ORC Orchid Island Capital Inc

• March 2024 Monthly Dividend of $0.12 Per Share of Common Stock
• RMBS Portfolio Characteristics as of February 29, 2024
• Next Dividend Announcement Expected April 10, 2024

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 March 2024. The dividend of $0.12 per share will be paid April 26, 2024 to holders of record of the Company’s common stock on March 28, 2024, with an ex-dividend date of March 27, 2024. The Company plans on announcing its next common stock dividend on April 10, 2024.

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 March 13, 2024, the Company had 51,358,301 shares of common stock outstanding. As of February 29, 2024, the Company had 51,303,301 shares of common stock outstanding. As of December 31, 2023, the Company had 51,636,074 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 29, 2024 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, 2023.

RMBS Valuation Characteristics

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

 

Dec-23 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Feb-24

 

 

Feb-24

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 Mar)

 

 

in Mar)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 5.0 TBA

 

$

50,000

 

 

$

49,695

 

 

 

1.25

%

 

 

99.39

 

 

 

5.00

%

 

 

5.80

%

 

 

9

 

 

 

166

 

 

 

n/a

 

 

 

n/a

 

 

$

648

 

 

$

(749

)

15yr 5.5 TBA

 

 

50,000

 

 

 

50,137

 

 

 

1.26

%

 

 

100.27

 

 

 

5.50

%

 

 

6.26

%

 

 

8

 

 

 

167

 

 

 

n/a

 

 

 

n/a

 

 

 

534

 

 

 

(646

)

15yr Total

 

 

100,000

 

 

 

99,832

 

 

 

2.51

%

 

 

99.83

 

 

 

5.25

%

 

 

6.03

%

 

 

9

 

 

 

167

 

 

 

n/a

 

 

 

n/a

 

 

 

1,182

 

 

 

(1,395

)

30yr 3.0

 

 

1,379,958

 

 

 

1,195,575

 

 

 

30.07

%

 

 

86.64

 

 

 

3.00

%

 

 

3.46

%

 

 

35

 

 

 

319

 

 

 

6.3

%

 

 

5.1

%

 

 

37,519

 

 

 

(37,915

)

30yr 3.5

 

 

191,733

 

 

 

173,898

 

 

 

4.37

%

 

 

90.70

 

 

 

3.50

%

 

 

4.04

%

 

 

48

 

 

 

301

 

 

 

6.0

%

 

 

5.8

%

 

 

4,909

 

 

 

(4,962

)

30yr 4.0

 

 

558,154

 

 

 

515,043

 

 

 

12.96

%

 

 

92.28

 

 

 

4.00

%

 

 

4.78

%

 

 

25

 

 

 

332

 

 

 

2.7

%

 

 

2.3

%

 

 

13,385

 

 

 

(14,249

)

30yr 4.5

 

 

336,108

 

 

 

319,163

 

 

 

8.03

%

 

 

94.96

 

 

 

4.50

%

 

 

5.45

%

 

 

20

 

 

 

338

 

 

 

7.4

%

 

 

6.2

%

 

 

6,670

 

 

 

(7,308

)

30yr 5.0

 

 

547,247

 

 

 

531,880

 

 

 

13.38

%

 

 

97.19

 

 

 

5.00

%

 

 

5.93

%

 

 

18

 

 

 

339

 

 

 

3.4

%

 

 

3.8

%

 

 

10,510

 

 

 

(11,802

)

30yr 5.5

 

 

269,605

 

 

 

268,567

 

 

 

6.76

%

 

 

99.61

 

 

 

5.50

%

 

 

6.43

%

 

 

11

 

 

 

347

 

 

 

5.1

%

 

 

3.5

%

 

 

4,609

 

 

 

(5,389

)

30yr 6.0

 

 

438,333

 

 

 

441,729

 

 

 

11.11

%

 

 

100.77

 

 

 

6.00

%

 

 

7.00

%

 

 

9

 

 

 

348

 

 

 

5.4

%

 

 

8.6

%

 

 

5,722

 

 

 

(6,991

)

30yr 6.5

 

 

328,935

 

 

 

335,782

 

 

 

8.45

%

 

 

102.08

 

 

 

6.50

%

 

 

7.39

%

 

 

7

 

 

 

350

 

 

 

10.9

%

 

 

8.7

%

 

 

