Orchid Island Capital Announces November 2022 Monthly Dividend and October 31, 2022 Rmbs Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (NYSE: ORC) has declared a monthly cash dividend of $0.16 per share for November 2022, payable on December 28, 2022. The record date is November 30, 2022, with an ex-dividend date of November 29, 2022. The Company aims to make regular monthly distributions to its common stockholders. To qualify as a real estate investment trust (REIT), it must distribute at least 90% of its taxable income annually. However, there is no assurance of future distributions.

Positive

• Monthly dividend declared at $0.16 per share.
• Next dividend announcement expected on December 13, 2022.
• Company continues to meet REIT distribution requirements.

Negative

• No minimum distribution payment level established.
• Future ability to make distributions is uncertain.

• November 2022 Monthly Dividend of $0.16 Per Share of Common Stock
• RMBS Portfolio Characteristics as of October 31, 2022
• Next Dividend Announcement Expected December 13, 2022

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 2022. The dividend of $0.16 per share will be paid December 28, 2022 to holders of record of the Company’s common stock on November 30, 2022, with an ex-dividend date of November 29, 2022. The Company plans on announcing its next common stock dividend on December 13, 2022.

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 9, 2022 and October 31, 2022, the Company had 33,422,207 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 2022 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, 2021.

RMBS Valuation Characteristics
($ in thousands)
																							Realized		Realized
																							Oct 2022		Aug - Oct				Modeled				Modeled
															Net						Weighted		CPR		2022 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 Nov)		in Nov)				(-50 BPS)(1)				(+50 BPS)(1)
Pass Through RMBS
15yr 4.0	$		405		$		390		0.01%		$		96.25		4.00%		4.54%		54		125		0.8%		0.7%		$		7		$		(7)
15yr Total			405				390		0.01%				96.25		4.00%		4.54%		54		125		0.8%		0.7%				7				(7)
30yr 3.0			2,584,539				2,213,102		71.79%				85.63		3.00%		3.44%		18		338		4.9%		5.4%				70,275				(72,234)
30yr 3.5			217,939				194,697		6.32%				89.34		3.50%		4.03%		32		319		5.4%		7.4%				5,347				(5,469)
30yr 4.0			275,109				251,726		8.17%				91.50		4.00%		4.72%		16		342		7.1%		7.4%				6,265				(6,710)
30yr 4.5			370,457				348,462		11.30%				94.06		4.50%		5.45%		4		356		1.2%		n/a				7,203				(7,963)
30yr 5.0			54,638				52,785		1.71%				96.61		5.00%		5.92%		4		356		0.1%		4.9%				934				(1,065)
30yr Total			3,502,682				3,060,772		99.29%				87.38		3.30%		3.83%		17		340		4.7%		5.7%				90,024				(93,441)
Total Pass Through RMBS			3,503,087				3,061,162		99.30%				87.38		3.30%		3.83%		17		340		4.7%		5.7%				90,031				(93,448)
Structured RMBS
IO 20yr 4.0			11,124				1,293		0.04%				11.62		4.00%		4.57%		130		103		7.9%		10.9%				6				(7)
IO 30yr 3.0			3,242				403		0.01%				12.42		3.00%		3.64%		93		257		0.8%		17.3%				(1)				-
IO 30yr 4.0			93,045				18,112		0.59%				19.47		4.00%		4.60%		98		253		5.8%		8.7%				(422)				307
IO 30yr 4.5			4,004				767		0.02%				19.15		4.50%		4.99%		148		199		6.6%		9.7%				(8)				4
IO 30yr 5.0			2,232				461		0.01%				20.64		5.00%		5.36%		148		200		4.8%		2.9%				(8)				6
IO Total			113,647				21,036		0.68%				18.51		4.01%		4.60%		104		235		5.9%		9.1%				(433)				310
IIO 30yr 4.0			32,399				454		0.01%				1.40		1.01%		4.40%		61		288		1.9%		9.2%				118				(99)
Total Structured RMBS			146,046				21,490		0.70%				14.71		3.34%		4.55%		95		247		5.0%		9.1%				(315)				211
Total Mortgage Assets	$		3,649,133		$		3,082,652		100.00%						0.00%		0.00%		-		-		0.0%		0.0%		$		89,716		$		(93,237)

