Orchid Island Capital Announces June 2023 Monthly Dividend and May 31, 2023 RMBS Portfolio Characteristics

• June 2023 Monthly Dividend of $0.16 Per Share of Common Stock
• RMBS Portfolio Characteristics as of May 31, 2023
• Next Dividend Announcement Expected July 12, 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 June 2023. The dividend of $0.16 per share will be paid July 27, 2023 to holders of record of the Company’s common stock on June 30, 2023, with an ex-dividend date of June 29, 2023. The Company plans on announcing its next common stock dividend on July 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 June 14, 2023, the Company had 42,036,854 shares of common stock outstanding. As of May 31, 2023, the Company had 39,371,053 shares of common stock outstanding. As of March 31, 2023, the Company had 39,085,756 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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				Mar 23 -
																																		May-23				May-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 June)				in June)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
15yr 4.0		$	385			$	378				0.01	%		$	98.11				4.00	%			4.54	%			61				118				0.8	%			0.8	%		$	6			$	(6	)
15yr Total			385				378				0.01	%			98.11				4.00	%			4.54	%			61				118				0.8	%			0.8	%			6				(6	)
30yr 3.0			2,491,193				2,225,540				56.94	%			89.34				3.00	%			3.44	%			25				331				5.7	%			4.5	%			73,146				(74,378	)
30yr 3.5			205,664				192,340				4.92	%			93.52				3.50	%			4.03	%			39				311				7.5	%			8.1	%			5,449				(5,498	)
30yr 4.0			586,559				555,714				14.22	%			94.74				4.00	%			4.78	%			16				342				9.6	%			6.1	%			14,160				(15,276	)
30yr 4.5			358,032				347,112				8.88	%			96.95				4.50	%			5.45	%			11				348				5.1	%			6.0	%			6,753				(7,656	)
30yr 5.0			575,409				568,297				14.54	%			98.76				5.00	%			5.93	%			9				350				3.3	%			5.3	%			10,124				(11,857	)
30yr Total			4,216,857				3,889,003				99.50	%			92.23				3.56	%			4.16	%			21				335				6.0	%			5.1	%			109,632				(114,665	)
Total Pass Through RMBS			4,217,242				3,889,381				99.51	%			92.23				3.56	%			4.16	%			21				335				6.0	%			5.1	%			109,638				(114,672	)
Structured RMBS
IO 20yr 4.0			9,851				1,074				0.03	%			10.90				4.00	%			4.57	%			137				96				10.5	%			10.7	%			6				(7	)
IO 30yr 3.0			3,086				376				0.01	%			12.19				3.00	%			3.64	%			100				249				0.7	%			0.8	%			2				(3	)
IO 30yr 4.0			87,328				16,192				0.41	%			18.54				4.00	%			4.60	%			105				246				8.2	%			7.1	%			(335	)			236
IO 30yr 4.5			3,736				700				0.02	%			18.75				4.50	%			4.99	%			155				191				5.3	%			7.2	%			(6	)			2
IO 30yr 5.0			2,052				409				0.01	%			19.95				5.00	%			5.36	%			155				193				13.8	%			16.5	%			(7	)			4
IO Total			106,053				18,751				0.48	%			17.68				4.01	%			4.60	%			111				229				8.2	%			7.4	%			(339	)			233
IIO 30yr 4.0			29,644				451				0.01	%			1.52				0.00	%			4.40	%			68				281				3.5	%			3.5	%			104				(91	)
Total Structured RMBS			135,697				19,202				0.49	%			14.15				3.13	%			4.55	%			102				241				7.2	%			6.6	%			(236	)			142
Total Mortgage Assets		$	4,352,939			$	3,908,583				100.00	%							3.55	%			4.18	%			24				333				6.0	%			5.2	%		$	109,403			$	(114,530	)

		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		$	(9,873	)		$	9,725
10-Year Treasury Future(3)			(95,000	)	Sep-23			(3,176	)			3,116
10-Year Ultra Treasury Future(4)			(154,200	)	Sep-23			(7,538	)			7,174
Swaps			(1,879,000	)	Jun-29			(47,499	)			45,752
TBA			(700,000	)	Jun-23			(20,050	)			20,868
Swaptions			(533,000	)	Aug-24			(4,227	)			6,869
Hedge Total		$	(3,832,700	)			$	(92,363	)		$	93,504
Rate Shock Grand Total							$	17,040			$	(21,026	)

(1)		Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR 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 $109.08 at May 31, 2023. The market value of the short position was $514.3 million.
(3)		Ten-year Treasury futures contracts were valued at prices of $114.47 at May 31, 2023. The market value of the short position was $108.8 million.
(4)		Ten-year Ultra Treasury futures contracts were valued at prices of $120.45 at May 31, 2023. The market value of the short position was $185.7 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of May 31, 2023
Fannie Mae		$	2,568,837				65.7	%
Freddie Mac			1,339,746				34.3	%
Total Mortgage Assets		$	3,908,583				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of May 31, 2023
Non-Whole Pool Assets		$	151,156				3.9	%
Whole Pool Assets			3,757,427				96.1	%
Total Mortgage Assets		$	3,908,583				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of May 31, 2023		Borrowings				Debt				Rate				in Days			Maturity
J.P. Morgan Securities LLC		$	346,217				9.3	%			5.17	%			15		7/24/2023
Merrill Lynch, Pierce, Fenner & Smith			329,566				8.8	%			5.20	%			14		6/27/2023
RBC Capital Markets, LLC			315,578				8.5	%			5.19	%			45		7/17/2023
Mirae Asset Securities (USA) Inc.			302,785	(1)			8.1	%			5.21	%			61		9/1/2023
Daiwa Securities America Inc.			249,655				6.7	%			5.14	%			16		6/16/2023
Marex Capital Markets Inc.			234,631				6.3	%			5.18	%			12		6/28/2023
ING Financial Markets LLC			232,481				6.2	%			5.20	%			15		6/15/2023
Cantor Fitzgerald & Co			223,843				6.0	%			5.20	%			17		7/13/2023
ABN AMRO Bank N.V.			220,568				5.9	%			5.12	%			13		6/13/2023
ASL Capital Markets Inc.			210,573				5.6	%			5.19	%			16		6/16/2023
Citigroup Global Markets Inc			184,408				4.9	%			5.28	%			28		6/30/2023
StoneX Financial Inc.			179,020				4.8	%			5.20	%			7		6/9/2023
Mitsubishi UFJ Securities (USA), Inc			168,879				4.5	%			5.28	%			19		6/21/2023
Wells Fargo Bank, N.A.			164,094				4.4	%			5.17	%			7		6/9/2023
Goldman, Sachs & Co			124,645				3.3	%			5.24	%			11		6/23/2023
Banco Santander SA			113,151				3.0	%			5.27	%			23		6/23/2023
Bank of Montreal			75,710				2.0	%			5.21	%			15		6/15/2023
South Street Securities, LLC			37,163				1.0	%			5.14	%			16		6/16/2023
Lucid Cash Fund USG LLC			11,382				0.3	%			5.18	%			15		6/15/2023
Lucid Prime Fund, LLC			9,371				0.3	%			5.18	%			15		6/15/2023
Total Borrowings		$	3,733,720				100.0	%			5.19	%			21		9/1/2023

(1)

Included in this balance is $254.1 million of floating rate repurchase agreements priced at overnight SOFR + 15 basis points.

 

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Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.