Orchid Island Capital Announces May 2023 Monthly Dividend and April 30, 2023 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. declares a monthly cash dividend of $0.16 per share for May 2023. The next dividend announcement is expected on June 14, 2023.

Positive

• Orchid Island Capital, Inc. declares a monthly cash dividend of $0.16 per share for May 2023. The dividend will be paid on June 28, 2023, to holders of record on May 31, 2023. The Company plans to make regular monthly cash distributions to its holders of common stock.

Negative

• 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.

• May 2023 Monthly Dividend of $0.16 Per Share of Common Stock
• RMBS Portfolio Characteristics as of April 30, 2023
• Next Dividend Announcement Expected June 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 May 2023. The dividend of $0.16 per share will be paid June 28, 2023 to holders of record of the Company’s common stock on May 31, 2023, with an ex-dividend date of May 30, 2023. The Company plans on announcing its next common stock dividend on June 14, 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 May 10, 2023 and April 30, 2023, the Company had 39,134,901 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 April 30, 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 -
																																		Apr-23				Apr-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 May)				in May)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
15yr 4.0		$	388			$	383				0.01	%		$	98.56				4.00	%			4.54	%			60				119				0.8	%			0.8	%		$	6			$	(6	)
15yr Total			388				383				0.01	%			98.56				4.00	%			4.54	%			60				119				0.8	%			0.8	%			6				(6	)
30yr 3.0			2,502,568				2,258,747				56.92	%			90.26				3.00	%			3.44	%			24				332				3.2	%			3.5	%			72,933				(74,550	)
30yr 3.5			207,700				196,348				4.95	%			94.53				3.50	%			4.03	%			38				312				9.1	%			8.0	%			5,461				(5,533	)
30yr 4.0			589,382				564,121				14.21	%			95.71				4.00	%			4.78	%			15				343				3.8	%			3.3	%			13,837				(15,048	)
30yr 4.5			361,452				353,656				8.91	%			97.84				4.50	%			5.45	%			10				349				9.4	%			6.3	%			6,405				(7,472	)
30yr 5.0			578,426				575,912				14.51	%			99.57				5.00	%			5.93	%			8				352				4.6	%			5.9	%			9,460				(11,269	)
30yr Total			4,239,528				3,948,784				99.50	%			93.14				3.56	%			4.16	%			20				337				4.3	%			4.2	%			108,095				(113,872	)
Total Pass Through RMBS			4,239,916				3,949,167				99.51	%			93.14				3.56	%			4.16	%			20				337				4.3	%			4.2	%			108,101				(113,879	)
Structured RMBS
IO 20yr 4.0			10,015				1,106				0.03	%			11.04				4.00	%			4.57	%			136				97				9.1	%			10.1	%			6				(6	)
IO 30yr 3.0			3,097				381				0.01	%			12.31				3.00	%			3.64	%			99				250				1.0	%			0.8	%			1				(2	)
IO 30yr 4.0			88,351				16,315				0.41	%			18.47				4.00	%			4.60	%			104				247				7.8	%			6.4	%			(434	)			311
IO 30yr 4.5			3,774				711				0.02	%			18.83				4.50	%			4.99	%			154				192				8.3	%			7.7	%			(9	)			5
IO 30yr 5.0			2,096				418				0.01	%			19.93				5.00	%			5.36	%			154				194				19.3	%			16.2	%			(9	)			6
IO Total			107,333				18,931				0.48	%			17.64				4.01	%			4.60	%			110				230				8.0	%			6.8	%			(446	)			313
IIO 30yr 4.0			29,846				492				0.01	%			1.65				0.00	%			4.40	%			67				282				0.4	%			3.6	%			109				(96	)
Total Structured RMBS			137,179				19,423				0.49	%			14.16				3.14	%			4.55	%			101				242				6.3	%			6.1	%			(337	)			217
Total Mortgage Assets		$	4,377,095			$	3,968,590				100.00	%							3.55	%			4.18	%			23				334				4.4	%			4.3	%		$	107,764			$	(113,662	)

