CORRECTING and REPLACING Orchid Island Capital Announces One-for-five Reverse Stock Split, August 2022 Monthly Dividend and July 31, 2022 RMBS Portfolio Characteristics
- One-for-five reverse stock split of the outstanding shares of Common Stock
-
August 2022 Monthly Dividend of Per Share of Common Stock$0.16 -
RMBS Portfolio Characteristics as of
July 31, 2022 -
Next Dividend Announcement Expected
September 12, 2022
The updated release reads:
ORCHID ISLAND CAPITAL ANNOUNCES ONE-FOR-FIVE REVERSE STOCK SPLIT,
- One-for-five reverse stock split of the outstanding shares of Common Stock
-
August 2022 Monthly Dividend of Per Share of Common Stock$0.16 -
RMBS Portfolio Characteristics as of
July 31, 2022 -
Next Dividend Announcement Expected
September 12, 2022
No fractional shares will be issued in connection with the Reverse Stock Split. Instead, each stockholder that otherwise would receive fractional shares will be entitled to receive, in lieu of such fractional shares, cash in an amount determined on the basis of the closing price of the Common Stock on the NYSE on
The Company also announced today that the Board declared a monthly cash dividend for the month of
The Company estimates book value per share as of
The estimated book value per share range is unaudited and has not been verified or reviewed by any third party. The Company undertakes no obligation to update or revise its estimated book value per share.
The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to
As of
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of
- RMBS Valuation Characteristics
- RMBS Assets by Agency
-
Investment Company Act of 1940 (
Whole Pool ) Test Results - Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Reverse Stock Split and the Company’s distributions. These forward-looking statements are based upon
RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
Realized |
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May - Jul |
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Modeled |
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Modeled |
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Net |
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Weighted |
CPR |
2022 CPR |
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Interest |
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Interest |
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% |
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Weighted |
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Average |
(1-Month) |
(3-Month) |
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Rate |
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Rate |
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Current |
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Fair |
of |
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Current |
Average |
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Maturity |
(Reported |
(Reported |
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Sensitivity |
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Sensitivity |
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Type |
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Face |
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Value |
Portfolio |
|
Price |
Coupon |
GWAC |
Age |
(Months) |
in Aug) |
in Aug) |
|
(-50 BPS)(1) |
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(+50 BPS)(1) |
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Pass Through RMBS |
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15yr 4.0 |
$ |
414 |
|
$ |
424 |
0.01 |
% |
$ |
102.54 |
4.00 |
% |
4.54 |
% |
51 |
129 |
0.8 |
% |
0.8 |
% |
$ |
7 |
|
$ |
(7 |
) |
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15yr TBA |
|
100,000 |
|
|
101,680 |
2.43 |
% |
|
101.68 |
4.00 |
% |
|
|
|
|
|
|
1,130 |
|
|
(1,350 |
) |
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15yr Total |
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100,414 |
|
|
102,104 |
2.44 |
% |
|
101.68 |
4.00 |
% |
4.54 |
% |
51 |
129 |
0.8 |
% |
0.8 |
% |
|
1,137 |
|
|
(1,357 |
) |
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30yr 3.0 |
