Orchid Island Capital Announces February 2023 Monthly Dividend and January 31, 2023 RMBS Portfolio Characteristics
February 15 2023 - 5:18PM
Business Wire
- February 2023 Monthly Dividend of $0.16 Per Share of Common
Stock
- RMBS Portfolio Characteristics as of January 31, 2023
- Next Dividend Announcement Expected March 9, 2023
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 February 2023. The
dividend of $0.16 per share will be paid March 29, 2023 to holders
of record of the Company’s common stock on February 28, 2023, with
an ex-dividend date of February 27, 2023. The Company plans on
announcing its next common stock dividend on March 9, 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 February 15, 2023 and January 31, 2023, the Company had
39,081,942 shares of common stock outstanding. As of December 31,
2022, the Company had 36,764,983 shares of common stock
outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of January 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, 2021.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Jan-23
Nov 2022 - Jan
Modeled
Modeled
Net
Weighted
CPR
2023 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 Feb)
in Feb)
(-50 BPS)(1)
(+50 BPS)(1)
Pass
Through RMBS
15yr 4.0
$
397
$
397
0.01
%
$
100.08
4.00
%
4.54
%
57
122
0.8
%
0.8
%
$
7
$
(7
)
15yr Total
397
397
0.01
%
100.08
4.00
%
4.54
%
57
122
0.8
%
0.8
%
7
(7
)
30yr 3.0
2,539,134
2,321,005
58.64
%
91.41
3.00
%
3.44
%
21
335
3.4
%
4.3
%
72,304
(74,304
)
30yr 3.5
212,608
203,395
5.14
%
95.67
3.50
%
4.03
%
35
316
5.5
%
7.3
%
5,487
(5,605
)
30yr 4.0
473,294
458,223
11.58
%
96.82
4.00
%
4.76
%
13
345
1.3
%
5.2
%
10,453
(11,575
)
30yr 4.5
366,453
362,741
9.16
%
98.99
4.50
%
5.45
%
7
353
2.7
%
3.4
%
5,723
(6,938
)
30yr 5.0
588,450
593,111
14.98
%
100.79
5.00
%
5.93
%
5
355
4.7
%
5.3
%
8,027
(9,944
)
30yr Total
4,179,939
3,938,475
99.50
%
94.22
3.55
%
4.14
%
17
340
3.4
%
4.5
%
101,995
(108,367
)
Total Pass Through RMBS
4,180,336
3,938,872
99.51
%
94.22
3.55
%
4.14
%
17
340
3.4
%
4.5
%
102,001
(108,373
)
Structured RMBS
IO 20yr 4.0
10,588
1,195
0.03
%
11.29
4.00
%
4.57
%
133
100
10.6
%
10.3
%
2
(3
)
IO 30yr 3.0
3,126
384
0.01
%
12.27
3.00
%
3.64
%
96
254
0.5
%
10.8
%
(5
)
4
IO 30yr 4.0
90,480
16,284
0.41
%
18.00
4.00
%
4.60
%
101
250
3.4
%
5.2
%
(678
)
507
IO 30yr 4.5
3,894
725
0.02
%
18.61
4.50
%
4.99
%
151
195
6.3
%
6.1
%
(16
)
11
IO 30yr 5.0
2,179
426
0.01
%
19.58
5.00
%
5.36
%
151
197
3.3
%
5.2
%
(15
)
12
IO Total
110,267
19,014
0.48
%
17.24
4.01
%
4.60
%
107
233
4.1
%
5.9
%
(713
)
530
IIO 30yr 4.0
31,289
430
0.01
%
1.37
0.00
%
4.40
%
64
285
8.7
%
6.2
%
103
(92
)
Total Structured RMBS
141,556
19,444
0.49
%
13.74
3.12
%
4.55
%
98
244
5.1
%
6.0
%
(610
)
438
Total Mortgage Assets
$
4,321,892
$
3,958,316
100.00
%
3.54
%
4.16
%
20
336
3.5
%
4.6
%
$
101,391
$
(107,935
)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)(1)
(+50 BPS)(1)
5-Year Treasury Future(2)
$
(865,500
)
Mar-23
$
(19,132
)
$
17,498
10-Year Treasury Ultra(3)
(244,500
)
Mar-23
(11,815
)
11,700
Swaps
(1,400,000
)
Jul-28
(32,323
)
31,294
TBA
(875,000
)
Feb-23
(23,441
)
25,039
Swaptions
(753,000
)
Oct-24
(6,129
)
8,744
Hedge Total
$
(4,138,000
)
$
(92,840
)
$
94,275
Rate Shock Grand Total
$
8,551
$
(13,660
)
(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 $109.24 at January 31, 2023. The market value
of the short position was $945.5 million.
