Orchid Island Capital Announces March 2023 Monthly Dividend and February 28, 2023 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) has declared a monthly cash dividend of $0.16 per share for March 2023, payable on April 26, 2023. Stockholders must be on record by March 31, 2023, with the ex-dividend date set for March 30, 2023. The Company must distribute at least 90% of its taxable income to qualify as a REIT and avoid income tax on undistributed amounts. As of March 9, 2023, the Company had 39,081,942 shares of common stock outstanding, increasing from 36,764,983 as of December 31, 2022. The next dividend announcement is expected on April 12, 2023.

Positive

• Monthly dividend of $0.16 per share reflects ongoing income for shareholders.
• Company's commitment to regular monthly cash distributions.

Negative

• Company has not established a minimum distribution payment level.
• Uncertainty regarding future ability to make distributions to stockholders.

• March 2023 Monthly Dividend of $0.16 Per Share of Common Stock
• RMBS Portfolio Characteristics as of February 28, 2023
• Next Dividend Announcement Expected April 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 March 2023. The dividend of $0.16 per share will be paid April 26, 2023 to holders of record of the Company’s common stock on March 31, 2023, with an ex-dividend date of March 30, 2023. The Company plans on announcing its next common stock dividend on April 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 March 9, 2023 and February 28, 2023, the Company had 39,081,942 shares of common stock outstanding. As of December 31, 2022, the Company had 36,764,983 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 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
																																		Feb-23				Dec 22 -				Modeled				Modeled
																		Net												Weighted				CPR				Feb-23 CPR				Interest				Interest
												%						Weighted												Average				(1-Month)				(3-Month)				Rate				Rate
		Current				Fair				of				Current				Average												Maturity				(Reported				(Reported				Sensitivity				Sensitivity
Type		Face				Value				Portfolio				Price				Coupon				GWAC				Age				(Months)				in Mar)				in Mar)				(-50 BPS)(1)				(+50 BPS)(1)
Fixed Rate RMBS
15yr 4.0		$	394			$	386				0.01	%		$	98.02				4.00	%			4.54	%			58				121				0.8	%			0.8	%		$	6			$	(7	)
15yr Total			394				386				0.01	%			98.02				4.00	%			4.54	%			58				121				0.8	%			0.8	%			6				(7	)
30yr 3.0			2,527,226				2,242,008				56.79	%			88.71				3.00	%			3.44	%			22				334				2.6	%			3.5	%			72,001				(73,362	)
30yr 3.5			211,154				196,115				4.97	%			92.88				3.50	%			4.03	%			36				315				7.1	%			7.4	%			5,403				(5,480	)
30yr 4.0			472,593				445,415				11.28	%			94.25				4.00	%			4.76	%			14				344				1.5	%			4.3	%			11,258				(12,059	)
30yr 4.5			486,567				466,639				11.82	%			95.90				4.38	%			5.30	%			9				351				4.5	%			4.8	%			9,613				(10,763	)
30yr 5.0			586,178				577,962				14.64	%			98.60				5.00	%			5.93	%			6				354				5.0	%			5.4	%			10,126				(11,751	)
30yr Total			4,283,718				3,928,139				99.50	%			91.70				3.56	%			4.17	%			18				339				3.3	%			4.1	%			108,402				(113,414	)
Total Pass Through RMBS			4,284,112				3,928,525				99.51	%			91.70				3.56	%			4.17	%			18				339				3.3	%			4.1	%			108,408				(113,421	)
Structured RMBS
IO 20yr 4.0			10,395				1,160				0.03	%			11.16				4.00	%			4.57	%			134				99				8.8	%			9.7	%			5				(6	)
IO 30yr 3.0			3,117				377				0.01	%			12.11				3.00	%			3.64	%			97				252				0.6	%			9.7	%			-				(2	)
IO 30yr 4.0			89,901				16,459				0.42	%			18.31				4.00	%			4.60	%			102				249				6.0	%			5.2	%			(434	)			317
IO 30yr 4.5			3,855				721				0.02	%			18.70				4.50	%			4.99	%			152				194				6.8	%			6.2	%			(9	)			5
IO 30yr 5.0			2,166				428				0.01	%			19.78				5.00	%			5.36	%			152				196				13.0	%			6.5	%			(9	)			6
IO Total			109,434				19,145				0.48	%			17.49				4.01	%			4.60	%			108				232				6.2	%			5.9	%			(446	)			320
IIO 30yr 4.0			30,691				316				0.01	%			1.03				0.00	%			4.40	%			65				284				3.8	%			4.4	%			83				(70	)
Total Structured RMBS			140,125				19,461				0.49	%			13.89				3.13	%			4.55	%			99				243				5.7	%			5.5	%			(364	)			250
Total Mortgage Assets		$	4,424,237			$	3,947,986				100.00	%							3.55	%			4.18	%			21				336				3.3	%			4.2	%		$	108,045			$	(113,171	)

