ORC Orchid Island Capital Inc

• 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

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/

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