(3)
Ten-year Treasury Ultra futures contracts
were valued at prices of $121.2 at January 31, 2023. The market
value of the short position was $296.3 million.
RMBS Assets by Agency
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of January 31, 2023
Fannie Mae
$
2,565,504
64.8
%
Freddie Mac
1,392,812
35.2
%
Total Mortgage Assets
$
3,958,316
100.0
%
Investment Company Act of 1940 Whole
Pool Test
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of January 31, 2023
Non-Whole Pool Assets
$
158,182
4.0
%
Whole Pool Assets
3,800,134
96.0
%
Total Mortgage Assets
$
3,958,316
100.0
%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of January 31, 2023
Borrowings
Debt
Rate
in Days
Maturity
Mirae Asset Securities (USA) Inc.
$
319,242
9.4
%
4.58
%
73
6/22/2023
RBC Capital Markets, LLC
274,020
8.1
%
4.62
%
31
3/16/2023
Daiwa Capital Markets America Inc.
255,732
7.5
%
4.76
%
76
4/17/2023
Marex Capital Markets Inc.
239,483
7.0
%
4.70
%
55
4/28/2023
ING Financial Markets LLC
238,212
7.0
%
4.47
%
2
2/2/2023
ABN AMRO Bank N.V.
229,463
6.7
%
4.62
%
41
3/13/2023
Cantor Fitzgerald & Co
228,427
6.7
%
4.48
%
4
2/13/2023
J.P. Morgan Securities LLC
218,941
6.4
%
4.77
%
65
4/11/2023
Merrill Lynch, Pierce, Fenner &
Smith
192,705
5.7
%
4.68
%
38
4/28/2023
Citigroup Global Markets Inc
193,510
5.7
%
4.54
%
8
2/22/2023
StoneX Financial Inc.
184,165
5.4
%
4.49
%
7
2/10/2023
Mitsubishi UFJ Securities (USA), Inc
179,834
5.3
%
4.68
%
51
5/1/2023
ASL Capital Markets Inc.
167,186
4.9
%
4.58
%
26
3/20/2023
Goldman, Sachs & Co.
126,954
3.7
%
4.57
%
16
2/23/2023
Santander Bank, N.A.
118,940
3.5
%
4.69
%
43
4/27/2023
Wells Fargo Bank, N.A.
94,878
2.8
%
4.54
%
13
2/13/2023
BMO Capital Markets Corp.
80,056
2.4
%
4.68
%
49
3/21/2023
South Street Securities, LLC
37,991
1.1
%
4.57
%
17
2/17/2023
Lucid Cash Fund USG, LLC
18,782
0.6
%
4.55
%
9
2/9/2023
Lucid Prime Fund, LLC
2,790
0.1
%
4.55
%
9
2/9/2023
Total Borrowings
$
3,401,311
100.0
%
4.61
%
37
6/22/2023
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version on businesswire.com: https://www.businesswire.com/news/home/20230215005533/en/
Orchid Island Capital, Inc. Robert E. Cauley (772) 231-1400
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