ORC Orchid Island Capital Inc

• October 2023 Monthly Dividend of $0.12 Per Share of Common Stock
• Estimated Book Value Per Share as of September 30, 2023 of $8.92
• Estimated GAAP net loss of $1.68 per share for the quarter ended September 30, 2023, including an estimated $1.40 per share of net realized and unrealized losses on RMBS and derivative instruments
• Estimated (15.8)% 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 September 30, 2023
• Next Dividend Announcement Expected November 15, 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 October 2023. The dividend of $0.12 per share will be paid November 28, 2023 to holders of record of the Company’s common stock on October 31, 2023, with an ex-dividend date of October 30, 2023. The Company plans on announcing its next common stock dividend on November 15, 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 October 11, 2023 and September 30, 2023 the Company had 52,332,306 shares of common stock outstanding. As of June 30, 2023, the Company had 43,896,709 shares of common stock outstanding.

Estimated September 30, 2023 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2023 was $8.92. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2023, the Company's preliminary estimated total stockholders' equity was approximately $466.9 million with 52,332,306 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 Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $1.68, which includes $1.40 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2023. These amounts compare to total dividends declared during the quarter of $0.48 per share. Net loss 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 loss. 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 September 30, 2023 was (15.8)%. 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 $(1.76) per share, comprised of dividends per share of $0.48 and a decrease in book value per share of $2.24 from June 30, 2023.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 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 September 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

 

 

Jul-23 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sep-23

 

 

Sep-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 Oct)

 

 

in Oct)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

 

$

374

 

 

$

355

 

 

 

0.01

%

 

$

95.01

 

 

 

4.00

%

 

 

4.54

%

 

 

65

 

 

 

113

 

 

 

0.8

%

 

 

0.8

%

 

$

6

 

 

$

(6

)

15yr 5.0 TBA

 

 

100,000

 

 

 

97,387

 

 

 

2.11

%

 

 

97.39

 

 

 

5.00

%

 

 

5.78

%

 

 

5

 

 

 

172

 

 

 

n/a

 

 

 

n/a

 

 

 

1,467

 

 

 

(1,608

)

15yr Total

 

 

100,374

 

 

 

97,742

 

 

 

2.12

%

 

 

97.38

 

 

 

5.00

%

 

 

5.78

%

 

 

5

 

 

 

172

 

 

 

0.8

%

 

 

0.8

%

 

 

1,473

 

 

 

(1,614

)

30yr 3.0

 

 

2,421,227

 

 

 

2,019,909

 

 

 

43.74

%

 

 

83.43

 

 

 

3.00

%

 

 

3.44

%

 

 

29

 

 

 

326

 

 

 

5.4

%

 

 

6.0

%

 

 

67,796

 

 

 

(67,825

)

30yr 3.5

 

 

199,300

 

 

 

175,165

 

 

 

3.79

%

 

 

87.89

 

 

 

3.50

%

 

 

4.04

%

 

 

43

 

 

 

307

 

 

 

6.1

%

 

 

6.3

%

 

 

5,098

 

 

 

(5,128

)

30yr 4.0

 

 

569,907

 

 

 

509,542

 

 

 

11.03

%

 

 

89.41

 

 

 

4.00

%

 

 

4.78

%

 

 

20

 

 

 

338

 

 

 

3.7

%

 

 

4.9

%

 

 

14,065

 

 

 

(14,762

)

30yr 4.5

 

 

348,368

 

 

 

321,249

 

 

 

6.96

%

 

 

92.22

 

 

 

4.50

%

 

 

5.45

%

 

 

15

 

 

 

344

 

 

 

6.6

%

 

 

6.8

%

 

 

7,355

 

 

 

(7,946

)

30yr 5.0

 

 

560,993

 

 

 

530,416

 

 

 

11.49

%

 

 

94.55

 

 

 

5.00

%

 

 

5.93

%

 

 

13

 

 

 

345

 

 

 

7.0

%

 

 

7.3

%

 

 

11,758

 

 

 

(12,796

)

30yr 5.5

 

 

275,551

 

 

 

267,837

 

 

 

5.80

%

 

 

97.20

 

 

 

5.50

%

 

 

6.43

%

 

 

6

 

 

 

354

 

 

 

1.3

%

 

 

3.4

%

 

 

5,324

 

 

