Orchid Island Capital Announces September 2023 Monthly Dividend and August 31, 2023 RMBS Portfolio Characteristics
September 2023 Monthly Dividend of $0.16 Per Share of Common Stock
RMBS Portfolio Characteristics as of August 31, 2023
Next Dividend Announcement Expected October 11, 2023
VERO BEACH, Fla., September 11, 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 September 2023. The dividend of $0.16 per share will be paid October 27, 2023 to holders of record of the Company’s common stock on September 29, 2023, with an ex-dividend date of September 28, 2023. The Company plans on announcing its next common stock dividend on October 11, 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 September 11, 2023, the Company had 52,121,160 shares of common stock outstanding. As of August 31, 2023, the Company had 52,106,160 shares of common stock outstanding. As of June 30, 2023, the Company had 43,896,709 shares of common stock outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of August 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 | Jun 23 - | |||||||||||||||||||||||||||||||||||||||||||||||
Aug-23 | Aug-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 Sep) | in Sep) | (-50 BPS) | (+50 BPS) | ||||||||||||||||||||||||||||||||||||
Fixed Rate RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||
15yr 4.0 | $ | 377 | $ | 366 | 0.01 | % | $ | 97.09 | 4.00 | % | 4.54 | % | 64 | 114 | 0.8 | % | 0.8 | % | $ | 6 | $ | (6 | ) | |||||||||||||||||||||||||
15yr 5.0 TBA | 100,000 | 98,797 | 2.17 | % | 98.80 | 5.00 | % | 5.67 | % | 10 | 166 | n/a | n/a | 1,290 | (1,466 | ) | ||||||||||||||||||||||||||||||||
15yr Total | 100,377 | 99,163 | 2.18 | % | 98.79 | 5.00 | % | 5.66 | % | 10 | 166 | 0.8 | % | 0.8 | % | 1,296 | (1,472 | ) | ||||||||||||||||||||||||||||||
30yr 3.0 | 2,439,957 | 2,120,116 | 46.65 | % | 86.89 | 3.00 | % | 3.44 | % | 28 | 327 | 6.7 | % | 6.2 | % | 69,945 | (70,569 | ) | ||||||||||||||||||||||||||||||
30yr 3.5 | 200,480 | 182,750 | 4.02 | % | 91.16 | 3.50 | % | 4.04 | % | 42 | 308 | 4.7 | % | 6.6 | % | 5,231 | (5,273 | ) | ||||||||||||||||||||||||||||||
30yr 4.0 | 573,906 | 531,542 | 11.70 | % | 92.62 | 4.00 | % | 4.78 | % | 19 | 339 | 5.9 | % | 5.5 | % | 13,645 | (14,563 | ) | ||||||||||||||||||||||||||||||
30yr 4.5 | 351,118 | 333,748 | 7.34 | % | 95.05 | 4.50 | % | 5.45 | % | 14 | 345 | 7.5 | % | 6.9 | % | 6,879 | (7,541 | ) | ||||||||||||||||||||||||||||||
30yr 5.0 | 565,711 | 549,464 | 12.09 | % | 97.13 | 5.00 | % | 5.93 | % | 12 | 347 | 8.0 | % | 6.9 | % | 10,657 | (12,009 | ) | ||||||||||||||||||||||||||||||
30yr 5.5 | 276,535 | 274,660 | 6.04 | % | 99.32 | 5.50 | % | 6.42 | % | 5 | 355 | 3.1 | % | 3.2 | % | 4,560 | (5,398 | ) | ||||||||||||||||||||||||||||||
30yr 6.0 | 232,691 | 234,442 | 5.16 | % | 100.75 | 6.00 | % | 7.01 | % | 6 | 350 | 6.1 | % | 7.8 | % | 3,009 | (3,638 | ) | ||||||||||||||||||||||||||||||
