Orchid Island Capital Announces November 2023 Monthly Dividend and October 31, 2023 RMBS Portfolio Characteristics
November 2023 Monthly Dividend of $0.12 Per Share of Common Stock
RMBS Portfolio Characteristics as of October 31, 2023
Next Dividend Announcement Expected December 12, 2023
Estimated Book Value Per Share Approximately $8.47 to $8.52 as of November 14, 2023
VERO BEACH, Fla., November 15, 2023--(BUSINESS WIRE)--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 2023. The dividend of $0.12 per share will be paid December 27, 2023 to holders of record of the Company’s common stock on November 30, 2023, with an ex-dividend date of November 29, 2023. The Company plans on announcing its next common stock dividend on December 12, 2023.
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 15, 2023, October 31, 2023 and September 30, 2023, the Company had 52,332,306 shares of common stock outstanding.
Estimated November 14, 2023 Book Value Per Share
The Company estimates book value per share as of November 14, 2023 to be approximately $8.47 to $8.52, a decrease of approximately 4.5% to 5.0% from the book value per share at September 30, 2023 of $8.92. The estimated book value per share includes a deduction for today’s dividend declaration that will be paid on December 27, 2023. The estimated book value per share 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.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of October 31, 2023 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, 2022.
RMBS Valuation Characteristics | ||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||
Realized | ||||||||||||||||||||||||||||||||||||||||||||||||
Realized | Aug-23 - | |||||||||||||||||||||||||||||||||||||||||||||||
Oct-23 | Oct-23 | |||||||||||||||||||||||||||||||||||||||||||||||
Net | Weighted | CPR | CPR | |||||||||||||||||||||||||||||||||||||||||||||
Weighted | Average | (1-Month) | (3-Month) | Modeled Interest | ||||||||||||||||||||||||||||||||||||||||||||
Current | Fair | % of | Current | Average | Maturity | (Reported | (Reported | Rate Sensitivity (1) | ||||||||||||||||||||||||||||||||||||||||
Type | Face | Value | Portfolio | Price | Coupon | GWAC | Age | (Months) | in Nov) | in Nov) | (-50 BPS) | (+50 BPS) | ||||||||||||||||||||||||||||||||||||
Fixed Rate RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||
30yr 3.0 | 1,415,895 | 1,148,699 | 32.15 | % | 81.13 | 3.00 | % | 3.46 | % | 31 | 324 | 5.7 | % | 6.5 | % | 38,060 | (37,953 | ) | ||||||||||||||||||||||||||||||
30yr 3.5 | 197,861 | 168,727 | 4.72 | % | 85.28 | 3.50 | % | 4.04 | % | 44 | 306 | 9.5 | % | 6.9 | % | 5,034 | (5,056 | ) | ||||||||||||||||||||||||||||||
30yr 4.0 | 567,077 | 492,558 | 13.78 | % | 86.86 | 4.00 | % | 4.78 | % | 21 | 336 | 4.9 | % | 5.1 | % | 14,431 | (14,932 | ) | ||||||||||||||||||||||||||||||
30yr 4.5 | 345,923 | 310,295 | 8.68 | % | 89.70 | 4.50 | % | 5.45 | % | 16 | 342 | 8.8 | % | 7.7 | % | 7,822 | (8,315 | ) | ||||||||||||||||||||||||||||||
30yr 5.0 | 556,644 | 513,851 | 14.38 | % | 92.31 | 5.00 | % | 5.93 | % | 14 | 344 | 2.9 | % | 6.2 | % | 12,553 | (13,508 | ) | ||||||||||||||||||||||||||||||