 

(5,918

)

30yr 6.0

 

 

331,922

 

 

 

328,697

 

 

 

7.12

%

 

 

99.03

 

 

 

6.00

%

 

 

7.00

%

 

 

6

 

 

 

351

 

 

 

13.1

%

 

 

8.0

%

 

 

5,184

 

 

 

(5,975

)

30yr 6.5

 

 

346,228

 

 

 

348,945

 

 

 

7.56

%

 

 

100.78

 

 

 

6.50

%

 

 

7.39

%

 

 

2

 

 

 

357

 

 

 

14.8

%

 

 

n/a

 

 

 

4,336

 

 

 

(5,215

)

30yr Total

 

 

5,053,496

 

 

 

4,501,760

 

 

 

97.49

%

 

 

89.08

 

 

 

4.03

%

 

 

4.69

%

 

 

21

 

 

 

335

 

 

 

6.4

%

 

 

6.0

%

 

 

120,916

 

 

 

(125,565

)

Total Pass Through RMBS

 

 

5,153,870

 

 

 

4,599,502

 

 

 

99.61

%

 

 

89.24

 

 

 

4.05

%

 

 

4.72

%

 

 

21

 

 

 

332

 

 

 

6.4

%

 

 

6.0

%

 

 

122,388

 

 

 

(127,181

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

9,233

 

 

 

953

 

 

 

0.02

%

 

 

10.32

 

 

 

4.00

%

 

 

4.57

%

 

 

141

 

 

 

92

 

 

 

8.7

%

 

 

7.4

%

 

 

4

 

 

 

(4

)

IO 30yr 3.0

 

 

2,994

 

 

 

394

 

 

 

0.01

%

 

 

13.18

 

 

 

3.00

%

 

 

3.64

%

 

 

104

 

 

 

245

 

 

 

0.8

%

 

 

0.7

%

 

 

-

 

 

 

(1

)

IO 30yr 4.0

 

 

83,645

 

 

 

15,358

 

 

 

0.33

%

 

 

18.36

 

 

 

4.00

%

 

 

4.60

%

 

 

109

 

 

 

242

 

 

 

5.9

%

 

 

6.0

%

 

 

(195

)

 

 

137

 

IO 30yr 4.5

 

 

3,585

 

 

 

714

 

 

 

0.02

%

 

 

19.91

 

 

 

4.50

%

 

 

4.99

%

 

 

159

 

 

 

187

 

 

 

9.2

%

 

 

8.2

%

 

 

(2

)

 

 

-

 

IO 30yr 5.0

 

 

1,956

 

 

 

414

 

 

 

0.01

%

 

 

21.16

 

 

 

5.00

%

 

 

5.36

%

 

 

159

 

 

 

190

 

 

 

6.4

%

 

 

10.2

%

 

 

(4

)

 

 

2

 

IO Total

 

 

101,413

 

 

 

17,833

 

 

 

0.39

%

 

 

17.58

 

 

 

4.01

%

 

 

4.60

%

 

 

115

 

 

 

225

 

 

 

6.1

%

 

 

7.2

%

 

 

(197

)

 

 

135

 

IIO 30yr 4.0

 

 

28,677

 

 

 

277

 

 

 

0.01

%

 

 

0.97

 

 

 

0.00

%

 

 

4.40

%

 

 

72

 

 

 

277

 

 

 

10.9

%

 

 

4.1

%

 

 

80

 

 

 

(68

)

Total Structured RMBS

 

 

130,090

 

 

 

18,110

 

 

 

0.39

%

 

 

13.92

 

 

 

3.12

%

 

 

4.55

%

 

 

105

 

 

 

237

 

 

 

7.2

%

 

 

5.7

%

 

 

(116

)

 

 

67

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

5,283,960

 

 

$

4,617,612

 

 

 

100.00

%

 

 

 

 

 

 

4.03

%

 

 

4.71

%

 

 

23

 

 

 

330

 

 

 

6.4

%

 

 

6.0

%

 

$

122,272

 

 

$

(127,113

)

 

 

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

 

$

(9,468

)

 

$

9,320

 

10-Year Treasury Future(3)

 

 

(395,000

)

Dec-23

 

 

(12,518

)

 

 

12,019

 

Swaps

 

 

(2,026,500

)

Apr-30

 

 