|
3,440,860 |
|
|
3,340,590 |
79.95 |
% |
|
97.09 |
3.00 |
% |
3.46 |
% |
16 |
341 |
5.7 |
% |
7.1 |
% |
|
97,835 |
|
|
(104,728 |
) |
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30yr 3.5 |
|
224,806 |
|
|
226,608 |
5.42 |
% |
|
100.80 |
3.50 |
% |
4.03 |
% |
29 |
322 |
12.0 |
% |
12.9 |
% |
|
5,778 |
|
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(6,132 |
) |
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30yr 4.0 |
|
281,892 |
|
|
285,531 |
6.83 |
% |
|
101.29 |
4.00 |
% |
4.72 |
% |
13 |
346 |
7.5 |
% |
7.3 |
% |
|
5,091 |
|
|
(6,108 |
) |
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30yr 5.0 |
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55,514 |
|
|
57,213 |
1.37 |
% |
|
103.06 |
5.00 |
% |
5.92 |
% |
1 |
360 |
0.1 |
% |
11.7 |
% |
|
506 |
|
|
(606 |
) |
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30yr Total |
|
4,003,072 |
|
|
3,909,942 |
93.58 |
% |
|
97.67 |
3.13 |
% |
3.62 |
% |
16 |
341 |
6.1 |
% |
7.4 |
% |
|
109,210 |
|
|
(117,574 |
) |
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Total Pass Through RMBS |
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4,103,486 |
|
|
4,012,046 |
96.02 |
% |
|
97.77 |
3.15 |
% |
3.62 |
% |
16 |
341 |
6.1 |
% |
7.4 |
% |
|
110,347 |
|
|
(118,931 |
) |
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Structured RMBS |
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IO 20yr 3.0 |
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325,562 |
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|
37,672 |
0.90 |
% |
|
11.57 |
3.00 |
% |
3.69 |
% |
73 |
160 |
10.4 |
% |
11.7 |
% |
|
(857 |
) |
|
564 |
|
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IO 20yr 4.0 |
|
11,745 |
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|
1,408 |
0.03 |
% |
|
11.99 |
4.00 |
% |
4.57 |
% |
127 |
106 |
11.9 |
% |
12.5 |
% |
|
(3 |
) |
|
- |
|
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IO 30yr 3.0 |
|
41,142 |
|
|
6,292 |
0.15 |
% |
|
15.29 |
3.00 |
% |
3.69 |
% |
37 |
316 |
17.1 |
% |
13.6 |
% |
|
(312 |
) |
|
236 |
|
||||||||||||
IO 30yr 3.5 |
|
497,027 |
|
|
93,105 |
2.23 |
% |
|
18.73 |
3.50 |
% |
4.01 |
% |
56 |
295 |
9.6 |
% |
11.3 |
% |
|
(3,383 |
) |
|
2,474 |
|
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IO 30yr 4.0 |
|
145,236 |
|
|
25,682 |
0.61 |
% |
|
17.68 |
4.00 |
% |
4.56 |
% |
75 |
276 |
12.8 |
% |
16.9 |
% |
|
(1,326 |
) |
|
1,177 |
|
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IO 30yr 4.5 |
|
4,144 |
|
|
720 |
0.02 |
% |
|
17.37 |
4.50 |
% |
4.99 |
% |
145 |
202 |
9.1 |
% |
11.6 |
% |
|
(27 |
) |
|
23 |
|
||||||||||||
IO 30yr 5.0 |
|
2,274 |
|
|
400 |
0.01 |
% |
|
17.57 |
5.00 |
% |
5.36 |
% |
145 |
202 |
7.4 |
% |
14.9 |
% |
|
(18 |
) |
|
15 |
|
||||||||||||
IO Total |
|
1,027,130 |
|
|
165,279 |
3.96 |
% |
|
16.09 |
3.41 |
% |
3.99 |
% |
64 |
248 |
10.6 |
% |
12.4 |
% |
|
(5,926 |
) |
|
4,489 |
|
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IIO 30yr 4.0 |
|
34,425 |
|
|
911 |
0.02 |
% |
|
2.65 |
2.38 |
% |
4.40 |
% |
59 |
292 |
4.1 |
% |
4.9 |
% |
|
168 |
|
|
(173 |
) |
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Total Structured RMBS |
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1,061,555 |
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|
166,190 |
3.98 |
% |
|
15.66 |
3.37 |
% |
4.00 |
% |
64 |
249 |
10.4 |
% |
12.1 |
% |
|
(5,758 |
) |
|
4,316 |
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Total Mortgage Assets |
$ |
5,165,041 |
|
$ |
4,178,236 |
100.00 |
% |
|
|
3.19 |
% |
3.70 |
% |
26 |
322 |
7.0 |
% |
8.4 |
% |
$ |
104,589 |
|
$ |
(114,615 |
) |
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Interest |
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Interest |
||||||||||||||||||||
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Average |
|
Hedge |
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Rate |
|
Rate |
||||||||||||||||||||
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Notional |
|
Period |
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Sensitivity |
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Sensitivity |
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Hedge |
