Orchid Island Capital Announces November 2023 Monthly Dividend and October 31, 2023 RMBS Portfolio Characteristics

Published
  • November 2023 Monthly Dividend of $0.12 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of October 31, 2023
  • Next Dividend Announcement Expected December 12, 2023
  • Estimated Book Value Per Share Approximately $8.47 to $8.52 as of November 14, 2023

VERO BEACH, Fla.--(BUSINESS WIRE)-- 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 November 2023. The dividend of $0.12 per share will be paid December 27, 2023 to holders of record of the Company’s common stock on November 30, 2023, with an ex-dividend date of November 29, 2023. The Company plans on announcing its next common stock dividend on December 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 November 15, 2023, October 31, 2023 and September 30, 2023, the Company had 52,332,306 shares of common stock outstanding.

Estimated November 14, 2023 Book Value Per Share

The Company estimates book value per share as of November 14, 2023 to be approximately $8.47 to $8.52, a decrease of approximately 4.5% to 5.0% from the book value per share at September 30, 2023 of $8.92. The estimated book value per share includes a deduction for today’s dividend declaration that will be paid on December 27, 2023. The estimated book value per share is unaudited and has not been verified or reviewed by any third party. The Company undertakes no obligation to update or revise its estimated book value per share.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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

 

 

Aug-23 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Oct-23

 

 

Oct-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

 

 

1,415,895

 

 

 

1,148,699

 

 

 

32.15

%

 

 

81.13

 

 

 

3.00

%

 

 

3.46

%

 

 

31

 

 

 

324

 

 

 

5.7

%

 

 

6.5

%

 

 

38,060

 

 

 

(37,953

)

30yr 3.5

 

 

197,861

 

 

 

168,727

 

 

 

4.72

%

 

 

85.28

 

 

 

3.50

%

 

 

4.04

%

 

 

44

 

 

 

306

 

 

 

9.5

%

 

 

6.9

%

 

 

5,034

 

 

 

(5,056

)

30yr 4.0

 

 

567,077

 

 

 

492,558

 

 

 

13.78

%

 

 

86.86

 

 

 

4.00

%

 

 

4.78

%

 

 

21

 

 

 

336

 

 

 

4.9

%

 

 

5.1

%

 

 

14,431

 

 

 

(14,932

)

30yr 4.5

 

 

345,923

 

 

 

310,295

 

 

 

8.68

%

 

 

89.70

 

 

 

4.50

%

 

 

5.45

%

 

 

16

 

 

 

342

 

 

 

8.8

%

 

 

7.7

%

 

 

7,822

 

 

 

(8,315

)

30yr 5.0

 

 

556,644

 

 

 

513,851

 

 

 

14.38

%

 

 

92.31

 

 

 

5.00

%

 

 

5.93

%

 

 

14

 

 

 

344

 

 

 

2.9

%

 

 

6.2

%

 

 

12,553

 

 

 

(13,508

)

30yr 5.5

 

 

274,993

 

 

 

261,496

 

 

 

7.32

%

 

 

95.09

 

 

 

5.50

%

 

 

6.43

%

 

 

7

 

 

 

352

 

 

 

8.0

%

 

 

4.2

%

 

 

5,853

 

 

 

(6,378

)

30yr 6.0

 

 

327,681

 

 

 

319,533

 

 

 

8.94

%

 

 

97.51

 

 

 

6.00

%

 

 

7.00

%

 

 

7

 

 

 

349

 

 

 

9.2

%

 

 

9.1

%

 

 

5,877

 

 

 

(6,547

)

30yr 6.5

 

 

341,319

 

 

 

339,856

 

 

 

9.51

%

 

 

99.57

 

 

 

6.50

%

 

 

7.39

%

 

 

3

 

 

 

355

 

 

 

12.1

%

 

 

10.3

%

 

 

5,149

 

 

 

(5,988

)

Total Pass Through RMBS

 

 

4,027,393

 

 

 

3,555,015

 

 

 

99.48

%

 

 

88.27

 

 

 

4.28

%

 

 

5.01

%

 

 

21

 

 

 

336

 

 

 

6.6

%

 

 

6.5

%

 

 

94,779

 

 

 

(98,677

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

9,077

 

 

 

956

 

 

 

0.03

%

 

 

10.54

 

 

 

4.00

%

 

 

4.57

%

 

 

142

 

 

 

91

 

 

 

8.0

%

 

 

7.9

%

 

 

4

 

 

 

(3

)

IO 30yr 3.0

 

 

2,983

 

 

 

356

 

 

 

0.01

%

 

 

11.95

 

 

 

3.00

%

 

 

3.64

%

 

 

105

 

 

 

244

 

 

 

0.7

%

 

 

0.7

%

 

 

1

 

 

 

(1

)

IO 30yr 4.0

 

 

82,894

 

 

 

15,800

 

 

 

0.44

%

 

 

19.06

 

 

 

4.00

%

 

 

4.60

%

 

 

111

 

 

 

241

 

 

 

5.7

%

 

 

5.6

%

 

 

(119

)

 

 

71

 

IO 30yr 4.5

 

 

3,550

 

 

 

672

 

 

 

0.02

%

 

 

18.94

 

 

 

4.50

%

 

 

4.99

%

 

 

160

 

 

 

186

 

 

 

8.2

%

 

 

8.4

%

 

 

-

 

 

 

(1

)

IO 30yr 5.0

 

 

1,939

 

 

 

395

 

 

 

0.01

%

 

 

20.35

 

 

 

5.00

%

 

 

5.36

%

 

 

160

 

 

 

188

 

 

 

17.0

%

 

 

12.7

%

 

 

(1

)

 

 

-

 

IO Total

 

 

100,443

 

 

 

18,179

 

 

 

0.51

%

 

 

18.10

 

