Orchid Island Capital Announces Estimated Second Quarter 2023 Results, July 2023 Monthly Dividend and June 30, 2023 RMBS Portfolio Characteristics
-
July 2023 Monthly Dividend of
$0.16 -
Estimated Book Value Per Share as of June 30, 2023 of
$11.16 -
Estimated GAAP net income of
$0.25 $0.59 -
Estimated
0.8% total return on equity for the quarter - Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
- RMBS Portfolio Characteristics as of June 30, 2023
- Next Dividend Announcement Expected August 16, 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
As of July 12, 2023 and June 30, 2023 the Company had 43,896,709 shares of common stock outstanding. As of March 31, 2023, the Company had 39,085,756 shares of common stock outstanding.
Estimated June 30, 2023 Book Value Per Share
The Company’s estimated book value per share as of June 30, 2023 was
Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net income per share of
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter ended June 30, 2023 was
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of June 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 June 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 |
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Realized |
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Realized |
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Apr 23 - |
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Jun-23 |
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Jun-23 |
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Net |
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Weighted |
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CPR |
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CPR |
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Weighted |
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Average |
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(1-Month) |
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(3-Month) |
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Modeled Interest |
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Current |
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Fair |
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% of |
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Current |
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Average |
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Maturity |
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(Reported |
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(Reported |
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Rate Sensitivity (1) |
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Type |
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Face |
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Value |
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Portfolio |
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Price |
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Coupon |
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GWAC |
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Age |
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(Months) |
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in July) |
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in July) |
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(-50 BPS) |
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(+50 BPS) |
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Fixed Rate RMBS |
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15yr 4.0 |
|
$ |
383 |
|
|
$ |
371 |
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0.01 |
% |
|
$ |
96.93 |
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4.00 |
% |
|
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4.54 |
% |
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|
62 |
|
|
|
117 |
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0.9 |
% |
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0.8 |
% |
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$ |
6 |
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$ |
(6 |
) |
15yr 5.0 TBA |
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100,000 |
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99,352 |
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2.22 |
% |
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99.35 |