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Balance |
|
End |
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(-50 BPS)(1) |
|
(+50 BPS)(1) |
||||||||||||||||||||
5-Year Treasury Future(2) |
$ |
(1,200,500 |
) |
|
Sep-2022 |
|
|
|
|
|
|
|
|
|
$ |
(27,570 |
) |
$ |
27,004 |
|
|||||||||||||||||
10-Year Treasury Ultra(3) |
|
(274,500 |
) |
|
Sep-2022 |
|
|
|
|
|
|
|
|
|
|
(15,450 |
) |
|
14,714 |
|
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Swaps |
|
(1,400,000 |
) |
|
Jul-2028 |
|
|
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|
|
|
|
|
|
|
(37,431 |
) |
|
36,138 |
|
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TBA |
|
(175,000 |
) |
|
Sep-2022 |
|
|
|
|
|
|
|
|
|
|
(5,224 |
) |
|
5,609 |
|
|||||||||||||||||
Swaptions |
|
(777,800 |
) |
|
Mar-2023 |
|
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|
|
|
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|
|
|
|
(10,964 |
) |
|
11,462 |
|
|||||||||||||||||
Hedge Total |
$ |
(3,827,800 |
) |
|
|
|
|
|
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|
|
|
|
|
$ |
(96,639 |
) |
$ |
94,927 |
|
|||||||||||||||||
Rate Shock Grand Total |
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|
|
|
|
|
|
$ |
7,950 |
|
$ |
(19,688 |
) |
(1) |
Modeled results from |
|
(2) |
Five-year |
|
(3) |
Ten-year Treasury Ultra futures contracts were valued at prices of |
RMBS Assets by Agency |
|
|
|
|
Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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($ in thousands) |
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|||||
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|
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Percentage |
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Percentage |
|||||
|
|
Fair |
of |
|
|
|
Fair |
of |
|||||
Asset Category |
|
Value |
Portfolio |
|
Asset Category |
|
Value |
Portfolio |
|||||
As of |
|
|
|
|
As of |
|
|
|
|||||
Fannie Mae |
$ |
2,688,405 |
65.9 |
% |
|
Non-Whole Pool Assets |
$ |
229,726 |
5.6 |
% |
|||
Freddie Mac |
|
1,388,151 |
34.1 |
% |
|
Whole Pool Assets |
|
3,846,830 |
94.4 |
% |
|||
Total Mortgage Assets |
$ |
4,076,556 |
100.0 |
% |
|
Total Mortgage Assets |
$ |
4,076,556 |
100.0 |
% |
Borrowings By Counterparty |
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($ in thousands) |
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|||||
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Weighted |
Weighted |
|
|||||
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% of |
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Average |
Average |
|
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|
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Total |
|
Total |
|
Repo |
Maturity |
Longest |
|||||
As of |
|
Borrowings |
|
Debt |
|
Rate |
in Days |
Maturity |
|||||
|
$ |
357,502 |
|
9.4 |
% |
|
1.52 |
% |
11 |
|
|||
|
|
344,846 |
|
9.1 |
% |
|
1.45 |
% |
57 |
|
|||
|
|
340,537 |
|
9.0 |
% |
|
2.31 |
% |
24 |
|
|||
ABN AMRO Bank N.V. |
|
317,886 |
|
8.4 |
% |
|
2.07 |
% |
21 |
|
|||
Merrill Lynch, Pierce, Fenner & Smith |
|
308,322 |
|
8.1 |
% |
|
2.11 |
% |
16 |
|
|||
|
|
251,906 |
|
6.6 |
% |
|
1.99 |
% |
21 |
|
|||
|
|
238,344 |
|
6.3 |
% |
|
2.30 |
% |
40 |
|
|||
|
|
222,173 |
|
5.9 |
% |
|
2.23 |
% |
28 |
|
|||
|
|
174,926 |
|
4.6 |
% |
|
2.36 |
% |
27 |
|
|||
|
|
161,905 |
|
4.3 |
% |
|
2.36 |
% |
27 |
|
|||
|
|
151,238 |
|
4.0 |
% |
|
2.38 |
% |
53 |
|
|||
|
|
148,494 |
|
3.9 |
% |
|
2.36 |
% |
47 |
|
|||
|
|
138,479 |
|
3.7 |
% |
|
2.21 |
% |
17 |
|
|||
|
|
118,656 |
|
3.1 |
% |
|
2.14 |
% |
21 |
|
|||
|
|
117,951 |
|
3.1 |
% |
|
2.23 |
% |
21 |
|
|||
|
|
112,680 |
|
3.0 |
% |
|
2.41 |
% |
30 |
|
|||
|
|
85,731 |
|
2.3 |
% |
|
2.22 |
% |
3 |
|
|||
|
|
78,109 |
|
2.1 |
% |
|
2.23 |
% |
20 |
|
|||
|
|
60,342 |
|
1.6 |
% |
|
2.21 |
% |
18 |
|
|||
|
|
35,969 |
|
0.9 |
% |
|
2.27 |
% |
22 |
|
|||
|
|
23,690 |
|
0.6 |
% |
|
2.00 |
% |
11 |
|
|||
Total Borrowings |
$ |
3,789,686 |
|
100.0 |
% |
|
2.09 |
% |
27 |
|
View source version on businesswire.com: https://www.businesswire.com/news/home/20220817005568/en/
Telephone: (772) 231-1400
Source: