ORC Orchid Island Capital Inc

• July 2023 Monthly Dividend of $0.16 Per Share of Common Stock
• Estimated Book Value Per Share as of June 30, 2023 of $11.16
• Estimated GAAP net income of $0.25 per share for the quarter ended June 30, 2023, including an estimated $0.59 per share of net realized and unrealized gains on RMBS and derivative instruments
• Estimated 0.8% total return on equity for the quarter
• Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
• RMBS Portfolio Characteristics as of June 30, 2023
• Next Dividend Announcement Expected August 16, 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 July 2023. The dividend of $0.16 per share will be paid August 29, 2023 to holders of record of the Company’s common stock on July 31, 2023, with an ex-dividend date of July 28, 2023. The Company plans on announcing its next common stock dividend on August 16, 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 July 12, 2023 and June 30, 2023 the Company had 43,896,709 shares of common stock outstanding. As of March 31, 2023, the Company had 39,085,756 shares of common stock outstanding.

Estimated June 30, 2023 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2023 was $11.16. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2023, the Company's preliminary estimated total stockholders' equity was approximately $490.1 million with 43,896,709 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net income per share of $0.25, which includes $0.59 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended June 30, 2023. These amounts compare to total dividends declared during the quarter of $0.48 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended June 30, 2023 was 0.8%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $0.09 per share, comprised of dividends per share of $0.48 and a decrease in book value per share of $0.39 from March 31, 2023.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 2023 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended June 30, 2023, are subject to review by the Company's independent registered public accounting firm:

• 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

 

 

Apr 23 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jun-23

 

 

Jun-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 July)

 

 

in July)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

 

$

383

 

 

$

371

 

 

 

0.01

%

 

$

96.93

 

 

 

4.00

%

 

 

4.54

%

 

 

62

 

 

 

117

 

 

 

0.9

%

 

 

0.8

%

 

$

6

 

 

$

(6

)

15yr 5.0 TBA

 

 

100,000

 

 

 

99,352

 

 

 

2.22

%

 

 

99.35

 

 

 

5.00

%

 

 

5.67

%

 

 

9

 

 

 

169

 

 

 

0.0

%

 

 

0.0

%

 

 

1,266

 

 

 

(1,419

)

15yr Total

 

 

100,383

 

 

 

99,723

 

 

 

2.23

%

 

 

99.34

 

 

 

5.00

%

 

 

5.66

%

 

 

9

 

 

 

169

 

 

 

0.9

%

 

 

0.8

%

 

 

1,272

 

 

 

(1,425

)

30yr 3.0

 

 

2,474,334

 

 

 

2,194,008

 

 

 

49.05

%

 

 

88.67

 

 

 

3.00

%

 

 

3.44

%

 

 

26

 

 

 

330

 

 

 

6.0

%

 

 

5.0

%

 

 

70,753

 

 

 

(71,872

)

30yr 3.5

 

 

203,929

 

 

 

189,423

 

 

 

4.23

%

 

 

92.89

 

 

 

3.50

%

 

 

4.03

%

 

 

40

 

 

 

310

 

 

 

7.0

%

 

 

8.0

%

 

 

5,284

 

 

 

(5,332

)

30yr 4.0

 

 

580,703

 

 

 

546,482

 

 

 

12.22

%

 

 

94.11

 

 

 

4.00

%

 

 

4.78

%

 

 

17

 

 

 

341

 

 

 

5.7

%

 

 

6.4

%

 

 

13,595

 

 

 

(14,616

)

30yr 4.5

 

 

356,032

 

 

 

342,890

 

 

 

7.67

%

 

 

96.31

 

 

 

4.50

%

 

 

5.45

%

 

 

12

 

 

 

347

 

 

 

6.8

%

 

 

7.2

%

 

 

6,470

 

 

 

(7,402

)

30yr 5.0

 

 

573,059

 

 

 

563,183

 

 

 

12.59

%

 

 

98.28

 

 

 

5.00

%

 

 

5.93

%

 

 

10

 

 

 

349

 

 

 

6.0

%

 

 

4.8

%

 

 

9,658

 

 

 

(11,258

)

30yr 5.5

 

 

278,576

 

 

 

279,818

 

 

 

6.26

%

 

 

100.45

 

 

 

5.50

%

 

 

6.43

%

 

 

3

 

 

 

358

 

 

 

0.6

%

 

 

