EX-99.1 2 ex_515823.htm EXHIBIT 99.1 ex_515823.htm

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

MAY 2023 MONTHLY DIVIDEND AND

APRIL 30, 2023 RMBS PORTFOLIO CHARACTERISTICS

 

 

●

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., May 10, 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.

 

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400