3,200

 

 

 

(4,137

)

30yr 7.0

 

 

74,392

 

 

 

76,799

 

 

 

1.93

%

 

 

103.23

 

 

 

7.00

%

 

 

7.94

%

 

 

5

 

 

 

351

 

 

 

2.4

%

 

 

4.5

%

 

 

564

 

 

 

(750

)

30yr Total

 

 

4,124,465

 

 

 

3,858,436

 

 

 

97.05

%

 

 

93.55

 

 

 

4.38

%

 

 

5.12

%

 

 

24

 

 

 

332

 

 

 

5.6

%

 

 

5.1

%

 

 

87,088

 

 

 

(93,503

)

Total Pass Through RMBS

 

 

4,224,465

 

 

 

3,958,268

 

 

 

99.57

%

 

 

93.70

 

 

 

4.40

%

 

 

5.14

%

 

 

23

 

 

 

328

 

 

 

5.6

%

 

 

5.1

%

 

 

88,270

 

 

 

(94,898

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

8,456

 

 

 

866

 

 

 

0.02

%

 

 

10.24

 

 

 

4.00

%

 

 

4.57

%

 

 

146

 

 

 

87

 

 

 

10.0

%

 

 

10.2

%

 

 

5

 

 

 

(4

)

IO 30yr 3.0

 

 

2,876

 

 

 

345

 

 

 

0.01

%

 

 

11.99

 

 

 

3.00

%

 

 

3.63

%

 

 

109

 

 

 

241

 

 

 

24.3

%

 

 

9.4

%

 

 

-

 

 

 

(1

)

IO 30yr 4.0

 

 

79,341

 

 

 

14,790

 

 

 

0.37

%

 

 

18.64

 

 

 

4.00

%

 

 

4.60

%

 

 

114

 

 

 

237

 

 

 

6.2

%

 

 

8.4

%

 

 

(205

)

 

 

155

 

IO 30yr 4.5

 

 

3,412

 

 

 

636

 

 

 

0.02

%

 

 

18.65

 

 

 

4.50

%

 

 

4.99

%

 

 

164

 

 

 

182

 

 

 

4.4

%

 

 

5.5

%

 

 

(2

)

 

 

-

 

IO 30yr 5.0

 

 

1,859

 

 

 

372

 

 

 

0.01

%

 

 

20.01

 

 

 

5.00

%

 

 

5.36

%

 

 

164

 

 

 

184

 

 

 

3.7

%

 

 

5.0

%

 

 

(4

)

 

 

2

 

IO Total

 

 

95,944

 

 

 

17,009

 

 

 

0.43

%

 

 

17.73

 

 

 

4.01

%

 

 

4.60

%

 

 

119

 

 

 

221

 

 

 

7.0

%

 

 

8.5

%

 

 

(206

)

 

 

152

 

IIO 30yr 4.0

 

 

25,989

 

 

 

279

 

 

 

0.01

%

 

 

1.08

 

 

 

0.00

%

 

 

4.40

%

 

 

77

 

 

 

271

 

 

 

7.6

%

 

 

7.0

%

 

 

89

 

 

 

(73

)

Total Structured RMBS

 

 

121,933

 

 

 

17,288

 

 

 

0.43

%

 

 

14.18

 

 

 

3.15

%

 

 

4.55

%

 

 

110

 

 

 

231

 

 

 

7.1

%

 

 

8.1

%

 

 

(117

)

 

 

79

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,346,398

 

 

$

3,975,556

 

 

 

100.00

%

 

 

 

 

 

 

4.37

%

 

 

5.12

%

 

 

26

 

 

 

326

 

 

 

5.7

%

 

 

5.2

%

 

$

88,153

 

 

$

(94,819

)

 

 

Average

 

Hedge

 

Modeled Interest

 

 

 

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

 

3-Month SOFR Futures

 

$

(100,000

)

Mar-26

 

$

(875

)

 

$

875

 

5-Year Treasury Future(2)

 

 

(491,500

)

Jun-24

 

 

(10,050

)

 

 

9,743

 

10-Year Treasury Future(3)

 

 

(320,000

)

Jun-24

 

 

(10,365

)

 

 

10,016

 

Swaps

 

 

(2,531,800

)

Dec-29

 

 

(62,894

)

 

 

60,682

 

TBA

 

