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
Contacts
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400