 

 

4.01

%

 

 

4.60

%

 

 

116

 

 

 

224

 

 

 

6.1

%

 

 

5.9

%

 

 

(116

)

 

 

65

 

IIO 30yr 4.0

 

 

27,986

 

 

 

240

 

 

 

0.01

%

 

 

0.86

 

 

 

0.00

%

 

 

4.40

%

 

 

73

 

 

 

276

 

 

 

7.3

%

 

 

6.3

%

 

 

79

 

 

 

(64

)

Total Structured RMBS

 

 

128,429

 

 

 

18,419

 

 

 

0.52

%

 

 

14.34

 

 

 

3.13

%

 

 

4.55

%

 

 

107

 

 

 

236

 

 

 

6.3

%

 

 

6.0

%

 

 

(37

)

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,155,822

 

 

$

3,573,434

 

 

 

100.00

%

 

 

 

 

 

 

4.25

%

 

 

5.00

%

 

 

23

 

 

 

333

 

 

 

6.6

%

 

 

6.5

%

 

$

94,742

 

 

$

(98,676

)

 

 

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

 

$

(9,373

)

 

$

9,227

 

10-Year Treasury Future(3)

 

 

(395,000

)

Dec-23

 

 

(12,310

)

 

 

11,887

 

Swaps

 

 

(2,326,500

)

Nov-29

 

 

(56,384

)

 

 

54,345

 

TBA

 

 

(620,700

)

Nov-23

 

 

(17,083

)

 

 

17,376

 

Swaptions

 

 

(800,000

)

Nov-24

 

 

(1,135

)

 

 

1,940

 

Hedge Total

 

$

(4,613,700

)

 

 

$

(96,285

)

 

$

94,775

 

Rate Shock Grand Total

 

 

 

 

 

 

$

(1,543

)

 

$

(3,901

)

(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 $104.48 at October 31, 2023. The market value of the short position was $492.6 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $106.17 at October 31, 2023. The market value of the short position was $419.4 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of October 31, 2023

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,468,333

 

 

 

69.1

%

Freddie Mac

 

 

1,105,101

 

 

 

30.9

%

Total Mortgage Assets

 

$

3,573,434

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of October 31, 2023

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

135,892

 

 

 

3.8

%

Whole Pool Assets

 

 

3,437,542

 

 

 

96.2

%

Total Mortgage Assets

 

$

3,573,434

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of October 31, 2023

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

ASL Capital Markets Inc.

 

$

303,835

 

 

 

8.6

%

 

 

5.50%

 

 

 

19

 

11/29/2023

Cantor Fitzgerald & Co

 

 

299,252

 

 

 

8.5

%

 

 

5.49%

 

 

 

14

 

11/15/2023

RBC Capital Markets, LLC

 

 

292,850

 

 

 

8.3

%

 

 

5.52%

 

 

 

15

 

11/17/2023

Citigroup Global Markets Inc

 

 

276,905

 

 

 

7.9

%

 

 

5.48%

 

 

 

24

 

11/24/2023

Mitsubishi UFJ Securities (USA), Inc

 

 

271,394

 

 

 

7.7

%

 

 

5.52%

 

 

 

32

 

12/11/2023

J.P. Morgan Securities LLC

 

 

250,614

 

 

 

7.1

%

 

 

5.50%

 

 

 

16

 

11/16/2023

Wells Fargo Bank, N.A.

 

 

216,080

 

 

 

6.1

%

 

 

5.49%

 

 

 

16

 

11/27/2023

Merrill Lynch, Pierce, Fenner & Smith

 

 

196,299

 

 

 

5.6

%

 

 

5.53%

 

 

 

15

 

11/24/2023

Mirae Asset Securities (USA) Inc.

 

 

190,585

 

 

 

5.4

%

 

 

5.50%

 

 

 

24

 

12/22/2023

Daiwa Securities America Inc.

 

 

168,461

 

 

 

4.8

%

 

 

5.49%

 

 

 

17

 

11/17/2023

StoneX Financial Inc.

 

 

167,366

 

 

 

4.8

%

 

 

5.54%

 

 

 

32

 

12/14/2023

Goldman, Sachs & Co

 

 

154,345

 

 

 

4.4

%

 

 

5.51%

 

 

 

17

 

11/27/2023

ING Financial Markets LLC

 

 

150,208

 

 

 

4.3

%

 

 

5.48%

 

 

 

2

 

11/2/2023

Banco Santander SA

 

 

148,647

 

 

 

4.2

%

 

 

5.50%

 

 

 

20

 

11/24/2023

ABN AMRO Bank N.V.

 

 

135,649

 

 

 

3.9

%

 

 

5.52%

 

 

 

14

 

11/14/2023

Marex Capital Markets Inc.

 

 

107,196

 

 

 

3.0

%

 

 

5.48%

 

 

 

7

 

11/13/2023

Bank of Montreal

 

 

90,664

 

 

 

2.6

%

 

 

5.50%

 

 

 

13

 

11/13/2023

South Street Securities, LLC

 

 

77,600

 

 

 

2.2

%

 

 

5.51%

 

 

 

29

 

11/29/2023

Lucid Cash Fund USG LLC

 

 

9,493

 

 

 

0.3

%

 

 

5.50%

 

 

 

16

 

11/16/2023

Lucid Prime Fund, LLC

 

 

7,970

 

 

 

0.2

%

 

 

5.50%

 

 

 

16

 

11/16/2023

DV Securities, LLC Repo

 

 

347

 

 

 

0.0

%

 

 

5.49%

 

 

 

30

 

11/30/2023

Total Borrowings

 

$

3,515,760

 

 

 

100.0

%

 

 

5.50%

 

 

 

19

 

12/22/2023

 

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

Source: Orchid Island Capital, Inc.

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