Orchid Island Capital Announces November 2023 Monthly Dividend and October 31, 2023 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital, Inc. (NYSE: ORC) has declared a monthly cash dividend for November 2023 of $0.12 per share, with an ex-dividend date of November 29, 2023. The estimated book value per share as of November 14, 2023 is approximately $8.47 to $8.52, a decrease from the previous quarter. The company's RMBS portfolio characteristics as of October 31, 2023, are also detailed in the press release.

• November 2023 Monthly Dividend of $0.12 Per Share of Common Stock
• RMBS Portfolio Characteristics as of October 31, 2023
• Next Dividend Announcement Expected December 12, 2023
• Estimated Book Value Per Share Approximately $8.47 to $8.52 as of November 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 November 2023. The dividend of $0.12 per share will be paid December 27, 2023 to holders of record of the Company’s common stock on November 30, 2023, with an ex-dividend date of November 29, 2023. The Company plans on announcing its next common stock dividend on December 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 November 15, 2023, October 31, 2023 and September 30, 2023, the Company had 52,332,306 shares of common stock outstanding.

Estimated November 14, 2023 Book Value Per Share

The Company estimates book value per share as of November 14, 2023 to be approximately $8.47 to $8.52, a decrease of approximately 4.5% to 5.0% from the book value per share at September 30, 2023 of $8.92. The estimated book value per share includes a deduction for today’s dividend declaration that will be paid on December 27, 2023. The estimated book value per share is unaudited and has not been verified or reviewed by any third party. The Company undertakes no obligation to update or revise its estimated book value per share.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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				Aug-23 -
																																		Oct-23				Oct-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 Nov)				in Nov)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
30yr 3.0			1,415,895				1,148,699				32.15	%			81.13				3.00	%			3.46	%			31				324				5.7	%			6.5	%			38,060				(37,953	)
30yr 3.5			197,861				168,727				4.72	%			85.28				3.50	%			4.04	%			44				306				9.5	%			6.9	%			5,034				(5,056	)
30yr 4.0			567,077				492,558				13.78	%			86.86				4.00	%			4.78	%			21				336				4.9	%			5.1	%			14,431				(14,932	)
30yr 4.5			345,923				310,295				8.68	%			89.70				4.50	%			5.45	%			16				342				8.8	%			7.7	%			7,822				(8,315	)
30yr 5.0			556,644				513,851				14.38	%			92.31				5.00	%			5.93	%			14				344				2.9	%			6.2	%			12,553				(13,508	)
30yr 5.5			274,993				261,496				7.32	%			95.09				5.50	%			6.43	%			7				352				8.0	%			4.2	%			5,853				(6,378	)
30yr 6.0			327,681				319,533				8.94	%			97.51				6.00	%			7.00	%			7				349				9.2	%			9.1	%			5,877				(6,547	)
30yr 6.5			341,319				339,856				9.51	%			99.57				6.50	%			7.39	%			3				355				12.1	%			10.3	%			5,149				(5,988	)
Total Pass Through RMBS			4,027,393				3,555,015				99.48	%			88.27				4.28	%			5.01	%			21				336				6.6	%			6.5	%			94,779				(98,677	)
Structured RMBS
IO 20yr 4.0			9,077				956				0.03	%			10.54				4.00	%			4.57	%			142				91				8.0	%			7.9	%			4				(3	)
IO 30yr 3.0			2,983				356				0.01	%			11.95				3.00	%			3.64	%			105				244				0.7	%			0.7	%			1				(1	)
IO 30yr 4.0			82,894				15,800				0.44	%			19.06				4.00	%			4.60	%			111				241				5.7	%			5.6	%			(119	)			71
IO 30yr 4.5			3,550				672				0.02	%			18.94				4.50	%			4.99	%			160				186				8.2	%			8.4	%			-				(1	)
IO 30yr 5.0			1,939				395				0.01	%			20.35				5.00	%			5.36	%			160				188				17.0	%			12.7	%			(1	)			-
IO Total			100,443				18,179				0.51	%			18.10				4.01	%			4.60	%			116				224				6.1	%			5.9	%			(116	)			65
IIO 30yr 4.0			27,986				240				0.01	%			0.86				0.00	%			4.40	%			73				276				7.3	%			6.3	%			79				(64	)
Total Structured RMBS			128,429				18,419				0.52	%			14.34				3.13	%			4.55	%			107				236				6.3	%			6.0	%			(37	)			1
Total Mortgage Assets		$	4,155,822			$	3,573,434				100.00	%							4.25	%			5.00	%			23				333				6.6	%			6.5	%		$	94,742			$	(98,676	)

