Orchid Island Capital Announces December 2023 Monthly Dividend and November 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 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

 

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The Orchid Island Capital Stock at the time of publication of the news with a raise of +0,84 % to 7,24USD on Lang & Schwarz stock exchange (12. Dezember 2023, 22:34 Uhr).