(70,127

)

 

 

67,406

 

TBA

 

 

(602,500

)

Nov-23

 

 

(12,631

)

 

 

13,534

 

Swaptions

 

 

(1,000,000

)

Dec-24

 

 

(1,610

)

 

 

2,395

 

Hedge Total

 

$

(4,495,500

)

 

 

$

(106,354

)

 

$

104,674

 

Rate Shock Grand Total

 

 

 

 

 

 

$

15,918

 

 

$

(22,439

)

(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 $105.36 at September 30, 2023. The market value of the short position was $496.8 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $108.06 at September 30, 2023. The market value of the short position was $426.8 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of September 30, 2023

 

 

 

 

 

 

 

 

Fannie Mae

 

$

3,087,227

 

 

 

66.9

%

Freddie Mac

 

 

1,530,385

 

 

 

33.1

%

Total Mortgage Assets

 

$

4,617,612

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of September 30, 2023

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

139,702

 

 

 

3.0

%

Whole Pool Assets

 

 

4,477,910

 

 

 

97.0

%

Total Mortgage Assets

 

$

4,617,612

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of September 30, 2023

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

Cantor Fitzgerald & Co

 

$

354,817

 

 

 

8.0

%

 

 

5.48

%

 

 

28

 

11/13/2023

Wells Fargo Bank, N.A.

 

 

353,817

 

 

 

8.0

%

 

 

5.47

%

 

 

26

 

11/7/2023

Mirae Asset Securities (USA) Inc.

 

 

337,442

 

 

 

7.6

%

 

 

5.51

%

 

 

42

 

12/22/2023

ASL Capital Markets Inc.

 

 

321,162

 

 

 

7.3

%

 

 

5.49

%

 

 

39

 

11/13/2023

J.P. Morgan Securities LLC

 

 

320,537

 

 

 

7.2

%

 

 

5.47

%

 

 

16

 

10/16/2023

Mitsubishi UFJ Securities (USA), Inc

 

 

312,097

 

 

 

7.0

%

 

 

5.51

%

 

 

50

 

12/11/2023

Citigroup Global Markets Inc

 

 

294,638

 

 

 

6.7

%

 

 

5.45

%

 

 

10

 

10/25/2023

RBC Capital Markets, LLC

 

 

293,169

 

 

 

6.6

%

 

 

5.52

%

 

 

46

 

11/17/2023

Daiwa Securities America Inc.

 

 

232,596

 

 

 

5.3

%

 

 

5.49

%

 

 

17

 

10/17/2023

Marex Capital Markets Inc.

 

 

222,216

 

 

 

5.0

%

 

 

5.44

%

 

 

9

 

10/20/2023

ING Financial Markets LLC

 

 

212,132

 

 

 

4.8

%

 

 

5.48

%

 

 

33

 

11/2/2023

ABN AMRO Bank N.V.

 

 

211,135

 

 

 

4.8

%

 

 

5.52

%

 

 

45

 

11/14/2023

Merrill Lynch, Pierce, Fenner & Smith

 

 

196,295

 

 

 

4.4

%

 

 

5.54

%

 

 

46

 

11/15/2023

Banco Santander SA

 

 

182,495

 

 

 

4.1

%

 

 

5.49

%

 

 

35

 

11/24/2023

Goldman, Sachs & Co

 

 

173,371

 

 

 

3.9

%

 

 

5.47

%

 

 

18

 

10/25/2023

StoneX Financial Inc.

 

 

167,366

 

 

 

3.8

%

 

 

5.54

%

 

 

63

 

12/14/2023

South Street Securities, LLC

 

 

111,871

 

 

 

2.5

%

 

 

5.51

%

 

 

57

 

11/29/2023

Bank of Montreal

 

 

110,904

 

 

 

2.5

%

 

 

5.47

%

 

 

12

 

10/12/2023

Lucid Cash Fund USG LLC

 

 

10,575

 

 

 

0.2

%

 

 

5.50

%

 

 

19

 

10/19/2023

Lucid Prime Fund, LLC

 

 

8,312

 

 

 

0.2

%

 

 

5.50

%

 

 

19

 

10/19/2023

Total Borrowings

 

$

4,426,947

 

 

 

100.0

%

 

 

5.49

%

 

 

32

 

12/22/2023

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20231011692849/en/

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