 

(370,700

)

Mar-24

 

 

(8,955

)

 

 

9,587

 

Swaptions

 

 

(800,000

)

May-24

 

 

(130

)

 

 

936

 

Hedge Total

 

$

(4,614,000

)

 

 

$

(93,269

)

 

$

91,839

 

Rate Shock Grand Total

 

 

 

 

 

 

$

(5,116

)

 

$

(2,980

)

(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 $106.91 at March 13, 2024. The market value of the short position was $525.5 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $110.44 at March 13, 2024. The market value of the short position was $353.4 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of February 29, 2024

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,815,792

 

 

 

70.8

%

Freddie Mac

 

 

1,159,764

 

 

 

29.2

%

Total Mortgage Assets

 

$

3,975,556

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of February 29, 2024

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

138,580

 

 

 

3.5

%

Whole Pool Assets

 

 

3,836,976

 

 

 

96.5

%

Total Mortgage Assets

 

$

3,975,556

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of February 29, 2024

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

RBC Capital Markets, LLC

 

$

290,394

 

 

 

7.8

%

 

 

5.47

%

 

 

13

 

3/13/2024

ASL Capital Markets Inc.

 

 

266,916

 

 

 

7.1

%

 

 

5.45

%

 

 

44

 

7/15/2024

J.P. Morgan Securities LLC

 

 

257,401

 

 

 

6.9

%

 

 

5.46

%

 

 

20

 

3/20/2024

Mitsubishi UFJ Securities (USA), Inc

 

 

254,957

 

 

 

6.8

%

 

 

5.48

%

 

 

23

 

4/1/2024

Cantor Fitzgerald & Co

 

 

250,237

 

 

 

6.7

%

 

 

5.46

%

 

 

13

 

3/13/2024

Citigroup Global Markets Inc

 

 

242,522

 

 

 

6.5

%

 

 

5.45

%

 

 

26

 

3/26/2024

ABN AMRO Bank N.V.

 

 

227,266

 

 

 

6.1

%

 

 

5.47

%

 

 

26

 

4/15/2024

Wells Fargo Bank, N.A.

 

 

206,994

 

 

 

5.5

%

 

 

5.47

%

 

 

25

 

3/25/2024

Mirae Asset Securities (USA) Inc.

 

 

193,807

 

 

 

5.2

%

 

 

5.46

%

 

 

46

 

4/22/2024

Merrill Lynch, Pierce, Fenner & Smith

 

 

190,974

 

 

 

5.1

%

 

 

5.48

%

 

 

15

 

3/27/2024

Daiwa Securities America Inc.

 

 

175,179

 

 

 

4.7

%

 

 

5.47

%

 

 

55

 

4/24/2024

Bank of Montreal

 

 

166,942

 

 

 

4.5

%

 

 

5.49

%

 

 

13

 

3/13/2024

StoneX Financial Inc.

 

 

163,248

 

 

 

4.4

%

 

 

5.46

%

 

 

47

 

4/16/2024

Marex Capital Markets Inc.

 

 

158,597

 

 

 

4.2

%

 

 

5.48

%

 

 

33

 

4/26/2024

Goldman, Sachs & Co

 

 

154,577

 

 

 

4.1

%

 

 

5.45

%

 

 

19

 

3/28/2024

Banco Santander SA

 

 

152,076

 

 

 

4.1

%

 

 

5.51

%

 

 

29

 

4/15/2024

ING Financial Markets LLC

 

 

130,630

 

 

 

3.5

%

 

 

5.48

%

 

 

21

 

3/21/2024

DV Securities, LLC Repo

 

 

112,001

 

 

 

3.0

%

 

 

5.46

%

 

 

71

 

5/14/2024

South Street Securities, LLC

 

 

103,491

 

 

 

2.8

%

 

 

5.46

%

 

 

39

 

5/13/2024

Clear Street LLC

 

 

19,000

 

 

 

0.5

%

 

 

5.45

%

 

 

60

 

4/29/2024

Lucid Cash Fund USG LLC

 

 

17,745

 

 

 

0.5

%

 

 

5.46

%

 

 

14

 

3/14/2024

Total Borrowings

 

$

3,734,954

 

 

 

100.0

%

 

 

5.47

%

 

 

29

 

7/15/2024

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20240313204503/en/

Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772) 231-1400