Orchid Island Capital Announces August 2023 Monthly Dividend and July 31, 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 August 2023. The dividend of $0.16 per share will be paid September 27, 2023 to holders of record of the Company’s common stock on August 31, 2023, with an ex-dividend date of August 30, 2023. The Company plans on announcing its next common stock dividend on September 11, 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 August 16, 2023, the Company had 47,086,727 shares of common stock outstanding. As of July 31, 2023 and June 30, 2023, the Company had 43,896,709 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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				May 23 -
																																		Jul-23				Jul-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 Aug)				in Aug)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
15yr 4.0		$	380			$	369				0.01	%		$	97.24				4.00	%			4.54	%			63				115				0.8	%			0.8	%		$	6			$	(6	)
15yr 5.0 TBA			100,000				99,328				2.25	%			99.33				5.00	%			5.67	%			9				167				n/a				n/a				1,319				(1,477	)
15yr Total			100,380				99,697				2.25	%			99.32				5.00	%			5.66	%			9				167				0.8	%			0.8	%			1,325				(1,483	)
30yr 3.0			2,456,873				2,165,855				48.97	%			88.15				3.00	%			3.44	%			27				329				5.8	%			5.9	%			70,845				(71,926	)
30yr 3.5			202,264				186,816				4.22	%			92.36				3.50	%			4.04	%			41				309				7.7	%			7.5	%			5,286				(5,330	)
30yr 4.0			577,027				540,268				12.22	%			93.63				4.00	%			4.78	%			18				340				4.4	%			6.7	%			13,860				(14,839	)
30yr 4.5			353,488				339,212				7.67	%			95.96				4.50	%			5.45	%			13				346				6.3	%			6.1	%			6,771				(7,594	)
30yr 5.0			569,299				557,442				12.60	%			97.92				5.00	%			5.93	%			11				348				5.9	%			5.3	%			10,244				(11,803	)
30yr 5.5			278,178				278,213				6.29	%			100.01				5.50	%			6.43	%			4				356				5.8	%			0.0	%			4,386				(5,244	)
30yr 6.0			234,058				236,801				5.35	%			101.17				6.00	%			7.01	%			5				352				5.8	%			0.0	%			2,886				(3,481	)
30yr Total			4,671,187				4,304,607				97.33	%			92.15				3.80	%			4.44	%			21				336				5.8	%			6.0	%			114,278				(120,217	)
Total Pass Through RMBS			4,771,567				4,404,304				99.58	%			92.30				3.83	%			4.47	%			21				332				5.8	%			6.0	%			115,604				(121,698	)
Structured RMBS
IO 20yr 4.0			9,512				1,016				0.02	%			10.68				4.00	%			4.57	%			139				94				6.4	%			8.9	%			6				(6	)
IO 30yr 3.0			3,013				365				0.01	%			12.12				3.00	%			3.64	%			102				247				0.6	%			7.3	%			1				(3	)
IO 30yr 4.0			85,317				15,826				0.36	%			18.55				4.00	%			4.60	%			107				244				7.1	%			8.1	%			(306	)			216
IO 30yr 4.5			3,663				684				0.02	%			18.67				4.50	%			4.99	%			157				189				7.6	%			7.9	%			(5	)			1
IO 30yr 5.0			2,012				401				0.01	%			19.94				5.00	%			5.36	%			157				191				9.6	%			8.3	%			(6	)			4
IO Total			103,517				18,292				0.41	%			17.67				4.01	%			4.60	%			113				227				7.0	%			8.1	%			(310	)			212
IIO 30yr 4.0			29,096				310				0.01	%			1.07				0.00	%			4.40	%			70				279				0.4	%			1.4	%			83				(70	)
Total Structured RMBS			132,613				18,602				0.42	%			14.03				3.13	%			4.55	%			103				239				5.5	%			6.7	%			(227	)			141
Total Mortgage Assets		$	4,904,180			$	4,422,906				100.00	%							3.81	%			4.47	%			23				329				5.8	%			6.0	%		$	115,377			$	(121,557	)

		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		$	(9,715	)		$	9,421
10-Year Treasury Future(3)			(285,000	)	Sep-23			(9,340	)			9,116
10-Year Ultra Treasury Future(4)			(244,200	)	Sep-23			(11,530	)			10,991
Swaps			(2,326,500	)	Nov-29			(60,418	)			58,123
TBA			(350,000	)	Aug-23			(10,175	)			10,463
Swaptions			(200,000	)	Feb-24			(1,087	)			1,100
Hedge Total		$	(3,877,200	)			$	(102,265	)		$	99,214
Rate Shock Grand Total							$	13,112			$	(22,343	)

(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 $106.82 at July 31, 2023. The market value of the short position was $503.7 million.
(3)		Ten-year Treasury futures contracts were valued at prices of $111.41 at July 31, 2023. The market value of the short position was $317.5 million.
(4)		Ten-year Treasury Ultra futures contracts were valued at prices of $116.98 at July 31, 2023. The market value of the short position was $285.7 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of July 31, 2023
Fannie Mae		$	2,962,563				67.0	%
Freddie Mac			1,460,343				33.0	%
Total Mortgage Assets		$	4,422,906				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of July 31, 2023
Non-Whole Pool Assets		$	147,773				3.3	%
Whole Pool Assets			4,275,133				96.7	%
Total Mortgage Assets		$	4,422,906				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of July 31, 2023		Borrowings				Debt				Rate				in Days			Maturity
ASL Capital Markets Inc.		$	334,517				8.1	%			5.36%				31		9/29/2023
J.P. Morgan Securities LLC			332,029				8.0	%			5.36%				15		8/23/2023
Mitsubishi UFJ Securities (USA), Inc			326,977				7.9	%			5.45%				46		9/29/2023
RBC Capital Markets, LLC			304,569				7.4	%			5.36%				15		8/17/2023
Citigroup Global Markets Inc			303,009				7.3	%			5.45%				29		8/31/2023
Mirae Asset Securities (USA) Inc.			295,469				7.1	%			5.45%				47		12/22/2023
Wells Fargo Bank, N.A.			276,180				6.7	%			5.43%				42		9/28/2023
Daiwa Securities America Inc.			241,127				5.8	%			5.36%				17		8/17/2023
Marex Capital Markets Inc.			225,680				5.5	%			5.43%				62		10/5/2023
ING Financial Markets LLC			222,891				5.4	%			5.47%				52		9/21/2023
Cantor Fitzgerald & Co			214,935				5.2	%			5.37%				16		8/16/2023
ABN AMRO Bank N.V.			214,073				5.2	%			5.35%				14		8/14/2023
Banco Santander SA			189,783				4.6	%			5.43%				47		10/5/2023
Merrill Lynch, Pierce, Fenner & Smith			185,312				4.5	%			5.37%				15		8/25/2023
StoneX Financial Inc.			173,222				4.2	%			5.37%				25		9/15/2023
South Street Securities, LLC			117,859				2.8	%			5.36%				57		9/29/2023
Goldman, Sachs & Co			88,297				2.1	%			5.37%				14		8/24/2023
Bank of Montreal			74,003				1.8	%			5.37%				17		8/17/2023
Lucid Cash Fund USG LLC			11,070				0.3	%			5.41%				17		8/17/2023
Lucid Prime Fund, LLC			8,967				0.2	%			5.41%				17		8/17/2023
Total Borrowings		$	4,139,969				100.0	%			5.40%				32		12/22/2023

 

 

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The Orchid Island Capital Stock at the time of publication of the news with a fall of -1,00 % to 8,90USD on Lang & Schwarz stock exchange (16. August 2023, 22:48 Uhr).