		Average			Hedge		Modeled Interest
		Notional			Period		Rate Sensitivity (1)
Hedge		Balance			End		(-50 BPS)				(+50 BPS)
5-Year Treasury Future(2)		$	(926,500	)	Jun-23		$	(19,928	)		$	19,350
10-Year Treasury Ultra(3)			(54,200	)	Jun-23			(2,624	)			2,506
Swaps			(1,674,000	)	Apr-29			(42,025	)			40,483
TBA			(875,000	)	May-23			(24,294	)			25,654
Swaptions			(533,000	)	Aug-24			(2,941	)			4,969
Hedge Total		$	(4,062,700	)			$	(91,812	)		$	92,962
Rate Shock Grand Total							$	15,952			$	(20,700	)

(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 $109.74 at April 30, 2023. The market value of the short position was $0.1 million.
(3)		Ten-year Treasury Ultra futures contracts were valued at prices of $121.45 at April 30, 2023. The market value of the short position was $65.8 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of April 30, 2023
Fannie Mae		$	2,610,530				65.8	%
Freddie Mac			1,358,060				34.2	%
Total Mortgage Assets		$	3,968,590				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of April 30, 2023
Non-Whole Pool Assets		$	153,421				3.9	%
Whole Pool Assets			3,815,169				96.1	%
Total Mortgage Assets		$	3,968,590				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of April 30, 2023		Borrowings				Debt				Rate				in Days			Maturity
J.P. Morgan Securities LLC		$	349,275				9.3	%			5.07%				28		7/24/2023
Merrill Lynch, Pierce, Fenner & Smith			333,041				8.8	%			5.07%				18		5/26/2023
RBC Capital Markets, LLC			314,868				8.4	%			5.09%				43		7/17/2023
Mirae Asset Securities (USA) Inc.			305,602				8.1	%			5.01%				60		9/1/2023
Daiwa Securities America Inc.			249,655				6.6	%			5.14%				47		6/16/2023
Marex Capital Markets Inc.			234,474				6.2	%			5.01%				20		6/28/2023
ING Financial Markets LLC			232,368				6.2	%			4.97%				4		5/4/2023
Cantor Fitzgerald & Co			225,426				6.0	%			4.98%				5		5/11/2023
ABN AMRO Bank N.V.			220,568				5.9	%			5.12%				44		6/13/2023
ASL Capital Markets Inc.			211,837				5.6	%			5.04%				18		5/19/2023
Citigroup Global Markets Inc			189,222				5.0	%			5.11%				28		5/30/2023
StoneX Financial Inc.			181,326				4.8	%			4.90%				8		5/10/2023
Mitsubishi UFJ Securities (USA), Inc			176,362				4.7	%			4.90%				4		5/24/2023
Wells Fargo Bank, N.A.			164,206				4.4	%			5.07%				24		6/9/2023
Goldman, Sachs & Co			125,228				3.3	%			5.01%				10		5/24/2023
Santander Bank, N.A.			115,540				3.1	%			5.10%				23		5/26/2023
Bank of Montreal			76,290				2.0	%			5.05%				19		5/19/2023
South Street Securities, LLC			37,163				1.0	%			5.14%				47		6/16/2023
Lucid Cash Fund USG LLC			18,356				0.5	%			5.02%				11		5/11/2023
Lucid Prime Fund, LLC			2,755				0.1	%			5.02%				11		5/11/2023
Total Borrowings		$	3,763,562				100.0	%			5.04%				26		9/1/2023

(1)

Included in this balance is $256.8 million of floating rate repurchase agreements priced at overnight SOFR + 15 basis points.

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20230510005673/en/

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount declared by Orchid Island Capital, Inc. for May 2023?

The dividend declared by Orchid Island Capital, Inc. for May 2023 is $0.16 per share.

When will the dividend be paid to the holders of Orchid Island Capital, Inc.'s common stock?

The dividend will be paid on June 28, 2023, to holders of record on May 31, 2023.

What is the next dividend announcement date for Orchid Island Capital, Inc.?

The next dividend announcement by Orchid Island Capital, Inc. is expected on June 14, 2023.

Will Orchid Island Capital, Inc. continue to make regular monthly cash distributions to its holders of common stock?

Yes, Orchid Island Capital, Inc. plans to make regular monthly cash distributions to its holders of common stock.

Is there a minimum distribution payment level established by Orchid Island Capital, Inc.?

No, Orchid Island Capital, Inc. has not established a minimum distribution payment level.