ORC Orchid Island Capital Inc

• December 2023 Monthly Dividend of $0.12 Per Share of Common Stock
• RMBS Portfolio Characteristics as of November 30, 2023
• Next Dividend Announcement Expected January 10, 2024 

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 December 2023. The dividend of $0.12 per share will be paid January 29, 2024 to holders of record of the Company’s common stock on December 29, 2023, with an ex-dividend date of December 28, 2023. The Company plans on announcing its next common stock dividend on January 10, 2024.

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 December 12, 2023, November 30, 2023 and September 30, 2023, the Company had 52,332,306 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 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

 

 

Sep-23 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nov-23

 

 

Nov-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 Nov)

 

 

in Nov)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30yr 3.0

 

 

1,406,249

 

 

 

1,203,702

 

 

 

31.79

%

 

 

85.60

 

 

 

3.00

%

 

 

3.46

%

 

 

32

 

 

 

323

 

 

 

4.9

%

 

 

5.3

%

 

 

38,823

 

 

 

(39,097

)

30yr 3.5

 

 

195,791

 

 

 

175,349

 

 

 

4.63

%

 

 

89.56

 

 

 

3.50

%

 

 

4.03

%

 

 

45

 

 

 

305

 

 

 

6.9

%

 

 

7.6

%

 

 

5,077

 

 

 

(5,121

)

30yr 4.0

 

 

563,852

 

 

 

514,047

 

 

 

13.58

%

 

 

91.17

 

 

 

4.00

%

 

 

4.78

%

 

 

22

 

 

 

335

 

 

 

1.9

%

 

 

3.6

%

 

 

13,964

 

 

 

(14,805

)

30yr 4.5

 

 

342,843

 

 

 

322,187

 

 

 

8.51

%

 

 

93.98

 

 

 

4.50

%

 

 

5.45

%

 

 

17

 

 

 

341

 

 

 

3.8

%

 

 

6.4

%

 

 

7,113

 

 

 

(7,775

)

30yr 5.0

 

 

554,623

 

 

 

534,920

 

 

 

14.13

%

 

 

96.45

 

 

 

5.00

%

 

 

5.93

%

 

 

15

 

 

 

343

 

 

 

2.9

%

 

 

4.4

%

 

 

11,222

 

 

 

(12,489

)

30yr 5.5

 

 

272,801

 

 

 

270,165

 

 

 

7.14

%

 

 

99.03

 

 

 

5.50

%

 

 

6.43

%

 

 

8

 

 

 

351

 

 

 

4.6

%

 

 

4.7

%

 

 

4,970

 

 

 

(5,727

)

30yr 6.0

 

 

324,715

 

 

 

326,518

 

 

 

8.62

%

 

 

100.56

 

 

 

6.00

%

 

 

7.00

%

 

 

8

 

 

 

347

 

 

 

10.1

%

 

 

10.9

%

 

 

4,559

 

 

 

(5,480

)

30yr 6.5

 

 

337,358

 

 

 

343,696

 

 

 

9.08

%

 

 

101.88

 

 

 

6.50

%

 

 

7.39

%

 

 

4

 

 

 

353

 

 

 

5.4

%

 

 

10.8

%

 

 

3,584

 

 

 

(4,571

)

30yr 7.0

 

 

75,411

 

 

 

77,635

 

 

 

2.05

%

 

 

102.95

 

 

 

7.00

%

 

 

7.94

%

 

 

2

 

 

 

358

 

 

 

10.0

%

 

 

n/a

 

 

 

667

 

 

 

(852

)

Total Pass Through RMBS

 

 

4,073,643

 

 

 

3,768,219

 

 

 

99.52

%

 

 

92.50

 

 

 

4.33

%

 

 

5.06

%

 

 

21

 

 

 

335

 

 

 

4.8

%

 

 

6.0

%

 

 

89,979

 

 

 

(95,917

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

8,934

 

 

 

942

 

 

 

0.02

%

 

 

10.54

 

 

 

4.00

%

 

 

4.57

%

 

 

143

 

 

 

90

 

 

 

9.5

%

 

 

8.8

%

 

 

5

 

 

 

(4

)

IO 30yr 3.0

 

 

2,973

 

 

 

360

 

 

 

0.01

%

 

 

12.10

 

 

 

3.00

%

 

 

3.64

%

 

 

106

 

 

 

243

 

 

 

0.9

%

 

 

0.8

%

 

 

-

 

 

 

(1

)

IO 30yr 4.0

 

 

82,108

 

 

 

15,515

 

 

 

0.41

%

 

 

18.90

 

 

 

4.00

%

 

 

4.60

%

 

 

111

 

 

 

240

 

 

 

5.2

%

 

 

5.7

%

 

 

(216

)

 

 

151

 

IO 30yr 4.5

 

 

3,511

 

 

 

666

 

 

 

0.02

%

 

 

18.97

 

 

 

4.50

%

 

 

4.99

%

 

 

161

 

 

 

186

 

 

 

3.3

%

 

 

6.9

%

 

 

(2

)

 

 

-

 

IO 30yr 5.0

 

 

1,903

 

 

 

385

 

 

 

0.01

%

 

 

20.26

 

 

 

5.00

%

 

 

5.36

%

 

 

161

 

 

 

187

 

 

 

1.0

%

 

 

8.4

%

 

 

(4

)

 

 

2

 

IO Total

 

 

99,429

 

 

 

17,868

 

 

 

0.47

%

 

 

17.97

 

 

 

4.01

%

 

 

4.60

%

 

 

117

 

 

 

224

 

 

 

5.3

%

 

 

5.9

%

 

 

(217

)

 

 

148

 

IIO 30yr 4.0

 

 

