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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Orchid Island Capital Inc | NYSE:ORC | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.05 | -0.59% | 8.47 | 8.50 | 8.41 | 8.46 | 1,059,566 | 01:00:00 |
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 August 2023. The dividend of $0.16 per share will be paid September 27, 2023 to holders of record of the Company’s common stock on August 31, 2023, with an ex-dividend date of August 30, 2023. The Company plans on announcing its next common stock dividend on September 11, 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 August 16, 2023, the Company had 47,086,727 shares of common stock outstanding. As of July 31, 2023 and June 30, 2023, the Company had 43,896,709 shares of common stock outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of July 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:
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
May 23 -
Jul-23
Jul-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 Aug)
in Aug)
(-50 BPS)
(+50 BPS)
Fixed Rate RMBS
15yr 4.0
$
380
$
369
0.01
%
$
97.24
4.00
%
4.54
%
63
115
0.8
%
0.8
%
$
6
$
(6
)
15yr 5.0 TBA
100,000
99,328
2.25
%
99.33
5.00
%
5.67
%
9
167
n/a
n/a
1,319
(1,477
)
15yr Total
100,380
99,697
2.25
%
99.32
5.00
%
5.66
%
9
167
0.8
%
0.8
%
1,325
(1,483
)
30yr 3.0
2,456,873
2,165,855
48.97
%
88.15
3.00
%
3.44
%
27
329
5.8
%
5.9
%
70,845
(71,926
)
30yr 3.5
202,264
186,816
4.22
%
92.36
3.50
%
4.04
%
41
309
7.7
%
7.5
%
5,286
(5,330
)
30yr 4.0
577,027
540,268
12.22
%
93.63
4.00
%
4.78
%
18
340
4.4
%
6.7
%
13,860
(14,839
)
30yr 4.5
353,488
339,212
7.67
%
95.96
4.50
%
5.45
%
13
346
6.3
%
6.1
%
6,771
(7,594
)
30yr 5.0
569,299
557,442
12.60
%
97.92
5.00
%
5.93
%
11
348
5.9
%
5.3
%
10,244
(11,803
)
30yr 5.5
278,178
278,213
6.29
%
100.01
5.50
%
6.43
%
4
356
5.8
%
0.0
%
4,386
(5,244
)
30yr 6.0
234,058
236,801
5.35
%
101.17
6.00
%
7.01
%
5
352
5.8
%
0.0
%
2,886
(3,481
)
30yr Total
4,671,187
4,304,607
97.33
%
92.15
3.80
%
4.44
%
21
336
5.8
%
6.0
%
114,278
(120,217
)
Total Pass Through RMBS
4,771,567
4,404,304
99.58
%
92.30
3.83
%
4.47
%
21
332
5.8
%
6.0
%
115,604
(121,698
)
Structured RMBS
IO 20yr 4.0
9,512
1,016
0.02
%
10.68
4.00
%
4.57
%
139
94
6.4
%
8.9
%
6
(6
)
IO 30yr 3.0
3,013
365
0.01
%
12.12
3.00
%
3.64
%
102
247
0.6
%
7.3
%
1
(3
)
IO 30yr 4.0
85,317
15,826
0.36
%
18.55
4.00
%
4.60
%
107
244
7.1
%
8.1
%
(306
)
216
IO 30yr 4.5
3,663
684
0.02
%
18.67
4.50
%
4.99
%
157
189
7.6
%
7.9
%
(5
)
1
IO 30yr 5.0
2,012
401
0.01
%
19.94
5.00
%
5.36
%
157
191
9.6
%
8.3
%
(6
)
4
IO Total
103,517
18,292
0.41
%
17.67
4.01
%
4.60
%
113
227
7.0
%
8.1
%
(310
)
212
IIO 30yr 4.0
29,096
310
0.01
%
1.07
0.00
%
4.40
%
70
279
0.4
%
1.4
%
83
(70
)
Total Structured RMBS
132,613
18,602
0.42
%
14.03
3.13
%
4.55
%
103
239
5.5
%
6.7
%
(227
)
141
Total Mortgage Assets
$
4,904,180
$
4,422,906
100.00
%
3.81
%
4.47
%
23
329
5.8
%
6.0
%
$
115,377
$
(121,557
)
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
$
(9,715
)
$
9,421
10-Year Treasury Future(3)
(285,000
)
Sep-23
(9,340
)
9,116
10-Year Ultra Treasury Future(4)
(244,200
)
Sep-23
(11,530
)
10,991
Swaps
(2,326,500
)
Nov-29
(60,418
)
58,123
TBA
(350,000
)
Aug-23
(10,175
)
10,463
Swaptions
(200,000
)
Feb-24
(1,087
)
1,100
Hedge Total
$
(3,877,200
)
$
(102,265
)
$
99,214
Rate Shock Grand Total
$
13,112
$
(22,343
)
(1)Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR 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 $106.82 at July 31, 2023. The market value of the short position was $503.7 million.(3)
Ten-year Treasury futures contracts were valued at prices of $111.41 at July 31, 2023. The market value of the short position was $317.5 million.