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5.00 |
% |
|
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5.67 |
% |
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9 |
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|
169 |
|
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0.0 |
% |
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0.0 |
% |
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1,266 |
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(1,419 |
) |
15yr Total |
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100,383 |
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99,723 |
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2.23 |
% |
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99.34 |
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5.00 |
% |
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5.66 |
% |
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9 |
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|
169 |
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0.9 |
% |
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0.8 |
% |
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1,272 |
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(1,425 |
) |
30yr 3.0 |
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2,474,334 |
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2,194,008 |
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49.05 |
% |
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88.67 |
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3.00 |
% |
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3.44 |
% |
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26 |
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|
330 |
|
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6.0 |
% |
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5.0 |
% |
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70,753 |
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(71,872 |
) |
30yr 3.5 |
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203,929 |
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189,423 |
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4.23 |
% |
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92.89 |
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3.50 |
% |
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4.03 |
% |
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40 |
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|
310 |
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7.0 |
% |
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8.0 |
% |
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5,284 |
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(5,332 |
) |
30yr 4.0 |
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580,703 |
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546,482 |
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12.22 |
% |
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|
94.11 |
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4.00 |
% |
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|
4.78 |
% |
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|
17 |
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|
|
341 |
|
|
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5.7 |
% |
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6.4 |
% |
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13,595 |
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(14,616 |
) |
30yr 4.5 |
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356,032 |
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342,890 |
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7.67 |
% |
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|
96.31 |
|
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4.50 |
% |
|
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5.45 |
% |
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|
12 |
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|
347 |
|
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6.8 |
% |
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7.2 |
% |
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6,470 |
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(7,402 |
) |
30yr 5.0 |
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573,059 |
