Orchid Island Capital Announces June 2023 Monthly Dividend and May 31, 2023 RMBS Portfolio Characteristics

  • June 2023 Monthly Dividend of $0.16 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of May 31, 2023
  • Next Dividend Announcement Expected July 12, 2023

VERO BEACH, Fla.--()--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 June 2023. The dividend of $0.16 per share will be paid July 27, 2023 to holders of record of the Company’s common stock on June 30, 2023, with an ex-dividend date of June 29, 2023. The Company plans on announcing its next common stock dividend on July 12, 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 June 14, 2023, the Company had 42,036,854 shares of common stock outstanding. As of May 31, 2023, the Company had 39,371,053 shares of common stock outstanding. As of March 31, 2023, the Company had 39,085,756 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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

 

 

Mar 23 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

May-23

 

 

May-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 June)

 

 

in June)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 4.0

 

$

385

 

 

$

378

 

 

 

0.01

%

 

$

98.11

 

 

 

4.00

%

 

 

4.54

%

 

 

61

 

 

 

118

 

 

 

0.8

%

 

 

0.8

%

 

$

6

 

 

$

(6

)

15yr Total

 

 

385

 

 

 

378

 

 

 

0.01

%

 

 

98.11

 

 

 

4.00

%

 

 

4.54

%

 

 

61

 

 

 

118

 

 

 

0.8

%

 

 

0.8

%

 

 

6

 

 

 

(6

)

30yr 3.0

 

 

2,491,193

 

 

 

2,225,540

 

 

 

56.94

%

 

 

89.34

 

 

 

3.00

%

 

 

3.44

%

 

 

25

 

 

 

331

 

 

 

5.7

%

 

 

4.5

%

 

 

73,146

 

 

 

(74,378

)

30yr 3.5

 

 

205,664

 

 

 

192,340

 

 

 

4.92

%

 

 

93.52

 

 

 

3.50

%

 

 

4.03

%

 

 

39

 

 

 

311

 

 

 

7.5

%

 

 

8.1

%

 

 

5,449

 

 

 

(5,498

)

30yr 4.0

 

 

586,559

 

 

 

555,714

 

 

 

14.22

%

 

 

94.74

 

 

 

4.00

%

 

 

4.78

%

 

 

16

 

 

 

342

 

 

 

9.6

%

 

 

6.1

%

 

 

14,160

 

 

 

(15,276

)

30yr 4.5

 

 

358,032

 

 

 

347,112

 

 

 

8.88

%

 

 

96.95

 

 

 

4.50

%

 

 

5.45

%

 

 

11

 

 

 

348

 

 

 

5.1

%

 

 

6.0

%

 

 

6,753

 

 

 

(7,656

)

30yr 5.0

 

 

575,409

 

 

 

568,297

 

 

 

14.54

%

 

 

98.76

 

 

 

5.00

%

 

 

5.93

%

 

 

9

 

 

 

350

 

 

 

3.3

%

 

 

5.3

%

 

 

10,124

 

 

 

(11,857

)

30yr Total

 

 

4,216,857

 

 

 

3,889,003

 

 

 

99.50

%

 

 

92.23

 

 

 

3.56

%

 

 

4.16

%

 

 

21

 

 

 

335

 

 

 

6.0

%

 

 

5.1

%

 

 

109,632

 

 

 

(114,665

)

Total Pass Through RMBS

 

 

4,217,242

 

 

 

3,889,381

 

 

 

99.51

%

 

 

92.23

 

 

 

3.56

%

 

 

4.16

%

 

 

21

 

 

 

335

 

 

 

6.0

%

 

 

5.1

%

 

 

109,638

 

 

 

(114,672

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

9,851

 

 

 

1,074

 

 

 

0.03

%

 

 

10.90

 

 

 

4.00

%

 

 

4.57

%

 

 

137

 

 

 

96

 

 

 

10.5

%

 

 

10.7

%

 

 

6

 

 

 

(7

)

IO 30yr 3.0

 

 

3,086

 

 

 

376

 

 

 

0.01

%

 

 

12.19

 

 

 

3.00

%

 

 

3.64

%

 

 

100

 

 

 

249

 

 

 

0.7

%

 

 

0.8

%

 

 

2

 

 

 

(3

)

IO 30yr 4.0

 

 

87,328

 

 

 

16,192

 

 

 

0.41

%

 

 

18.54

 

 

 

4.00

%

 

 

4.60

%

 

 

105

 

 

 

246

 

 

 

8.2

%

 

 

7.1

%

 

 

(335

)

 

 

236

 

IO 30yr 4.5

 

 

3,736

 

 

 

700

 

 

 

0.02

%

 

 

18.75

 

 

 

4.50

%

 

 

4.99

%

 

 

155

 

 

 

191

 

 

 

5.3

%

 

 

7.2

%

 

 

(6

)

 

 

2

 

IO 30yr 5.0

 

 

2,052

 

 

 

409

 

 

 

0.01

%

 

 

19.95

 

 

 

5.00

%

 

 

5.36

%

 

 

155

 

 

 

193

 

 

 

13.8

%

 

 

16.5

%

 

 

(7

)

 

 

4

 

IO Total

 

 

106,053

 

 

 

18,751

 

 

 

0.48

%

 

 

17.68

 

 

 

4.01

%

 

 

4.60

%

 

 

111

 

 

 

229

 

 

 

8.2

%

 

 

7.4

%

 

 

(339

)

 

 

233

 

IIO 30yr 4.0

 

 

29,644

 

 

 

451

 

 

 

0.01

%

 

 

1.52

 

 

 

0.00

%

 

 

4.40

%

 

 

68

 

 

 

281

 

