    31

    1/30/2023

    Merrill Lynch, Pierce, Fenner & Smith

     

    276,667

     

    9.3%

     

    3.33%

    8

    11/28/2022

    Cantor Fitzgerald & Co

     

    234,245

     

    7.9%

     

    3.04%

    5

    11/16/2022

    J.P. Morgan Securities LLC

     

    211,828

     

    7.1%

     

    3.45%

    11

    11/23/2022

    ABN AMRO Bank N.V.

     

    194,818

     

    6.5%

     

    2.89%

    13

    11/15/2022

    ED&F Man Capital Markets Inc

     

    190,418

     

    6.4%

     

    3.33%

    20

    12/19/2022

    Mitsubishi UFJ Securities (USA), Inc

     

    179,723

     

    6.0%

     

    3.39%

    19

    11/30/2022

    RBC Capital Markets, LLC

     

    163,728

     

    5.5%

     

    3.27%

    7

    11/14/2022

    ING Financial Markets LLC

     

    149,958

     

    5.0%

     

    3.14%

    3

    11/3/2022

    Goldman, Sachs & Co.

     

    126,280

     

    4.2%

     

    3.33%

    17

    11/23/2022

    Santander Bank, N.A.

     

    113,142

     

    3.8%

     

    3.69%

    24

    11/28/2022

    Citigroup Global Markets Inc

     

    102,839

     

    3.4%

     

    3.43%

    14

    11/23/2022

    Wells Fargo Bank, N.A.

     

    100,591

     

    3.4%

     

    2.96%

    11

    11/14/2022

    Nomura Securities International, Inc.

     

    90,100

     

    3.0%

     

    3.14%

    14

    11/14/2022

    BMO Capital Markets Corp.

     

    74,900

     

    2.5%

     

    3.71%

    23

    11/23/2022

    StoneX Financial Inc.

     

    72,310

     

    2.4%

     

    3.14%

    4

    11/4/2022

    ASL Capital Markets Inc.

     

    62,041

     

    2.1%

     

    3.55%

    21

    11/21/2022

    South Street Securities, LLC

     

    35,829

     

    1.2%

     

    3.56%

    18

    11/18/2022

    Lucid Cash Fund USG, LLC

     

    21,069

     

    0.7%

     

    3.34%

    10

    11/10/2022

    Total Borrowings

    $

    2,981,817

     

    100.0%

     

    3.28%

    14

    1/30/2023

     


    The Orchid Island Capital Stock currently trades with a fall of -1,82 % to 10,24USD on the NYSE stock exchange.



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    Disclaimer

    Orchid Island Capital Announces November 2022 Monthly Dividend and October 31, 2022 Rmbs Portfolio Characteristics 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 November 2022. The dividend of $0.16 per share will be paid December 28, 2022 to …

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