30yr 6.5 | 196,037 | 199,884 | 4.40 | % | 101.96 | 6.50 | % | 7.40 | % | 2 | 358 | 12.3 | % | n/a | 2,068 | (2,585 | ) | |||||||||||||||||||||||||||||||
30yr Total | 4,836,435 | 4,426,606 | 97.41 | % | 91.53 | 3.91 | % | 4.56 | % | 21 | 335 | 6.7 | % | 6.2 | % | 115,994 | (121,576 | ) | ||||||||||||||||||||||||||||||
Total Pass Through RMBS | 4,936,812 | 4,525,769 | 99.59 | % | 91.67 | 3.93 | % | 4.58 | % | 21 | 332 | 6.7 | % | 6.2 | % | 117,290 | (123,049 | ) | ||||||||||||||||||||||||||||||
Structured RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||
IO 20yr 4.0 | 9,376 | 1,003 | 0.02 | % | 10.70 | 4.00 | % | 4.57 | % | 140 | 93 | 7.1 | % | 7.8 | % | 5 | (4 | ) | ||||||||||||||||||||||||||||||
IO 30yr 3.0 | 3,003 | 365 | 0.01 | % | 12.17 | 3.00 | % | 3.64 | % | 103 | 246 | 0.7 | % | 7.3 | % | (1 | ) | - | ||||||||||||||||||||||||||||||
IO 30yr 4.0 | 84,340 | 15,843 | 0.35 | % | 18.78 | 4.00 | % | 4.60 | % | 108 | 243 | 4.9 | % | 7.0 | % | (306 | ) | 232 | ||||||||||||||||||||||||||||||
IO 30yr 4.5 | 3,624 | 686 | 0.02 | % | 18.93 | 4.50 | % | 4.99 | % | 158 | 188 | 7.9 | % | 8.8 | % | (5 | ) | 3 | ||||||||||||||||||||||||||||||
IO 30yr 5.0 | 1,988 | 400 | 0.01 | % | 20.11 | 5.00 | % | 5.36 | % | 158 | 190 | 14.3 | % | 8.5 | % | (6 | ) | 4 | ||||||||||||||||||||||||||||||
IO Total | 102,331 | 18,297 | 0.40 | % | 17.88 | 4.01 | % | 4.60 | % | 114 | 226 | 5.2 | % | 7.2 | % | (313 | ) | 234 | ||||||||||||||||||||||||||||||
IIO 30yr 4.0 | 28,890 | 313 | 0.01 | % | 1.08 | 0.00 | % | 4.40 | % | 71 | 278 | 0.6 | % | 0.5 | % | 82 | (70 | ) | ||||||||||||||||||||||||||||||
Total Structured RMBS | 131,221 | 18,610 | 0.41 | % | 14.18 | 3.13 | % | 4.55 | % | 104 | 238 | 4.2 | % | 5.7 | % | (231 | ) | 164 | ||||||||||||||||||||||||||||||
Total Mortgage Assets | $ | 5,068,033 | $ | 4,544,379 | 100.00 | % | 3.91 | % | 4.58 | % | 23 | 329 | 6.7 | % | 6.2 | % | $ | 117,059 | $ | (122,885 | ) | |||||||||||||||||||||||||||
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 | $ | (9,668 | ) | $ | 9,445 | ||||
10-Year Treasury Future(3) | (395,000 | ) | Dec-23 | (12,829 | ) | 12,454 | |||||||
10-Year Ultra Treasury Future(4) | (244,200 | ) | Dec-23 | (11,464 | ) | 10,920 | |||||||
Swaps | (2,326,500 | ) | Nov-29 | (59,796 | ) | 57,565 | |||||||
TBA | (350,000 | ) | Sep-23 | (9,694 | ) | 9,969 | |||||||
Swaptions | (1,000,000 | ) | Dec-24 | (1,822 | ) | 2,541 | |||||||
Hedge Total | $ | (4,787,200 | ) | $ | (105,273 | ) | $ | 102,894 | |||||
Rate Shock Grand Total | $ | 11,786 | $ | (19,991 | ) | ||||||||
(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 $106.92 at August 31, 2023. The market value of the short position was $504.1 million. |
(3) | Ten-year Treasury futures contracts were valued at prices of $111.03 at August 31, 2023. The market value of the short position was $438.6 million. |
(4) | Ten-year Treasury Ultra futures contracts were valued at prices of $116.11 at August 31, 2023. The market value of the short position was $283.5 million. |