		Average			Hedge		Modeled Interest
		Notional			Period		Rate Sensitivity (1)
Hedge		Balance			End		(-50 BPS)				(+50 BPS)
5-Year Treasury Future(2)		$	(471,500	)	Dec-23		$	(9,373	)		$	9,227
10-Year Treasury Future(3)			(395,000	)	Dec-23			(12,310	)			11,887
Swaps			(2,326,500	)	Nov-29			(56,384	)			54,345
TBA			(620,700	)	Nov-23			(17,083	)			17,376
Swaptions			(800,000	)	Nov-24			(1,135	)			1,940
Hedge Total		$	(4,613,700	)			$	(96,285	)		$	94,775
Rate Shock Grand Total							$	(1,543	)		$	(3,901	)

(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 $104.48 at October 31, 2023. The market value of the short position was $492.6 million.
(3)	Ten-year Treasury futures contracts were valued at prices of $106.17 at October 31, 2023. The market value of the short position was $419.4 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of October 31, 2023
Fannie Mae		$	2,468,333				69.1	%
Freddie Mac			1,105,101				30.9	%
Total Mortgage Assets		$	3,573,434				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of October 31, 2023
Non-Whole Pool Assets		$	135,892				3.8	%
Whole Pool Assets			3,437,542				96.2	%
Total Mortgage Assets		$	3,573,434				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of October 31, 2023		Borrowings				Debt				Rate				in Days			Maturity
ASL Capital Markets Inc.		$	303,835				8.6	%			5.50%				19		11/29/2023
Cantor Fitzgerald & Co			299,252				8.5	%			5.49%				14		11/15/2023
RBC Capital Markets, LLC			292,850				8.3	%			5.52%				15		11/17/2023
Citigroup Global Markets Inc			276,905				7.9	%			5.48%				24		11/24/2023
Mitsubishi UFJ Securities (USA), Inc			271,394				7.7	%			5.52%				32		12/11/2023
J.P. Morgan Securities LLC			250,614				7.1	%			5.50%				16		11/16/2023
Wells Fargo Bank, N.A.			216,080				6.1	%			5.49%				16		11/27/2023
Merrill Lynch, Pierce, Fenner & Smith			196,299				5.6	%			5.53%				15		11/24/2023
Mirae Asset Securities (USA) Inc.			190,585				5.4	%			5.50%				24		12/22/2023
Daiwa Securities America Inc.			168,461				4.8	%			5.49%				17		11/17/2023
StoneX Financial Inc.			167,366				4.8	%			5.54%				32		12/14/2023
Goldman, Sachs & Co			154,345				4.4	%			5.51%				17		11/27/2023
ING Financial Markets LLC			150,208				4.3	%			5.48%				2		11/2/2023
Banco Santander SA			148,647				4.2	%			5.50%				20		11/24/2023
ABN AMRO Bank N.V.			135,649				3.9	%			5.52%				14		11/14/2023
Marex Capital Markets Inc.			107,196				3.0	%			5.48%				7		11/13/2023
Bank of Montreal			90,664				2.6	%			5.50%				13		11/13/2023
South Street Securities, LLC			77,600				2.2	%			5.51%				29		11/29/2023
Lucid Cash Fund USG LLC			9,493				0.3	%			5.50%				16		11/16/2023
Lucid Prime Fund, LLC			7,970				0.2	%			5.50%				16		11/16/2023
DV Securities, LLC Repo			347				0.0	%			5.49%				30		11/30/2023
Total Borrowings		$	3,515,760				100.0	%			5.50%				19		12/22/2023

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20231115083643/en/

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

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

Orchid Island Capital, Inc. declared a monthly cash dividend for November 2023 of $0.12 per share.

When will the dividend be paid?

The dividend of $0.12 per share will be paid on December 27, 2023, to holders of record of the Company’s common stock on November 30, 2023.

What is the estimated book value per share as of November 14, 2023?

The estimated book value per share as of November 14, 2023, is approximately $8.47 to $8.52, representing a decrease from the previous quarter.

What are the RMBS portfolio characteristics as of October 31, 2023?

The press release details the RMBS portfolio characteristics as of October 31, 2023, including valuation, assets by agency, repurchase agreement exposure, and risk measures.