ex_530319.htm

EX-99.1 2 ex_530319.htm EXHIBIT 99.1 ex_530319.htm

ORCHID ISLAND CAPITAL ANNOUNCES

JUNE 2023 MONTHLY DIVIDEND AND

MAY 31, 2023 RMBS PORTFOLIO CHARACTERISTICS

●

June 2023 Monthly Dividend of $0.16 Per Share of Common Stock

●

RMBS Portfolio Characteristics as of May 31, 2023

●

Next Dividend Announcement Expected July 12, 2023

Vero Beach, Fla., 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 June 2023. The dividend of $0.16 per share will be paid July 27, 2023 to holders of record of the Company’s common stock on June 30, 2023, with an ex-dividend date of June 29, 2023. The Company plans on announcing its next common stock dividend on July 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 June 14, 2023, the Company had 42,036,854 shares of common stock outstanding. As of May 31, 2023, the Company had 39,371,053 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 May 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			Mar 23 -
																				May-23			May-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 June)			in June)			(-50 BPS)			(+50 BPS)
Fixed Rate RMBS
15yr 4.0	$	385	$	378		0.01	%	$	98.11		4.00	%		4.54	%		61		118		0.8	%		0.8	%	$	6		$	(6	)
15yr Total		385		378		0.01	%		98.11		4.00	%		4.54	%		61		118		0.8	%		0.8	%		6			(6	)
30yr 3.0		2,491,193		2,225,540		56.94	%		89.34		3.00	%		3.44	%		25		331		5.7	%		4.5	%		73,146			(74,378	)
30yr 3.5		205,664		192,340		4.92	%		93.52		3.50	%		4.03	%		39		311		7.5	%		8.1	%		5,449			(5,498	)
30yr 4.0		586,559		555,714		14.22	%		94.74		4.00	%		4.78	%		16		342		9.6	%		6.1	%		14,160			(15,276	)
30yr 4.5		358,032		347,112		8.88	%		96.95		4.50	%		5.45	%		11		348		5.1	%		6.0	%		6,753			(7,656	)
30yr 5.0		575,409		568,297		14.54	%		98.76		5.00	%		5.93	%		9		350		3.3	%		5.3	%		10,124			(11,857	)
30yr Total		4,216,857		3,889,003		99.50	%		92.23		3.56	%		4.16	%		21		335		6.0	%		5.1	%		109,632			(114,665	)
Total Pass Through RMBS		4,217,242		3,889,381		99.51	%		92.23		3.56	%		4.16	%		21		335		6.0	%		5.1	%		109,638			(114,672	)
Structured RMBS
IO 20yr 4.0		9,851		1,074		0.03	%		10.90		4.00	%		4.57	%		137		96		10.5	%		10.7	%		6			(7	)
IO 30yr 3.0		3,086		376		0.01	%		12.19		3.00	%		3.64	%		100		249		0.7	%		0.8	%		2			(3	)
IO 30yr 4.0		87,328		16,192		0.41	%		18.54		4.00	%		4.60	%		105		246		8.2	%		7.1	%		(335	)		236
IO 30yr 4.5		3,736		700		0.02	%		18.75		4.50	%		4.99	%		155		191		5.3	%		7.2	%		(6	)		2
IO 30yr 5.0		2,052		409		0.01	%		19.95		5.00	%		5.36	%		155		193		13.8	%		16.5	%		(7	)		4
IO Total		106,053		18,751		0.48	%		17.68		4.01	%		4.60	%		111		229		8.2	%		7.4	%		(339	)		233
IIO 30yr 4.0		29,644		451		0.01	%		1.52		0.00	%		4.40	%		68		281		3.5	%		3.5	%		104			(91	)
Total Structured RMBS		135,697		19,202		0.49	%		14.15		3.13	%		4.55	%		102		241		7.2	%		6.6	%		(236	)		142

Total Mortgage Assets	$	4,352,939	$	3,908,583		100.00	%				3.55	%		4.18	%		24		333		6.0	%		5.2	%	$	109,403		$	(114,530	)