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563,183 |
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12.59 |
% |
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|
98.28 |
|
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5.00 |
% |
|
|
5.93 |
% |
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|
10 |
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|
349 |
|
|
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6.0 |
% |
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4.8 |
% |
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9,658 |
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(11,258 |
) |
30yr 5.5 |
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|
278,576 |
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279,818 |
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6.26 |
% |
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|
100.45 |
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|
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5.50 |
% |
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|
6.43 |
% |
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3 |
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|
358 |
|
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0.6 |
% |
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0.0 |
% |
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|
4,049 |
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(4,838 |
) |
30yr 6.0 |
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236,617 |
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240,028 |
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5.37 |
% |
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|
101.44 |
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6.00 |
% |
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|
7.01 |
% |
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4 |
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|
354 |
|
|
|
11.3 |
% |
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0.0 |
% |
|
|
2,662 |
|
|
|
(3,214 |
) |
30yr Total |
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|
4,703,250 |
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|
|
4,355,832 |
|
|
|
97.37 |
% |
|
|
92.61 |
|
|
|
3.80 |
% |
|
|
4.44 |
% |
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|
20 |
|
|
|
337 |
|
|
|
6.0 |
% |
|
|
5.5 |
% |
|
|
112,471 |
|
|
|
(118,532 |
) |
Total Pass Through RMBS |
|
|
4,803,633 |
|
|
|
4,455,555 |
|
|
|
99.60 |
% |
|
|
92.75 |
|
|
|
3.83 |
% |
|
|
4.47 |
% |
|
|
20 |
|
|
|
333 |
|
|
|
6.0 |
% |
|
|
5.5 |
% |
|
|
113,742 |
|
|
|
(119,957 |
) |
Structured RMBS |
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|
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|
|
IO 20yr 4.0 |
|
|
9,678 |
|
|
|
1,008 |
|
|
|
0.02 |
% |
|
|
10.41 |
|
|
|
4.00 |
% |
|
|
4.57 |
% |
|
|
138 |
|
|
|
95 |
|
|
|
9.9 |
% |
|
|
9.8 |
% |
|
|
6 |
|
|
|
(6 |
) |
IO 30yr 3.0 |
|
|
3,076 |
|
|
|
417 |
|
|
|
0.01 |
% |
|
|
13.55 |
|
|
|
3.00 |
% |
|
|
3.64 |
% |
|
|
101 |
|
|
|
248 |
|
|
|
19.2 |
% |
|
|
7.4 |
% |
|
|
1 |
|
|
|
(2 |
) |
IO 30yr 4.0 |
|
|
86,365 |
|
|
|
14,923 |
|
|
|
0.33 |
% |
|
|
17.28 |
|
|
|
4.00 |
% |
|
|
4.60 |
% |
|
|
106 |
|
|
|
245 |
|
|
|
8.0 |
% |
|
|
8.4 |
% |
|
|
(327 |
) |
|
|
230 |
|
IO 30yr 4.5 |
|
|
3,708 |
|
|
|
689 |
|
|
|
0.02 |
% |
|
|
18.58 |
|
|
|
4.50 |
% |
|
|
4.99 |
% |
|
|
156 |
|
|
|
190 |
|
|
|
10.8 |
% |
|
|
8.1 |
% |
|
|
(6 |
) |
|
|
3 |
|
IO 30yr 5.0 |
|
|
2,020 |
|
|
|
411 |
|
|
|
0.01 |
% |
|
|
20.36 |
|
|
|
5.00 |
% |
|
|
5.36 |
% |
|
|
156 |
|
|
|
192 |
|
|
|
1.0 |
% |
|
|
11.7 |
% |
|
|
(8 |
) |
|
|
5 |
|
IO Total |
|
|
104,847 |
|
|
|
17,448 |
|
|
|
0.39 |
% |
|
|
16.64 |
|
|
|
4.01 |
% |
|
|
4.60 |
% |
|
|
112 |
|
|
|
228 |
|
|
|
8.4 |
% |
|
|
8.6 |
% |
|
|
(335 |
) |
|
|
230 |
|
IIO 30yr 4.0 |
|
|
29,301 |
|
|
|
321 |
|
|
|
0.01 |
% |
|
|
1.09 |
|
|
|
0.00 |
% |
|
|
4.40 |
% |
|
|
69 |
|
|
|
280 |
|
|
|
0.4 |
% |
|
|
1.4 |
% |
|
|
82 |
|
|
|
(71 |
) |
Total Structured RMBS |
|
|
134,148 |
|
|
|
17,769 |
|
|
|
0.40 |
% |
|
|
13.25 |
|
|
|
3.13 |
% |
|
|
4.55 |
% |
|
|
103 |
|
|
|
240 |
|
|
|
6.7 |
% |
|
|
7.0 |
% |
|
|
(253 |
) |
|
|
159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Assets |
|
$ |
4,937,781 |
|
|
$ |
4,473,324 |
|
|
|
100.00 |
% |
|
|
|
|
|
|
3.81 |
% |
|
|
4.47 |
% |
|
|
22 |
|
|
|
331 |
|
|
|
6.1 |
% |
|
|
5.6 |
% |
|
$ |
113,489 |
|
|
$ |
(119,798 |
) |
|
|
