EX-99.1 2 ex_470340.htm EXHIBIT 99.1 ex_470340.htm

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

FEBRUARY 2023 MONTHLY DIVIDEND AND

JANUARY 31, 2023 RMBS PORTFOLIO CHARACTERISTICS

 

 

●

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

●

RMBS Portfolio Characteristics as of January 31, 2023 
 

●

Next Dividend Announcement Expected March 9, 2023 

 

Vero Beach, Fla., February 15, 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 February 2023. The dividend of $0.16 per share will be paid March 29, 2023 to holders of record of the Company’s common stock on February 28, 2023, with an ex-dividend date of February 27, 2023. The Company plans on announcing its next common stock dividend on March 9, 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 February 15, 2023 and January 31, 2023, the Company had 39,081,942 shares of common stock outstanding. As of December 31, 2022, the Company had 36,764,983 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of January 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, 2021.

 

 
 

 

RMBS Valuation Characteristics

  

($ in thousands)

                                                                                                
                                                                   

Realized

    

Realized

                  
                                                                   

Jan-23

    

Nov 2022 - Jan

    

Modeled

    

Modeled

  
                                   

Net

                    

Weighted

    

CPR

    

2023 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 Feb)

    

in Feb)

    

(-50 BPS)(1)

    

(+50 BPS)(1)

  

Pass Through RMBS

                                                                                                

15yr 4.0

   $ 397     $ 397       0.01 %   $ 100.08       4.00 %     4.54 %     57       122       0.8 %     0.8 %   $ 7     $ (7 )

15yr Total

     397       397       0.01 %     100.08       4.00 %     4.54 %     57       122       0.8 %     0.8 %     7       (7 )

30yr 3.0

     2,539,134       2,321,005       58.64 %     91.41       3.00 %     3.44 %     21       335       3.4 %     4.3 %     72,304       (74,304 )

30yr 3.5

     212,608       203,395       5.14 %     95.67       3.50 %     4.03 %     35       316       5.5 %     7.3 %     5,487       (5,605 )

30yr 4.0

     473,294       458,223       11.58 %     96.82       4.00 %     4.76 %     13       345       1.3 %     5.2 %     10,453       (11,575 )

30yr 4.5

     366,453       362,741       9.16 %     98.99       4.50 %     5.45 %     7       353       2.7 %     3.4 %     5,723       (6,938 )

30yr 5.0

     588,450       593,111       14.98 %     100.79       5.00 %     5.93 %     5       355       4.7 %     5.3 %     8,027       (9,944 )

30yr Total

     4,179,939       3,938,475       99.50 %     94.22       3.55 %     4.14 %     17       340       3.4 %     4.5 %     101,995       (108,367 )

Total Pass Through RMBS

     4,180,336       3,938,872       99.51 %     94.22       3.55 %     4.14 %     17       340       3.4 %     4.5 %     102,001       (108,373 )

Structured RMBS

                                                                                                

IO 20yr 4.0

     10,588       1,195       0.03 %     11.29       4.00 %     4.57 %     133       100       10.6 %     10.3 %     2       (3 )

IO 30yr 3.0

     3,126       384       0.01 %     12.27       3.00 %     3.64 %     96       254       0.5 %     10.8 %     (5 )     4  

IO 30yr 4.0

     90,480       16,284       0.41 %     18.00       4.00 %     4.60 %     101       250       3.4 %     5.2 %     (678 )     507  

IO 30yr 4.5

     3,894       725       0.02 %     18.61       4.50 %     4.99 %     151       195       6.3 %     6.1 %     (16 )     11  

IO 30yr 5.0

     2,179       426       0.01 %     19.58       5.00 %     5.36 %     151       197       3.3 %     5.2 %     (15 )     12  

IO Total

     110,267       19,014       0.48 %     17.24       4.01 %     4.60 %     107       233       4.1 %     5.9 %     (713 )     530  

IIO 30yr 4.0

     31,289       430       0.01 %     1.37       0.00 %     4.40 %     64       285       8.7 %     6.2 %     103       (92 )

Total Structured RMBS

     141,556       19,444       0.49 %     13.74       3.12 %     4.55 %     98       244       5.1 %     6.0 %     (610 )     438  
                                                                                                 

Total Mortgage Assets

   $ 4,321,892     $ 3,958,316       100.00 %             3.54 %     4.16 %     20       336       3.5 %     4.6 %   $ 101,391     $ (107,935 )

 

             

Interest

    

Interest

  
   

Average

  

Hedge

  

