Orchid Island Capital Announces Estimated Third Quarter 2023 Results, October 2023 Monthly Dividend and September 30, 2023 RMBS Portfolio Characteristics

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

 

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The Orchid Island Capital Stock at the time of publication of the news with a raise of +0,89 % to 7,96EUR on NYSE stock exchange (11. Oktober 2023, 23:05 Uhr).