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 |
|
$ |
(9,706 |
) |
|
$ |
9,484 |
|
10-Year Treasury Future(3) |
|
|
(285,000 |
) |
Sep-23 |
|
|
(9,380 |
) |
|
|
9,155 |
|
10-Year Ultra Treasury Future(4) |
|
|
(244,200 |
) |
Sep-23 |
|
|
(11,679 |
) |
|
|
11,136 |
|
Swaps |
|
|
(2,151,500 |
) |
Jul-29 |
|
|
(53,567 |
) |
|
|
51,602 |
|
TBA |
|
|
(350,000 |
) |
Aug-23 |
|
|
(9,852 |
) |
|
|
10,195 |
|
Swaptions |
|
|
(533,000 |
) |
Aug-24 |
|
|
(4,936 |
) |
|
|
8,791 |
|
Hedge Total |
|
$ |
(4,035,200 |
) |
|
|
$ |
(99,120 |
) |
|
$ |
100,363 |
|
Rate Shock Grand Total |
|
|
|
|
|
|
$ |
14,369 |
|
|
$ |
(19,435 |
) |
(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 |
|
(3) |
Ten-year Treasury futures contracts were valued at prices of |
|
(4) |
Ten-year Treasury Ultra futures contracts were valued at prices of |
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| RMBS Assets by Agency |
|
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|
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($ in thousands) |
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Percentage |
|
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Fair |
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of |
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||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of June 30, 2023 |
|
|
|
|
|
|
|
|
Fannie Mae |
|
$ |
2,996,935 |
|
|
|
67.0 |
% |
Freddie Mac |
|
|
1,476,389 |
|
|
|
33.0 |
% |
Total Mortgage Assets |
|
$ |
4,473,324 |
|
|
|
100.0 |
% |
Investment Company Act of 1940 Whole Pool Test |
|
|||||||
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
Fair |
|
|
of |
|
||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of June 30, 2023 |
|
|
|
|
|
|
|
|
Non-Whole Pool Assets |
|
$ |
148,076 |
|
|
|
3.3 |
% |
Whole Pool Assets |
|
|
4,325,248 |
|
|
|
96.7 |
% |
Total Mortgage Assets |
|
$ |
4,473,324 |
|
|
|
100.0 |
% |
Borrowings By Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
Weighted |
|
|
||
|
|
|
|
|
|
|
% of |
|
|
Average |
|
|
Average |
|
|
|||
|
|
Total |
|
|
|
Total |
|
|
Repo |
|
|
Maturity |
|
Longest |
||||
As of June 30, 2023 |
|
Borrowings |
|
|
|
Debt |
|
|
Rate |
|
|
in Days |
|
Maturity |
||||
J.P. Morgan Securities LLC |
|
$ |
337,627 |
|
|
|
|
8.0 |
% |
|
|
5.32 |
% |
|
|
13 |
|
7/24/2023 |
ASL Capital Markets Inc. |
|
|
336,720 |
|
|
|
|
8.0 |
% |
|
|
5.27 |
% |
|
|
41 |
|
9/29/2023 |
Mitsubishi UFJ Securities ( |
|
|
331,790 |
|
|
|
|
7.9 |
% |
|
|
5.26 |
% |
|
|
19 |
|
7/27/2023 |
Wells Fargo Bank, N.A. |
|
|
328,470 |
|
|
|
|
7.8 |
% |
|
|
5.28 |
% |
|
|
15 |
|
7/28/2023 |
RBC Capital Markets, LLC |
|
|
315,578 |
|
|
|
|
7.5 |
% |
|
|
5.19 |
% |
|
|
15 |
|
7/17/2023 |
Citigroup Global Markets Inc |
|
|
308,384 |
|
|
|
|
7.3 |
% |
|
|
5.24 |
% |
|
|
28 |
|
7/31/2023 |
Mirae Asset Securities ( |
|
|
301,508 |
|
|
|
|
7.2 |
% |
|
|
5.24 |
% |
|
|
78 |
|
12/22/2023 |
Daiwa Securities America Inc. |
|
|
241,338 |
|
|
|
|
5.7 |
% |
|
|
5.22 |
% |
|
|
17 |
|
7/17/2023 |
Marex Capital Markets Inc. |
|
|
229,138 |
|
|
|
|
5.5 |
% |
|
|
5.29 |
% |
|
|
11 |
|
7/27/2023 |
ING Financial Markets LLC |
|
|
225,570 |
|
|
|
|
5.4 |
% |
|
|
5.24 |
% |
|
|
27 |
|
7/27/2023 |
ABN AMRO Bank N.V. |
|
|
218,376 |
|
|
|
|
5.2 |
% |
|
|
5.30 |
% |
|
|
13 |
|
7/13/2023 |
Cantor Fitzgerald & Co |
|
|
217,196 |
|
|
|
|
5.2 |
% |
|
|
5.25 |
% |
|
|
17 |
|
7/17/2023 |
Merrill Lynch, Pierce, Fenner & Smith |
|
|
186,631 |
|
|
|
|
4.4 |
% |
|
|
5.26 |
% |
|
|
15 |
|
8/25/2023 |
StoneX Financial Inc. |
|
|
174,967 |
|
|
|
|
4.2 |
% |
|
|
5.26 |
% |
|
|
13 |
|
7/17/2023 |
Goldman, Sachs & Co |
|
|
122,836 |
|
|
|
|
2.9 |
% |
|
|
5.30 |
% |
|
|
11 |
|
7/24/2023 |
South Street Securities, LLC |
|
|
117,859 |
|
|
|
|
2.8 |
% |
|
|
5.36 |
% |
|
|
88 |
|
9/29/2023 |
Banco Santander SA |
|
|
113,119 |
|
|
|
|
2.7 |
% |
|
|
5.22 |
% |
|
|
24 |
|
7/24/2023 |
Bank of Montreal |
|
|
74,325 |
|
|
|
|
1.8 |
% |
|
|
5.25 |
% |
|
|
17 |
|
7/17/2023 |
Lucid Cash Fund USG LLC |
|
|
11,208 |
|
|
|
|
0.3 |
% |
|
|
5.30 |
% |
|
|
20 |
|
7/20/2023 |
Lucid Prime Fund, LLC |
|
|
9,077 |
|
|
|
|
0.2 |
% |
|
|
5.30 |
% |
|
|
20 |
|
7/20/2023 |
Total Borrowings |
|
$ |
4,201,717 |
|
|
|
|
100.0 |
% |
|
|
5.26 |
% |
|
|
25 |
|
12/22/2023 |
View source version on businesswire.com: https://www.businesswire.com/news/home/20230712591391/en/
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
Source: Orchid Island Capital, Inc.