	Average			Hedge	Modeled Interest
	Notional			Period	Rate Sensitivity (1)
Hedge	Balance			End	(-50 BPS)			(+50 BPS)
5-Year Treasury Future⁽²⁾	$	(471,500	)	Sep-23	$	(9,873	)	$	9,725
10-Year Treasury Future(3)		(95,000	)	Sep-23		(3,176	)		3,116
10-Year Ultra Treasury Future(4)		(154,200	)	Sep-23		(7,538	)		7,174
Swaps		(1,879,000	)	Jun-29		(47,499	)		45,752
TBA		(700,000	)	Jun-23		(20,050	)		20,868
Swaptions		(533,000	)	Aug-24		(4,227	)		6,869
Hedge Total	$	(3,832,700	)		$	(92,363	)	$	93,504
Rate Shock Grand Total					$	17,040		$	(21,026	)

(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 $109.08 at May 31, 2023. The market value of the short position was $514.3 million.
(3)	Ten-year Treasury futures contracts were valued at prices of $114.47 at May 31, 2023. The market value of the short position was $108.8 million.

(4)	Ten-year Ultra Treasury futures contracts were valued at prices of $120.45 at May 31, 2023. The market value of the short position was $185.7 million.

RMBS Assets by Agency
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of May 31, 2023
Fannie Mae	$	2,568,837		65.7	%
Freddie Mac		1,339,746		34.3	%
Total Mortgage Assets	$	3,908,583		100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of May 31, 2023
Non-Whole Pool Assets	$	151,156		3.9	%
Whole Pool Assets		3,757,427		96.1	%
Total Mortgage Assets	$	3,908,583		100.0	%

Borrowings By Counterparty
($ in thousands)
							Weighted			Weighted
				% of			Average			Average
	Total			Total			Repo			Maturity		Longest
As of May 31, 2023	Borrowings			Debt			Rate			in Days		Maturity
J.P. Morgan Securities LLC	$	346,217			9.3	%		5.17	%		15	7/24/2023
Merrill Lynch, Pierce, Fenner & Smith		329,566			8.8	%		5.20	%		14	6/27/2023
RBC Capital Markets, LLC		315,578			8.5	%		5.19	%		45	7/17/2023
Mirae Asset Securities (USA) Inc.		302,785	⁽¹⁾		8.1	%		5.21	%		61	9/1/2023
Daiwa Securities America Inc.		249,655			6.7	%		5.14	%		16	6/16/2023
Marex Capital Markets Inc.		234,631			6.3	%		5.18	%		12	6/28/2023
ING Financial Markets LLC		232,481			6.2	%		5.20	%		15	6/15/2023
Cantor Fitzgerald & Co		223,843			6.0	%		5.20	%		17	7/13/2023
ABN AMRO Bank N.V.		220,568			5.9	%		5.12	%		13	6/13/2023
ASL Capital Markets Inc.		210,573			5.6	%		5.19	%		16	6/16/2023
Citigroup Global Markets Inc		184,408			4.9	%		5.28	%		28	6/30/2023
StoneX Financial Inc.		179,020			4.8	%		5.20	%		7	6/9/2023
Mitsubishi UFJ Securities (USA), Inc		168,879			4.5	%		5.28	%		19	6/21/2023
Wells Fargo Bank, N.A.		164,094			4.4	%		5.17	%		7	6/9/2023
Goldman, Sachs & Co		124,645			3.3	%		5.24	%		11	6/23/2023
Banco Santander SA		113,151			3.0	%		5.27	%		23	6/23/2023
Bank of Montreal		75,710			2.0	%		5.21	%		15	6/15/2023
South Street Securities, LLC		37,163			1.0	%		5.14	%		16	6/16/2023
Lucid Cash Fund USG LLC		11,382			0.3	%		5.18	%		15	6/15/2023
Lucid Prime Fund, LLC		9,371			0.3	%		5.18	%		15	6/15/2023
Total Borrowings	$	3,733,720			100.0	%		5.19	%		21	9/1/2023

(1) Included in this balance is $254.1 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