0.0

%

 

 

4,049

 

 

 

(4,838

)

30yr 6.0

 

 

236,617

 

 

 

240,028

 

 

 

5.37

%

 

 

101.44

 

 

 

6.00

%

 

 

7.01

%

 

 

4

 

 

 

354

 

 

 

11.3

%

 

 

0.0

%

 

 

2,662

 

 

 

(3,214

)

30yr Total

 

 

4,703,250

 

 

 

4,355,832

 

 

 

97.37

%

 

 

92.61

 

 

 

3.80

%

 

 

4.44

%

 

 

20

 

 

 

337

 

 

 

6.0

%

 

 

5.5

%

 

 

112,471

 

 

 

(118,532

)

Total Pass Through RMBS

 

 

4,803,633

 

 

 

4,455,555

 

 

 

99.60

%

 

 

92.75

 

 

 

3.83

%

 

 

4.47

%

 

 

20

 

 

 

333

 

 

 

6.0

%

 

 

5.5

%

 

 

113,742

 

 

 

(119,957

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

9,678

 

 

 

1,008

 

 

 

0.02

%

 

 

10.41

 

 

 

4.00

%

 

 

4.57

%

 

 

138

 

 

 

95

 

 

 

9.9

%

 

 

9.8

%

 

 

6

 

 

 

(6

)

IO 30yr 3.0

 

 

3,076

 

 

 

417

 

 

 

0.01

%

 

 

13.55

 

 

 

3.00

%

 

 

3.64

%

 

 

101

 

 

 

248

 

 

 

19.2

%

 

 

7.4

%

 

 

1

 

 

 

(2

)

IO 30yr 4.0

 

 

86,365

 

 

 

14,923

 

 

 

0.33

%

 

 

17.28

 

 

 

4.00

%

 

 

4.60

%

 

 

106

 

 

 

245

 

 

 

8.0

%

 

 

8.4

%

 

 

(327

)

 

 

230

 

IO 30yr 4.5

 

 

3,708

 

 

 

689

 

 

 

0.02

%

 

 

18.58

 

 

 

4.50

%

 

 

4.99

%

 

 

156

 

 

 

190

 

 

 

10.8

%

 

 

8.1

%

 

 

(6

)

 

 

3

 

IO 30yr 5.0

 

 

2,020

 

 

 

411

 

 

 

0.01

%

 

 

20.36

 

 

 

5.00

%

 

 

5.36

%

 

 

156

 

 

 

192

 

 

 

1.0

%

 

 

11.7

%

 

 

(8

)

 

 

5

 

IO Total

 

 

104,847

 

 

 

17,448

 

 

 

0.39

%

 

 

16.64

 

 

 

4.01

%

 

 

4.60

%

 

 

112

 

 

 

228

 

 

 

8.4

%

 

 

8.6

%

 

 

(335

)

 

 

230

 

IIO 30yr 4.0

 

 

29,301

 

 

 

321

 

 

 

0.01

%

 

 

1.09

 

 

 

0.00

%

 

 

4.40

%

 

 

69

 

 

 

280

 

 

 

0.4

%

 

 

1.4

%

 

 

82

 

 

 

(71

)

Total Structured RMBS

 

 

134,148

 

 

 

17,769

 

 

 

0.40

%

 

 

13.25

 

 

 

3.13

%

 

 

4.55

%

 

 

103

 

 

 

240

 

 

 

6.7

%

 

 

7.0

%

 

 

(253

)

 

 

159

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,937,781

 

 

$

4,473,324

 

 

 

100.00

%

 

 

 

 

 

 

3.81

%

 

 

4.47

%

 

 

22

 

 

 

331

 

 

 

6.1

%

 

 

5.6

%

 

$

113,489

 

 

$

(119,798

)

 

 

Average

 

Hedge

 

Modeled Interest

 

 

 

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

 

5-Year Treasury Future(2)

 

$

(471,500

)

Sep-23

 

$

(9,706

)

 

$

9,484

 

10-Year Treasury Future(3)

 

 

(285,000

)

Sep-23

 

 

(9,380

)

 

 

9,155

 

10-Year Ultra Treasury Future(4)

 

 

(244,200

)

Sep-23

 

 

(11,679

)

 

 

11,136

 

Swaps

 

 

(2,151,500

)

Jul-29

 

 

(53,567

)

 

 

51,602

 

TBA

 

 

