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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

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