Orchid Island Capital Announces May 2023 Monthly Dividend and April 30, 2023 RMBS Portfolio Characteristics
10 Maio 2023 - 6:06PM
Business Wire
- 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
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
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