(350,000

)

Aug-23

 

 

(9,852

)

 

 

10,195

 

Swaptions

 

 

(533,000

)

Aug-24

 

 

(4,936

)

 

 

8,791

 

Hedge Total

 

$

(4,035,200

)

 

 

$

(99,120

)

 

$

100,363

 

Rate Shock Grand Total

 

 

 

 

 

 

$

14,369

 

 

$

(19,435

)

(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 $107.09 at June 30, 2023. The market value of the short position was $504.9 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $112.27 at June 30, 2023. The market value of the short position was $319.9 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $118.44 at June 30, 2023. The market value of the short position was $289.2 million.   RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of June 30, 2023

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,996,935

 

 

 

67.0

%

Freddie Mac

 

 

1,476,389

 

 

 

33.0

%

Total Mortgage Assets

 

$

4,473,324

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of June 30, 2023

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

148,076

 

 

 

3.3

%

Whole Pool Assets

 

 

4,325,248

 

 

 

96.7

%

Total Mortgage Assets

 

$

4,473,324

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of June 30, 2023

 

Borrowings

 

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

J.P. Morgan Securities LLC

 

$

337,627

 

 

 

 

8.0

%

 

 

5.32

%

 

 

13

 

7/24/2023

ASL Capital Markets Inc.

 

 

336,720

 

 

 

 

8.0

%

 

 

5.27

%

 

 

41

 

9/29/2023

Mitsubishi UFJ Securities (USA), Inc

 

 

331,790

 

 

 

 

7.9

%

 

 

5.26

%

 

 

19

 

7/27/2023

Wells Fargo Bank, N.A.

 

 

328,470

 

 

 

 

7.8

%

 

 

5.28

%

 

 

15

 

7/28/2023

RBC Capital Markets, LLC

 

 

315,578

 

 

 

 

7.5

%

 

 

5.19

%

 

 

15

 

7/17/2023

Citigroup Global Markets Inc

 

 

308,384

 

 

 

 

7.3

%

 

 

5.24

%

 

 

28

 

7/31/2023

Mirae Asset Securities (USA) Inc.

 

 

301,508

 

 

 

 

7.2

%

 

 

5.24

%

 

 

78

 

12/22/2023

Daiwa Securities America Inc.

 

 

241,338

 

 

 

 

5.7

%

 

 

5.22

%

 

 

17

 

7/17/2023

Marex Capital Markets Inc.

 

 

229,138

 

 

 

 

5.5

%

 

 

5.29

%

 

 

11

 

7/27/2023

ING Financial Markets LLC

 

 

225,570

 

 

 

 

5.4

%

 

 

5.24

%

 

 

27

 

7/27/2023

ABN AMRO Bank N.V.

 

 

218,376

 

 

 

 

5.2

%

 

 

5.30

%

 

 

13

 

7/13/2023

Cantor Fitzgerald & Co

 

 

217,196

 

 

 

 

5.2

%

 

 

5.25

%

 

 

17

 

7/17/2023

Merrill Lynch, Pierce, Fenner & Smith

 

 

186,631

 

 

 

 

4.4

%

 

 

5.26

%

 

 

15

 

8/25/2023

StoneX Financial Inc.

 

 

174,967

 

 

 

 

4.2

%

 

 

5.26

%

 

 

13

 

7/17/2023

Goldman, Sachs & Co

 

 

122,836

 

 

 

 

2.9

%

 

 

5.30

%

 

 

11

 

7/24/2023

South Street Securities, LLC

 

 

117,859

 

 

 

 

2.8

%

 

 

5.36

%

 

 

88

 

9/29/2023

Banco Santander SA

 

 

113,119

 

 

 

 

2.7

%

 

 

5.22

%

 

 

24

 

7/24/2023

Bank of Montreal

 

 

74,325

 

 

 

 

1.8

%

 

 

5.25

%

 

 

17

 

7/17/2023

Lucid Cash Fund USG LLC

 

 

11,208

 

 

 

 

0.3

%

 

 

5.30

%

 

 

20

 

7/20/2023

Lucid Prime Fund, LLC

 

 

9,077

 

 

 

 

0.2

%

 

 

5.30

%

 

 

20

 

7/20/2023

Total Borrowings

 

$

4,201,717

 

 

 

 

100.0

%

 

 

5.26

%

 

 

25

 

12/22/2023

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20230712591391/en/

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