30yr 5.5 | 274,993 | 261,496 | 7.32 | % | 95.09 | 5.50 | % | 6.43 | % | 7 | 352 | 8.0 | % | 4.2 | % | 5,853 | (6,378 | ) | ||||||||||||||||||||||||||||||
30yr 6.0 | 327,681 | 319,533 | 8.94 | % | 97.51 | 6.00 | % | 7.00 | % | 7 | 349 | 9.2 | % | 9.1 | % | 5,877 | (6,547 | ) | ||||||||||||||||||||||||||||||
30yr 6.5 | 341,319 | 339,856 | 9.51 | % | 99.57 | 6.50 | % | 7.39 | % | 3 | 355 | 12.1 | % | 10.3 | % | 5,149 | (5,988 | ) | ||||||||||||||||||||||||||||||
Total Pass Through RMBS | 4,027,393 | 3,555,015 | 99.48 | % | 88.27 | 4.28 | % | 5.01 | % | 21 | 336 | 6.6 | % | 6.5 | % | 94,779 | (98,677 | ) | ||||||||||||||||||||||||||||||
Structured RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||
IO 20yr 4.0 | 9,077 | 956 | 0.03 | % | 10.54 | 4.00 | % | 4.57 | % | 142 | 91 | 8.0 | % | 7.9 | % | 4 | (3 | ) | ||||||||||||||||||||||||||||||
IO 30yr 3.0 | 2,983 | 356 | 0.01 | % | 11.95 | 3.00 | % | 3.64 | % | 105 | 244 | 0.7 | % | 0.7 | % | 1 | (1 | ) | ||||||||||||||||||||||||||||||
IO 30yr 4.0 | 82,894 | 15,800 | 0.44 | % | 19.06 | 4.00 | % | 4.60 | % | 111 | 241 | 5.7 | % | 5.6 | % | (119 | ) | 71 | ||||||||||||||||||||||||||||||
IO 30yr 4.5 | 3,550 | 672 | 0.02 | % | 18.94 | 4.50 | % | 4.99 | % | 160 | 186 | 8.2 | % | 8.4 | % | - | (1 | ) | ||||||||||||||||||||||||||||||
IO 30yr 5.0 | 1,939 | 395 | 0.01 | % | 20.35 | 5.00 | % | 5.36 | % | 160 | 188 | 17.0 | % | 12.7 | % | (1 | ) | - | ||||||||||||||||||||||||||||||
IO Total | 100,443 | 18,179 | 0.51 | % | 18.10 | 4.01 | % | 4.60 | % | 116 | 224 | 6.1 | % | 5.9 | % | (116 | ) | 65 | ||||||||||||||||||||||||||||||
IIO 30yr 4.0 | 27,986 | 240 | 0.01 | % | 0.86 | 0.00 | % | 4.40 | % | 73 | 276 | 7.3 | % | 6.3 | % | 79 | (64 | ) | ||||||||||||||||||||||||||||||
Total Structured RMBS | 128,429 | 18,419 | 0.52 | % | 14.34 | 3.13 | % | 4.55 | % | 107 | 236 | 6.3 | % | 6.0 | % | (37 | ) | 1 | ||||||||||||||||||||||||||||||
Total Mortgage Assets | $ | 4,155,822 | $ | 3,573,434 | 100.00 | % | 4.25 | % | 5.00 | % | 23 | 333 | 6.6 | % | 6.5 | % | $ | 94,742 | $ | (98,676 | ) | |||||||||||||||||||||||||||
Average | Hedge | Modeled Interest | |||||||||||
Notional | Period | Rate Sensitivity (1) | |||||||||||
Hedge | Balance | End | (-50 BPS) | (+50 BPS) | |||||||||
5-Year Treasury Future(2) | $ | (471,500 | ) | Dec-23 | $ | (9,373 | ) | $ | 9,227 | ||||
10-Year Treasury Future(3) | (395,000 | ) | Dec-23 | (12,310 | ) | 11,887 | |||||||
Swaps | (2,326,500 | ) | Nov-29 | (56,384 | ) | 54,345 | |||||||
TBA | (620,700 | ) | Nov-23 | (17,083 | ) | 17,376 | |||||||
Swaptions | (800,000 | ) | Nov-24 | (1,135 | ) | 1,940 | |||||||
Hedge Total | $ | (4,613,700 | ) | $ | (96,285 | ) | $ | 94,775 | |||||
Rate Shock Grand Total | $ | (1,543 | ) | $ | (3,901 | ) | |||||||
(1) | Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR 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 $104.48 at October 31, 2023. The market value of the short position was $492.6 million. |
(3) | Ten-year Treasury futures contracts were valued at prices of $106.17 at October 31, 2023. The market value of the short position was $419.4 million. |