(4)
Ten-year Treasury Ultra futures contracts were valued at prices of $116.98 at July 31, 2023. The market value of the short position was $285.7 million.
RMBS Assets by Agency
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of July 31, 2023
Fannie Mae
$
2,962,563
67.0
%
Freddie Mac
1,460,343
33.0
%
Total Mortgage Assets
$
4,422,906
100.0
%
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of July 31, 2023
Non-Whole Pool Assets
$
147,773
3.3
%
Whole Pool Assets
4,275,133
96.7
%
Total Mortgage Assets
$
4,422,906
100.0
%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of July 31, 2023
Borrowings
Debt
Rate
in Days
Maturity
ASL Capital Markets Inc.
$
334,517
8.1
%
5.36%
31
9/29/2023
J.P. Morgan Securities LLC
332,029
8.0
%
5.36%
15
8/23/2023
Mitsubishi UFJ Securities (USA), Inc
326,977
7.9
%
5.45%
46
9/29/2023
RBC Capital Markets, LLC
304,569
7.4
%
5.36%
15
8/17/2023
Citigroup Global Markets Inc
303,009
7.3
%
5.45%
29
8/31/2023
Mirae Asset Securities (USA) Inc.
295,469
7.1
%
5.45%
47
12/22/2023
Wells Fargo Bank, N.A.
276,180
6.7
%
5.43%
42
9/28/2023
Daiwa Securities America Inc.
241,127
5.8
%
5.36%
17
8/17/2023
Marex Capital Markets Inc.
225,680
5.5
%
5.43%
62
10/5/2023
ING Financial Markets LLC
222,891
5.4
%
5.47%
52
9/21/2023
Cantor Fitzgerald & Co
214,935
5.2
%
5.37%
16
8/16/2023
ABN AMRO Bank N.V.
214,073
5.2
%
5.35%
14
8/14/2023
Banco Santander SA
189,783
4.6
%
5.43%
47
10/5/2023
Merrill Lynch, Pierce, Fenner & Smith
185,312
4.5
%
5.37%
15
8/25/2023
StoneX Financial Inc.
173,222
4.2
%
5.37%
25
9/15/2023
South Street Securities, LLC
117,859
2.8
%
5.36%
57
9/29/2023
Goldman, Sachs & Co
88,297
2.1
%
5.37%
14
8/24/2023
Bank of Montreal
74,003
1.8
%
5.37%
17
8/17/2023
Lucid Cash Fund USG LLC
11,070
0.3
%
5.41%
17
8/17/2023
Lucid Prime Fund, LLC
8,967
0.2
%
5.41%
17
8/17/2023
Total Borrowings
$
4,139,969
100.0
%
5.40%
32
12/22/2023
View source version on businesswire.com: https://www.businesswire.com/news/home/20230816360895/en/
Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772) 231-1400
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