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Based in Israel
Company profile

Tremor International Ltd, formerly Taptica International Ltd, is an Israel-based company engaged in digital advertising solutions which leverage the latest video, native, and display technology to reach the users for every app, service, and brand. Tremor International Ltd works with more than 450 advertisers including Amazon, Disney, Twitter. The Company activity has three core divisions: Tremor Video, which helps advertisers deliver impactful brand stories across all screens through video technology combined with advanced audience data; RhythmOne, media division which drives business outcomes in multiscreen advertising; and Unruly video marketplace with direct integrations with publishers and advertisers. The Company is present in more than 60 countries.

Closing Price
$5.39
Day's Change
0.00 (0.00%)
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--
Ask
--
B/A Size
--
Day's High
5.39
Day's Low
5.39
Volume
(Light)
Volume:
1

10-day average volume:
961
1

Orchid Island Capital Announces June 2022 Monthly Dividend and May 31, 2022 RMBS Portfolio Characteristics

4:10 pm ET June 14, 2022 (BusinessWire) Print

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%                   49                  131                 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%                   49                  131                 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%                   14                  344                 8.1%                 7.5%                106,826              (112,329)
30yr 3.5                                 230,994                230,669                5.47%                  99.86                3.50%                4.03%                   27                  325                14.2%                14.1%                  6,331                (6,645)
30yr 4.0                                 270,277                272,437                6.46%                 100.80                4.00%                4.71%                   12                  347                 7.8%                26.8%                  5,928                (6,852)
------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------
30yr Total                             4,001,456              3,866,939               91.67%                  96.64                3.10%                3.58%                   14                  343                 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%                   16                  334                 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%                   71                  162                12.3%                16.4%                  (595)                    299
IO 20yr 4.0                               12,205                  1,485                0.04%                  12.17                4.00%                4.57%                  125                  108                13.8%                16.0%                      -                    (2)
IO 30yr 3.0                               42,190                  6,859                0.16%                  16.26                3.00%                3.69%                   35                  318                10.4%                13.7%                  (249)                    181
IO 30yr 3.5                              510,044                 97,678                2.32%                  19.15                3.50%                4.01%                   54                  297                11.5%                14.1%                (2,522)                  1,738
IO 30yr 4.0                              151,311                 26,628                0.63%                  17.60                4.00%                4.55%                   73                  278                18.2%                21.3%                (1,071)                    890
IO 30yr 4.5                                4,261                    761                0.02%                  17.86                4.50%                4.99%                  143                  204                14.6%                18.6%                   (22)                     17
IO 30yr 5.0                                2,367                    427                0.01%                  18.03                5.00%                5.36%                  143                  204                 4.8%                18.5%                   (15)                     12
------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------
IO Total                               1,058,377                173,979                4.12%                  16.44                3.41%                3.99%                   63                  250                12.7%                15.9%                (4,474)                  3,135
------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------
IIO 30yr 4.0                              35,321                  1,162                0.03%                   3.29                3.40%                4.40%                   57                  294                 0.6%                 9.6%                    217                  (230)
------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------
Total Structured RMBS                  1,093,698                175,141                4.15%                  16.01                3.41%                4.00%                   62                  251                12.3%                15.7%                (4,257)                  2,905
------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------
                                        
------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------
Total Mortgage Assets     $                               5,270,573 $                               4,218,209              100.00%                    3.17%                3.70%                   25                  317                 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
========================= ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ==================== ====================
(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 $1,348.6 million.
RMBS Assets by Agency         Investment Company Act of 1940 Whole Pool Test
($ 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%
--------------------- -------------------- -------------------- --------------------                      --------------------- -------------------- -------------------- --------------------
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
------------------------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- --------------------

View source version on businesswire.com: https://www.businesswire.com/news/home/20220614005791/en/

SOURCE: Orchid Island Capital, Inc.

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

COMTEX_408679619/1006/2022-06-14T16:10:00

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