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Orchid Island Capital Announces February 2023 Monthly Dividend and January 31, 2023 RMBS Portfolio Characteristics

  • 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

 

Contacts

Orchid Island Capital, Inc.

Robert E. Cauley

(772) 231-1400

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