27,472

 

 

 

289

 

 

 

0.01

%

 

 

1.05

 

 

 

0.00

%

 

 

4.40

%

 

 

74

 

 

 

275

 

 

 

11.2

%

 

 

9.8

%

 

 

88

 

 

 

(73

)

Total Structured RMBS

 

 

126,901

 

 

 

18,157

 

 

 

0.48

%

 

 

14.31

 

 

 

3.14

%

 

 

4.55

%

 

 

107

 

 

 

235

 

 

 

6.6

%

 

 

6.8

%

 

 

(129

)

 

 

75

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,200,544

 

 

$

3,786,376

 

 

 

100.00

%

 

 

 

 

 

 

4.30

%

 

 

5.05

%

 

 

24

 

 

 

332

 

 

 

4.8

%

 

 

6.1

%

 

$

89,850

 

 

$

(95,842

)

 

 

Average

 

Hedge

 

Modeled Interest

 

 

Notional

 

Period

 

Rate Sensitivity (1)

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

5-Year Treasury Future(2)

 

$

(471,500

)

Mar-24

 

$

(9,696

)

 

$

9,475

10-Year Treasury Future(3)

 

 

(470,000

)

Mar-24

 

 

(14,740

)

 

 

14,083

Swaps

 

 

(2,326,500

)

Nov-29

 

 

(58,280

)

 

 

56,177

TBA

 

 

(620,700

)

Jan-24

 

 

(17,657

)

 

 

18,176

Swaptions

 

 

(800,000

)

Nov-24

 

 

(533

)

 

 

1,022

Hedge Total

 

$

(4,688,700

)

 

 

$

(100,906

)

 

$

98,933

Rate Shock Grand Total

 

 

 

 

 

 

$

(11,056

)

 

$

3,091

(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 $106.85 at November 30, 2023. The market value of the short position was $503.8 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $109.80 at November 30, 2023. The market value of the short position was $516.1 million. RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of November 30, 2023

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,639,012

 

 

 

69.7

%

Freddie Mac

 

 

1,147,364

 

 

 

30.3

%

Total Mortgage Assets

 

$

3,786,376

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of November 30, 2023

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

140,129

 

 

 

3.7

%

Whole Pool Assets

 

 

3,646,247

 

 

 

96.3

%

Total Mortgage Assets

 

$

3,786,376

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of November 30, 2023

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

Cantor Fitzgerald & Co

 

$

298,439

 

 

 

8.3

%

 

 

5.47%

 

 

 

14

 

12/15/2023

RBC Capital Markets, LLC

 

 

291,389

 

 

 

8.1

%

 

 

5.48%

 

 

 

14

 

12/15/2023

Citigroup Global Markets Inc

 

 

289,160

 

 

 

8.0

%

 

 

5.47%

 

 

 

26

 

12/26/2023

ASL Capital Markets Inc.

 

 

285,076

 

 

 

7.9

%

 

 

5.46%

 

 

 

19

 

12/29/2023

Mitsubishi UFJ Securities (USA), Inc

 

 

276,607

 

 

 

7.7

%

 

 

5.52%

 

 

 

22

 

12/29/2023

J.P. Morgan Securities LLC

 

 

256,809

 

 

 

7.1

%

 

 

5.48%

 

 

 

18

 

12/18/2023

Wells Fargo Bank, N.A.

 

 

216,952

 

 

 

6.0

%

 

 

5.48%

 

 

 

27

 

12/27/2023

Mirae Asset Securities (USA) Inc.

 

 

194,537

 

 

 

5.4

%

 

 

5.48%

 

 

 

15

 

12/22/2023

Merrill Lynch, Pierce, Fenner & Smith

 

 

187,386

 

 

 

5.2

%

 

 

5.48%

 

 

 

14

 

12/26/2023

Daiwa Securities America Inc.

 

 

173,199

 

 

 

4.8

%

 

 

5.47%

 

 

 

18

 

12/18/2023

Bank of Montreal

 

 

166,801

 

 

 

4.6

%

 

 

5.47%

 

 

 

13

 

12/13/2023

StoneX Financial Inc.

 

 

165,081

 

 

 

4.6

%

 

 

5.53%

 

 

 

14

 

12/15/2023

Goldman, Sachs & Co

 

 

158,445

 

 

 

4.4

%

 

 

5.48%

 

 

 

17

 

12/27/2023

Banco Santander SA

 

 

148,771

 

 

 

4.1

%

 

 

5.48%

 

 

 

20

 

12/22/2023

ABN AMRO Bank N.V.

 

 

127,077

 

 

 

3.5

%

 

 

5.47%

 

 

 

14

 

12/14/2023

ING Financial Markets LLC

 

 

126,856

 

 

 

3.5

%

 

 

5.48%

 

 

 

14

 

12/14/2023

Marex Capital Markets Inc.

 

 

111,043

 

 

 

3.1

%

 

 

5.47%

 

 

 

8

 

12/13/2023

South Street Securities, LLC

 

 

78,402

 

 

 

2.2

%

 

 

5.47%

 

 

 

29

 

12/29/2023

DV Securities, LLC Repo

 

 

40,010

 

 

 

1.1

%

 

 

5.48%

 

 

 

22

 

12/29/2023

Lucid Cash Fund USG LLC

 

 

9,845

 

 

 

0.3

%

 

 

5.47%

 

 

 

14

 

12/14/2023

Lucid Prime Fund, LLC

 

 

8,019

 

 

 

0.2

%

 

 

5.47%

 

 

 

14

 

12/14/2023

Total Borrowings

 

$

3,609,904

 

 

 

100.0

%

 

 

5.48%

 

 

 

18

 

12/29/2023

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20231212145817/en/

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