Rate

    

Rate

  
   

Notional

  

Period

  

Sensitivity

    

Sensitivity

  

Hedge

  

Balance

  

End

  

(-50 BPS)(1)

    

(+50 BPS)(1)

  

5-Year Treasury Future(2)

   $ (865,500 )

Mar-23

   $ (19,132 )   $ 17,498  

10-Year Treasury Ultra(3)

     (244,500 )

Mar-23

     (11,815 )     11,700  

Swaps

     (1,400,000 )

Jul-28

     (32,323 )     31,294  

TBA

     (875,000 )

Feb-23

     (23,441 )     25,039  

Swaptions

     (753,000 )

Oct-24

     (6,129 )     8,744  

Hedge Total

   $ (4,138,000 )     $ (92,840 )   $ 94,275  

Rate Shock Grand Total

             $ 8,551     $ (13,660 )

 

(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 $109.24 at January 31, 2023. The market value of the short position was $945.5 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $121.2 at January 31, 2023. The market value of the short position was $296.3 million.

 

 

 
 

 

RMBS Assets by Agency

                

($ in thousands)

                
           

Percentage

  
   

Fair

    

of

  

Asset Category

  

Value

    

Portfolio

  

As of January 31, 2023

                

Fannie Mae

   $ 2,565,504       64.8 %

Freddie Mac

     1,392,812       35.2 %

Total Mortgage Assets

   $ 3,958,316       100.0 %

 

 

Investment Company Act of 1940 Whole Pool Test

  

($ in thousands)

                
           

Percentage

  
   

Fair

    

of

  

Asset Category

  

Value

    

Portfolio

  

As of January 31, 2023

                

Non-Whole Pool Assets

   $ 158,182       4.0 %

Whole Pool Assets

     3,800,134       96.0 %

Total Mortgage Assets

   $ 3,958,316       100.0 %

 

Borrowings By Counterparty

                                

($ in thousands)

                                
                   

Weighted

    

Weighted

    
           

% of

    

Average

    

Average

    
   

Total

    

Total

    

Repo

    

Maturity

  

Longest

As of January 31, 2023

  

Borrowings

    

Debt

    

Rate

    

in Days

  

Maturity

Mirae Asset Securities (USA) Inc.

   $ 319,242       9.4 %    

4.58%

     73  

6/22/2023

RBC Capital Markets, LLC

     274,020       8.1 %    

4.62%

     31  

3/16/2023

Daiwa Capital Markets America Inc.

     255,732       7.5 %    

4.76%

     76  

4/17/2023

Marex Capital Markets Inc.

     239,483       7.0 %    

4.70%

     55  

4/28/2023

ING Financial Markets LLC

     238,212       7.0 %    

4.47%

     2  

2/2/2023

ABN AMRO Bank N.V.

     229,463       6.7 %    

4.62%

     41  

3/13/2023

Cantor Fitzgerald & Co

     228,427       6.7 %    

4.48%

     4  

2/13/2023

J.P. Morgan Securities LLC

     218,941       6.4 %    

4.77%

     65  

4/11/2023

Merrill Lynch, Pierce, Fenner & Smith

     192,705       5.7 %    

4.68%

     38  

4/28/2023

Citigroup Global Markets Inc

     193,510       5.7 %    

4.54%

     8  

2/22/2023

StoneX Financial Inc.

     184,165       5.4 %    

4.49%

     7  

2/10/2023

Mitsubishi UFJ Securities (USA), Inc

     179,834       5.3 %    

4.68%

     51  

5/1/2023

ASL Capital Markets Inc.

     167,186       4.9 %    

4.58%

     26  

3/20/2023

Goldman, Sachs & Co.

     126,954       3.7 %    

4.57%

     16  

2/23/2023

Santander Bank, N.A.

     118,940       3.5 %    

4.69%

     43  

4/27/2023

Wells Fargo Bank, N.A.

     94,878       2.8 %    

4.54%

     13  

2/13/2023

BMO Capital Markets Corp.

     80,056       2.4 %    

4.68%

     49  

3/21/2023

South Street Securities, LLC

     37,991       1.1 %    

4.57%

     17  

2/17/2023

Lucid Cash Fund USG, LLC

     18,782       0.6 %    

4.55%

     9  

2/9/2023

Lucid Prime Fund, LLC

     2,790       0.1 %    

4.55%

     9  

2/9/2023

Total Borrowings

   $ 3,401,311       100.0 %    

4.61%

     37  

6/22/2023

 

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400