RMBS Assets by Agency | ||||||||
($ in thousands) | ||||||||
Percentage | ||||||||
Fair | of | |||||||
Asset Category | Value | Portfolio | ||||||
As of August 31, 2023 | ||||||||
Fannie Mae | $ | 3,018,946 | 66.4 | % | ||||
Freddie Mac | 1,525,433 | 33.6 | % | |||||
Total Mortgage Assets | $ | 4,544,379 | 100.0 | % | ||||
Investment Company Act of 1940 Whole Pool Test | ||||||||
($ in thousands) | ||||||||
Percentage | ||||||||
Fair | of | |||||||
Asset Category | Value | Portfolio | ||||||
As of August 31, 2023 | ||||||||
Non-Whole Pool Assets | $ | 145,213 | 3.2 | % | ||||
Whole Pool Assets | 4,399,166 | 96.8 | % | |||||
Total Mortgage Assets | $ | 4,544,379 | 100.0 | % | ||||
Borrowings By Counterparty | |||||||||||||||
($ in thousands) | |||||||||||||||
Weighted | Weighted | ||||||||||||||
% of | Average | Average | |||||||||||||
Total | Total | Repo | Maturity | Longest | |||||||||||
As of August 31, 2023 | Borrowings | Debt | Rate | in Days | Maturity | ||||||||||
Wells Fargo Bank, N.A. | $ | 361,504 | 8.5 | % | 5.48% | 41 | 11/7/2023 | ||||||||
Mirae Asset Securities (USA) Inc. | 340,871 | 8.0 | % | 5.43% | 28 | 12/22/2023 | |||||||||
ASL Capital Markets Inc. | 328,989 | 7.7 | % | 5.41% | 19 | 9/29/2023 | |||||||||
J.P. Morgan Securities LLC | 328,646 | 7.7 | % | 5.44% | 14 | 9/14/2023 | |||||||||
Mitsubishi UFJ Securities (USA), Inc | 322,769 | 7.6 | % | 5.45% | 23 | 10/20/2023 | |||||||||
RBC Capital Markets, LLC | 298,148 | 7.0 | % | 5.44% | 16 | 9/18/2023 | |||||||||
Citigroup Global Markets Inc | 297,293 | 7.0 | % | 5.45% | 29 | 10/2/2023 | |||||||||
Daiwa Securities America Inc. | 234,371 | 5.5 | % | 5.49% | 47 | 10/17/2023 | |||||||||
Marex Capital Markets Inc. | 225,680 | 5.3 | % | 5.43% | 31 | 10/5/2023 | |||||||||
ING Financial Markets LLC | 222,891 | 5.2 | % | 5.47% | 21 | 9/21/2023 | |||||||||
ABN AMRO Bank N.V. | 211,135 | 4.9 | % | 5.52% | 75 | 11/14/2023 | |||||||||
Cantor Fitzgerald & Co | 208,925 | 4.9 | % | 5.48% | 43 | 10/16/2023 | |||||||||
Banco Santander SA | 190,030 | 4.4 | % | 5.46% | 23 | 10/5/2023 | |||||||||
Merrill Lynch, Pierce, Fenner & Smith | 178,530 | 4.2 | % | 5.46% | 16 | 10/25/2023 | |||||||||
StoneX Financial Inc. | 171,605 | 4.0 | % | 5.43% | 13 | 9/15/2023 | |||||||||
Goldman, Sachs & Co | 141,554 | 3.3 | % | 5.44% | 14 | 9/25/2023 | |||||||||
South Street Securities, LLC | 117,859 | 2.8 | % | 5.36% | 26 | 9/29/2023 | |||||||||
Bank of Montreal | 71,113 | 1.7 | % | 5.46% | 18 | 9/18/2023 | |||||||||
Lucid Cash Fund USG LLC | 10,707 | 0.3 | % | 5.45% | 14 | 9/14/2023 | |||||||||
Lucid Prime Fund, LLC | 8,699 | 0.2 | % | 5.45% | 14 | 9/14/2023 | |||||||||
Total Borrowings | $ | 4,271,319 | 100.0 | % | 5.45% | 28 | 12/22/2023 | ||||||||
View source version on businesswire.com: https://www.businesswire.com/news/home/20230911009085/en/
Contacts
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