							Interest				Interest
		Average			Hedge		Rate				Rate
		Notional			Period		Sensitivity				Sensitivity
Hedge		Balance			End		(-50 BPS)(1)				(+50 BPS)(1)
5-Year Treasury Future(2)		$	(926,500	)	Jun-23		$	(19,309	)		$	18,873
10-Year Treasury Ultra(3)			(54,200	)	Jun-23			(2,515	)			2,396
Swaps			(1,674,000	)	Apr-29			(41,165	)			39,651
TBA			(875,000	)	Apr-23			(23,837	)			25,040
Swaptions			(533,000	)	Apr-24			(6,450	)			7,308
Hedge Total		$	(4,062,700	)			$	(93,276	)		$	93,268
Rate Shock Grand Total							$	14,769			$	(19,903	)

(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 $107.05 at February 28, 2023. The market value of the short position was $991.8 million.
(3)		Ten-year Treasury Ultra futures contracts were valued at prices of $117.19 at February 28, 2023. The market value of the short position was $63.5 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of February 28, 2023
Fannie Mae		$	2,596,456				65.8	%
Freddie Mac			1,351,530				34.2	%
Total Mortgage Assets		$	3,947,986				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of February 28, 2023
Non-Whole Pool Assets		$	154,105				3.9	%
Whole Pool Assets			3,793,881				96.1	%
Total Mortgage Assets		$	3,947,986				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity		Longest
As of February 28, 2023		Borrowings				Debt				Rate				in Days		Maturity
Mirae Asset Securities (USA) Inc.		$	382,463		(1)		10.0	%			4.68%			66		8/14/2023
J.P. Morgan Securities LLC			354,849				9.2	%			4.74%			29		4/11/2023
Merrill Lynch, Pierce, Fenner & Smith			338,296				8.8	%			4.68%			11		4/28/2023
RBC Capital Markets, LLC			327,576				8.5	%			4.69%			19		4/13/2023
Daiwa Capital Markets America Inc.			255,292				6.7	%			4.76%			48		4/17/2023
Marex Capital Markets Inc.			239,483				6.2	%			4.70%			27		4/28/2023
ING Financial Markets LLC			238,746				6.2	%			4.70%			23		3/23/2023
ABN AMRO Bank N.V.			229,463				6.0	%			4.62%			13		3/13/2023
Cantor Fitzgerald & Co			228,950				6.0	%			4.70%			7		3/13/2023
ASL Capital Markets Inc.			215,594				5.6	%			4.67%			17		3/20/2023
Citigroup Global Markets Inc			192,293				5.0	%			4.69%			8		3/24/2023
StoneX Financial Inc.			182,084				4.7	%			4.81%			56		5/10/2023
Mitsubishi UFJ Securities (USA), Inc			176,277				4.6	%			4.76%			38		5/1/2023
Goldman, Sachs & Co.			125,126				3.3	%			4.69%			16		3/23/2023
Santander Bank, N.A.			118,614				3.1	%			4.84%			54		4/27/2023
Wells Fargo Bank, N.A.			94,663				2.5	%			4.70%			13		3/13/2023
BMO Capital Markets Corp.			80,056				2.1	%			4.68%			21		3/21/2023
South Street Securities, LLC			37,180				1.0	%			4.70%			17		3/17/2023
Lucid Cash Fund USG, LLC			18,481				0.5	%			4.72%			9		3/9/2023
Lucid Prime Fund, LLC			2,778				0.1	%			4.72%			9		3/9/2023
Total Borrowings		$	3,838,264				100.0	%			4.71%			28		8/14/2023

(1)

Included in this balance is $202.9 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.

FAQ

What is the dividend amount for March 2023 for ORC?

The dividend amount for March 2023 is $0.16 per share.

When will the dividend be paid to ORC shareholders?

The dividend will be paid on April 26, 2023.

What is the ex-dividend date for ORC's March 2023 dividend?

The ex-dividend date is March 30, 2023.

When is the next dividend announcement for ORC?

The next dividend announcement is expected on April 12, 2023.

What does it mean for ORC to qualify as a REIT?

To qualify as a REIT, ORC must distribute at least 90% of its taxable income to shareholders.