RMBS Assets by Agency | ||||||||
($ in thousands) | ||||||||
Percentage | ||||||||
Fair | of | |||||||
Asset Category | Value | Portfolio | ||||||
As of October 31, 2023 | ||||||||
Fannie Mae | $ | 2,468,333 | 69.1 | % | ||||
Freddie Mac | 1,105,101 | 30.9 | % | |||||
Total Mortgage Assets | $ | 3,573,434 | 100.0 | % | ||||
Investment Company Act of 1940 Whole Pool Test | ||||||||
($ in thousands) | ||||||||
Percentage | ||||||||
Fair | of | |||||||
Asset Category | Value | Portfolio | ||||||
As of October 31, 2023 | ||||||||
Non-Whole Pool Assets | $ | 135,892 | 3.8 | % | ||||
Whole Pool Assets | 3,437,542 | 96.2 | % | |||||
Total Mortgage Assets | $ | 3,573,434 | 100.0 | % | ||||
Borrowings By Counterparty | |||||||||||||||||
($ in thousands) | |||||||||||||||||
Weighted | Weighted | ||||||||||||||||
% of | Average | Average | |||||||||||||||
Total | Total | Repo | Maturity | Longest | |||||||||||||
As of October 31, 2023 | Borrowings | Debt | Rate | in Days | Maturity | ||||||||||||
ASL Capital Markets Inc. | $ | 303,835 | 8.6 | % | 5.50% | 19 | 11/29/2023 | ||||||||||
Cantor Fitzgerald & Co | 299,252 | 8.5 | % | 5.49% | 14 | 11/15/2023 | |||||||||||
RBC Capital Markets, LLC | 292,850 | 8.3 | % | 5.52% | 15 | 11/17/2023 | |||||||||||
Citigroup Global Markets Inc | 276,905 | 7.9 | % | 5.48% | 24 | 11/24/2023 | |||||||||||
Mitsubishi UFJ Securities (USA), Inc | 271,394 | 7.7 | % | 5.52% | 32 | 12/11/2023 | |||||||||||
J.P. Morgan Securities LLC | 250,614 | 7.1 | % | 5.50% | 16 | 11/16/2023 | |||||||||||
Wells Fargo Bank, N.A. | 216,080 | 6.1 | % | 5.49% | 16 | 11/27/2023 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith | 196,299 | 5.6 | % | 5.53% | 15 | 11/24/2023 | |||||||||||
Mirae Asset Securities (USA) Inc. | 190,585 | 5.4 | % | 5.50% | 24 | 12/22/2023 | |||||||||||
Daiwa Securities America Inc. | 168,461 | 4.8 | % | 5.49% | 17 | 11/17/2023 | |||||||||||
StoneX Financial Inc. | 167,366 | 4.8 | % | 5.54% | 32 | 12/14/2023 | |||||||||||
Goldman, Sachs & Co | 154,345 | 4.4 | % | 5.51% | 17 | 11/27/2023 | |||||||||||
ING Financial Markets LLC | 150,208 | 4.3 | % | 5.48% | 2 | 11/2/2023 | |||||||||||
Banco Santander SA | 148,647 | 4.2 | % | 5.50% | 20 | 11/24/2023 | |||||||||||
ABN AMRO Bank N.V. | 135,649 | 3.9 | % | 5.52% | 14 | 11/14/2023 | |||||||||||
Marex Capital Markets Inc. | 107,196 | 3.0 | % | 5.48% | 7 | 11/13/2023 | |||||||||||
Bank of Montreal | 90,664 | 2.6 | % | 5.50% | 13 | 11/13/2023 | |||||||||||
South Street Securities, LLC | 77,600 | 2.2 | % | 5.51% | 29 | 11/29/2023 | |||||||||||
Lucid Cash Fund USG LLC | 9,493 | 0.3 | % | 5.50% | 16 | 11/16/2023 | |||||||||||
Lucid Prime Fund, LLC | 7,970 | 0.2 | % | 5.50% | 16 | 11/16/2023 | |||||||||||
DV Securities, LLC Repo | 347 | 0.0 | % | 5.49% | 30 | 11/30/2023 | |||||||||||
Total Borrowings | $ | 3,515,760 | 100.0 | % | 5.50% | 19 | 12/22/2023 | ||||||||||
View source version on businesswire.com: https://www.businesswire.com/news/home/20231115083643/en/
Contacts
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