															Interest		Interest
		Average		Hedge											Rate		Rate
		Notional		Period											Sensitivity		Sensitivity
Hedge		Balance		End											(-50 BPS)(1)		(+50 BPS)(1)
5-Year Treasury Future(2)	$	(750,500)		Dec-2022										$	(17,228)	$	16,777
10-Year Treasury Ultra(3)		(174,500)		Dec-2022											(10,037)		8,880
Swaps		(1,400,000)		Jul-2028											(32,381)		31,321
TBA		(675,000)		Nov-2022											(18,570)		19,335
Swaptions		(613,000)		Jan-2024											(10,424)		10,520
Hedge Total	$	(3,613,000)												$	(88,640)	$	86,833
Rate Shock Grand Total														$	1,076	$	(6,404)

(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 $106.59 at October 31, 2022. The market value of the short position was $800.0 million.
(3)		Ten-year Treasury Ultra futures contracts were valued at prices of $115.98 at October 31, 2022. The market value of the short position was $202.4 million.

RMBS Assets by Agency					Investment Company Act of 1940 Whole Pool Test
($ in thousands)					($ in thousands)
			Percentage					Percentage
		Fair	of				Fair	of
Asset Category		Value	Portfolio		Asset Category		Value	Portfolio
As of October 31, 2022					As of October 31, 2022
Fannie Mae	$	2,168,149	70.3%		Non-Whole Pool Assets	$	108,419	3.5%
Freddie Mac		914,502	29.7%		Whole Pool Assets		2,974,232	96.5%
Total Mortgage Assets	$	3,082,651	100.0%		Total Mortgage Assets	$	3,082,651	100.0%

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of October 31, 2022		Borrowings		Debt		Rate	in Days	Maturity
Daiwa Capital Markets America Inc.	$	299,275		10.1%		3.28%	8	11/14/2022
Mirae Asset Securities (USA) Inc.		282,056		9.5%		3.26%	31	1/30/2023
Merrill Lynch, Pierce, Fenner & Smith		276,667		9.3%		3.33%	8	11/28/2022
Cantor Fitzgerald & Co		234,245		7.9%		3.04%	5	11/16/2022
J.P. Morgan Securities LLC		211,828		7.1%		3.45%	11	11/23/2022
ABN AMRO Bank N.V.		194,818		6.5%		2.89%	13	11/15/2022
ED&F Man Capital Markets Inc		190,418		6.4%		3.33%	20	12/19/2022
Mitsubishi UFJ Securities (USA), Inc		179,723		6.0%		3.39%	19	11/30/2022
RBC Capital Markets, LLC		163,728		5.5%		3.27%	7	11/14/2022
ING Financial Markets LLC		149,958		5.0%		3.14%	3	11/3/2022
Goldman, Sachs & Co.		126,280		4.2%		3.33%	17	11/23/2022
Santander Bank, N.A.		113,142		3.8%		3.69%	24	11/28/2022
Citigroup Global Markets Inc		102,839		3.4%		3.43%	14	11/23/2022
Wells Fargo Bank, N.A.		100,591		3.4%		2.96%	11	11/14/2022
Nomura Securities International, Inc.		90,100		3.0%		3.14%	14	11/14/2022
BMO Capital Markets Corp.		74,900		2.5%		3.71%	23	11/23/2022
StoneX Financial Inc.		72,310		2.4%		3.14%	4	11/4/2022
ASL Capital Markets Inc.		62,041		2.1%		3.55%	21	11/21/2022
South Street Securities, LLC		35,829		1.2%		3.56%	18	11/18/2022
Lucid Cash Fund USG, LLC		21,069		0.7%		3.34%	10	11/10/2022
Total Borrowings	$	2,981,817		100.0%		3.28%	14	1/30/2023

 

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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 Orchid Island Capital in November 2022?

The dividend amount for November 2022 is $0.16 per share.

When is the next dividend payment for ORC expected?

The next dividend payment is expected on December 28, 2022.

What is the ex-dividend date for the November 2022 dividend?

The ex-dividend date is November 29, 2022.

How often does Orchid Island Capital pay dividends?

Orchid Island Capital pays dividends on a monthly basis.

Is Orchid Island Capital required to distribute its income?

Yes, as a REIT, it must distribute at least 90% of its taxable income annually.