 

 

3.5

%

 

 

3.5

%

 

 

104

 

 

 

(91

)

Total Structured RMBS

 

 

135,697

 

 

 

19,202

 

 

 

0.49

%

 

 

14.15

 

 

 

3.13

%

 

 

4.55

%

 

 

102

 

 

 

241

 

 

 

7.2

%

 

 

6.6

%

 

 

(236

)

 

 

142

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,352,939

 

 

$

3,908,583

 

 

 

100.00

%

 

 

 

 

 

 

3.55

%

 

 

4.18

%

 

 

24

 

 

 

333

 

 

 

6.0

%

 

 

5.2

%

 

$

109,403

 

 

$

(114,530

)

 

 

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

 

$

(9,873

)

 

$

9,725

 

10-Year Treasury Future(3)

 

 

(95,000

)

Sep-23

 

 

(3,176

)

 

 

3,116

 

10-Year Ultra Treasury Future(4)

 

 

(154,200

)

Sep-23

 

 

(7,538

)

 

 

7,174

 

Swaps

 

 

(1,879,000

)

Jun-29

 

 

(47,499

)

 

 

45,752

 

TBA

 

 

(700,000

)

Jun-23

 

 

(20,050

)

 

 

20,868

 

Swaptions

 

 

(533,000

)

Aug-24

 

 

(4,227

)

 

 

6,869

 

Hedge Total

 

$

(3,832,700

)

 

 

$

(92,363

)

 

$

93,504

 

Rate Shock Grand Total

 

 

 

 

 

 

$

17,040

 

 

$

(21,026

)

(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 $109.08 at May 31, 2023. The market value of the short position was $514.3 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $114.47 at May 31, 2023. The market value of the short position was $108.8 million.

(4)

Ten-year Ultra Treasury futures contracts were valued at prices of $120.45 at May 31, 2023. The market value of the short position was $185.7 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of May 31, 2023

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,568,837

 

 

 

65.7

%

Freddie Mac

 

 

1,339,746

 

 

 

34.3

%

Total Mortgage Assets

 

$

3,908,583

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of May 31, 2023

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

151,156

 

 

 

3.9

%

Whole Pool Assets

 

 

3,757,427

 

 

 

96.1

%

Total Mortgage Assets

 

$

3,908,583

 

 

 

100.0

%

Borrowings By Counterparty

($ in thousands)

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of May 31, 2023

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

J.P. Morgan Securities LLC

 

$

346,217

 

 

 

9.3

%

 

 

5.17

%

 

 

15

 

7/24/2023

Merrill Lynch, Pierce, Fenner & Smith

 

 

329,566

 

 

 

8.8

%

 

 

5.20

%

 

 

14

 

6/27/2023

RBC Capital Markets, LLC

 

 

315,578

 

 

 

8.5

%

 

 

5.19

%

 

 

45

 

7/17/2023

Mirae Asset Securities (USA) Inc.

 

 

302,785

(1)

 

 

8.1

%

 

 

5.21

%

 

 

61

 

9/1/2023

Daiwa Securities America Inc.

 

 

249,655

 

 

 

6.7

%

 

 

5.14

%

 

 

16

 

6/16/2023

Marex Capital Markets Inc.

 

 

234,631

 

 

 

6.3

%

 

 

5.18

%

 

 

12

 

6/28/2023

ING Financial Markets LLC

 

 

232,481

 

 

 

6.2

%

 

 

5.20

%

 

 

15

 

6/15/2023

Cantor Fitzgerald & Co

 

 

223,843

 

 

 

6.0

%

 

 

5.20

%

 

 

17

 

7/13/2023

ABN AMRO Bank N.V.

 

 

220,568

 

 

 

5.9

%

 

 

5.12

%

 

 

13

 

6/13/2023

ASL Capital Markets Inc.

 

 

210,573

 

 

 

5.6

%

 

 

5.19

%

 

 

16

 

6/16/2023

Citigroup Global Markets Inc

 

 

184,408

 

 

 

4.9

%

 

 

5.28

%

 

 

28

 

6/30/2023

StoneX Financial Inc.

 

 

179,020

 

 

 

4.8

%

 

 

5.20

%

 

 

7

 

6/9/2023

Mitsubishi UFJ Securities (USA), Inc

 

 

168,879

 

 

 

4.5

%

 

 

5.28

%

 

 

19

 

6/21/2023

Wells Fargo Bank, N.A.

 

 

164,094

 

 

 

4.4

%

 

 

5.17

%

 

 

7

 

6/9/2023

Goldman, Sachs & Co

 

 

124,645

 

 

 

3.3

%

 

 

5.24

%

 

 

11

 

6/23/2023

Banco Santander SA

 

 

113,151

 

 

 

3.0

%

 

 

5.27

%

 

 

23

 

6/23/2023

Bank of Montreal

 

 

75,710

 

 

 

2.0

%

 

 

5.21

%

 

 

15

 

6/15/2023

South Street Securities, LLC

 

 

37,163

 

 

 

1.0

%

 

 

5.14

%

 

 

16

 

6/16/2023

Lucid Cash Fund USG LLC

 

 

11,382

 

 

 

0.3

%

 

 

5.18

%

 

 

15

 

6/15/2023

Lucid Prime Fund, LLC

 

 

9,371

 

 

 

0.3

%

 

 

5.18

%

 

 

15

 

6/15/2023

Total Borrowings

 

$

3,733,720

 

 

 

100.0

%

 

 

5.19

%

 

 

21

 

9/1/2023

(1)

Included in this balance is $254.1 million of floating rate repurchase agreements priced at overnight SOFR + 15 basis points.

 

Contacts

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

Contacts

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