• November 2022 Monthly Dividend of $0.16 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of October 31, 2022
  • Next Dividend Announcement Expected December 13, 2022

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 2022. The dividend of $0.16 per share will be paid December 28, 2022 to holders of record of the Company’s common stock on November 30, 2022, with an ex-dividend date of November 29, 2022. The Company plans on announcing its next common stock dividend on December 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 November 9, 2022 and October 31, 2022, the Company had 33,422,207 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Oct 2022

Aug - Oct

 

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 Nov)

in Nov)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

$

405

$

390

0.01%

$

96.25

4.00%

4.54%

54

125

0.8%

0.7%

$

7

$

(7)

15yr Total

 

405

 

390

0.01%

 

96.25

4.00%

4.54%

54

125

0.8%

0.7%

 

7

 

(7)

30yr 3.0

 

2,584,539

 

2,213,102

71.79%

 

85.63

3.00%

3.44%

18

338

4.9%

5.4%

 

70,275

 

(72,234)

30yr 3.5

 

217,939

 

194,697

6.32%

 

89.34

3.50%

4.03%

32

319

5.4%

7.4%

 

5,347

 

(5,469)

30yr 4.0

 

275,109

 

251,726

8.17%

 

91.50

4.00%

4.72%

16

342

7.1%

7.4%

 

6,265

 

(6,710)

30yr 4.5

 

370,457

 

348,462

11.30%

 

94.06

4.50%

5.45%

4

356

1.2%

n/a

 

7,203

 

(7,963)

30yr 5.0

 

54,638

 

52,785

1.71%

 

96.61

5.00%

5.92%

4

356

0.1%

4.9%

 

934

 

(1,065)

30yr Total

 

3,502,682

 

3,060,772

99.29%

 

87.38

3.30%

3.83%

17

340

4.7%

5.7%

 

90,024

 

(93,441)

Total Pass Through RMBS

 

3,503,087

 

3,061,162

99.30%

 

87.38

3.30%

3.83%

17

340

4.7%

5.7%

 

90,031

 

(93,448)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

11,124

 

1,293

0.04%

 

11.62

4.00%

4.57%

130

103

7.9%

10.9%

 

6

 

(7)

IO 30yr 3.0

 

3,242

 

403

0.01%

 

12.42

3.00%

3.64%

93

257

0.8%

17.3%

 

(1)

 

-

IO 30yr 4.0

 

93,045

 

18,112

0.59%

 

19.47

4.00%

4.60%

98

253

5.8%

8.7%

 

(422)

 

307

IO 30yr 4.5

 

4,004

 

767

0.02%

 

19.15

4.50%

4.99%

148

199

6.6%

9.7%

 

(8)

 

4

IO 30yr 5.0

 

2,232

 

461

0.01%

 

20.64

5.00%

5.36%

148

200

4.8%

2.9%

 

(8)

 

6

IO Total

 

113,647

 

21,036

0.68%

 

18.51

4.01%

4.60%

104

235

5.9%

9.1%

 

(433)

 

310

IIO 30yr 4.0

 

32,399

 

454

0.01%

 

1.40

1.01%

4.40%

61

288

1.9%

9.2%

 

118

 

(99)

Total Structured RMBS

 

146,046

 

21,490

0.70%

 

14.71

3.34%

4.55%

95

247

5.0%

9.1%

 

(315)

 

211

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

3,649,133

$

3,082,652

100.00%

 

 

0.00%

0.00%

-

-

0.0%

0.0%

$

89,716

$

(93,237)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(750,500)

 

Dec-2022

 

 

 

 

 

 

 

 

 

$

(17,228)

$

16,777

10-Year Treasury Ultra(3)

 

(174,500)

 

Dec-2022

 

 

 

 

 

 

 

 

 

 

(10,037)

 

8,880

Swaps

 

(1,400,000)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

(32,381)

 

31,321

TBA

 

(675,000)

 

Nov-2022

 

 

 

 

 

 

 

 

 

 

(18,570)

 

19,335

Swaptions

 

(613,000)

 

Jan-2024

 

 

 

 

 

 

 

 

 

 

(10,424)

 

10,520

Hedge Total

$

(3,613,000)

 

 

 

 

 

 

 

 

 

 

 

$

(88,640)

$

86,833

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,076

$

(6,404)

(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 $106.59 at October 31, 2022. The market value of the short position was $800.0 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $115.98 at October 31, 2022. The market value of the short position was $202.4 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 October 31, 2022

 

 

 

 

As of October 31, 2022

 

 

 

Fannie Mae

$

2,168,149

70.3%

 

Non-Whole Pool Assets

$

108,419

3.5%

Freddie Mac

 

914,502

29.7%

 

Whole Pool Assets

 

2,974,232

96.5%

Total Mortgage Assets

$

3,082,651

100.0%

 

Total Mortgage Assets

$

3,082,651

100.0%

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of October 31, 2022

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Daiwa Capital Markets America Inc.

$

299,275

 

10.1%

 

3.28%

8

11/14/2022

Mirae Asset Securities (USA) Inc.

 

282,056

 

9.5%

 

3.26%

31

1/30/2023

Merrill Lynch, Pierce, Fenner & Smith

 

276,667

 

9.3%

 

3.33%

8

11/28/2022

Cantor Fitzgerald & Co

 

234,245

 

7.9%

 

3.04%

5

11/16/2022

J.P. Morgan Securities LLC

 

211,828

 

7.1%

 

3.45%

11

11/23/2022

ABN AMRO Bank N.V.

 

194,818

 

6.5%

 

2.89%

13

11/15/2022

ED&F Man Capital Markets Inc

 

190,418

 

6.4%

 

3.33%

20

12/19/2022

Mitsubishi UFJ Securities (USA), Inc

 

179,723

 

6.0%

 

3.39%

19

11/30/2022

RBC Capital Markets, LLC

 

163,728

 

5.5%

 

3.27%

7

11/14/2022

ING Financial Markets LLC

 

149,958

 

5.0%

 

3.14%

3

11/3/2022

Goldman, Sachs & Co.

 

126,280

 

4.2%

 

3.33%

17

11/23/2022

Santander Bank, N.A.

 

113,142

 

3.8%

 

3.69%

24

11/28/2022

Citigroup Global Markets Inc

 

102,839

 

3.4%

 

3.43%

14

11/23/2022

Wells Fargo Bank, N.A.

 

100,591

 

3.4%

 

2.96%

11

11/14/2022

Nomura Securities International, Inc.

 

90,100

 

3.0%

 

3.14%

14

11/14/2022

BMO Capital Markets Corp.

 

74,900

 

2.5%

 

3.71%

23

11/23/2022

StoneX Financial Inc.

 

72,310

 

2.4%

 

3.14%

4

11/4/2022

ASL Capital Markets Inc.

 

62,041

 

2.1%

 

3.55%

21

11/21/2022

South Street Securities, LLC

 

35,829

 

1.2%

 

3.56%

18

11/18/2022

Lucid Cash Fund USG, LLC

 

21,069

 

0.7%

 

3.34%

10

11/10/2022

Total Borrowings

$

2,981,817

 

100.0%

 

3.28%

14

1/30/2023

 

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

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