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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

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