- January 2024 Monthly Dividend of $0.12 Per Share of Common
Stock
- Estimated Book Value Per Share as of December 31, 2023 of
$9.10
- Estimated GAAP net income of $0.52 per share for the quarter
ended December 31, 2023, including an estimated $0.65 per share of
net realized and unrealized gains on RMBS and derivative
instruments
- Estimated 6.1% total return on equity for the quarter
- Estimated book value, net income and total return on equity
amounts are preliminary, subject to change, and subject to review
by the Company’s independent registered public accounting firm
- RMBS Portfolio Characteristics as of December 31, 2023
- Next Dividend Announcement Expected February 14, 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 January 2024. The dividend
of $0.12 per share will be paid February 27, 2024 to holders of
record of the Company’s common stock on January 31, 2024, with an
ex-dividend date of January 30, 2024. The Company plans on
announcing its next common stock dividend on February 14, 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 January 10, 2024, the Company had 51,303,301 shares of
common stock outstanding. As of December 31, 2023, the Company had
51,636,074 shares outstanding. As of September 30, 2023, the
Company had 52,332,306 shares of common stock outstanding.
Estimated December 31, 2023 Book Value Per Share
The Company’s estimated book value per share as of December 31,
2023 was $9.10. The Company computes book value per share by
dividing total stockholders' equity by the total number of
outstanding shares of common stock. At December 31, 2023, the
Company's preliminary estimated total stockholders' equity was
approximately $469.9 million with 51,636,074 shares of common stock
outstanding. These figures and the resulting estimated book value
per share are preliminary, subject to change, and subject to review
by the Company’s independent registered public accounting firm.
Estimated Net Income Per Share and Realized and Unrealized
Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net income per share of
$0.52, which includes $0.65 per share of net realized and
unrealized gains on RMBS and derivative instruments for the quarter
ended December 31, 2023. These amounts compare to total dividends
declared during the quarter of $0.36 per share. Net income per
common share calculated under generally accepted accounting
principles can, and does, differ from our REIT taxable income. The
Company views REIT taxable income as a better indication of income
to be paid in the form of a dividend rather than net loss. Many
components of REIT taxable income can only be estimated at this
time and our monthly dividends declared are based on both estimates
of REIT taxable income to be earned over the course of the current
quarter and calendar year and a longer-term estimate of the REIT
taxable income of the Company. These figures are preliminary,
subject to change, and subject to review by the Company’s
independent registered public accounting firm.
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter
ended December 31, 2023 was 6.1%. The Company calculates total
return on equity as the sum of dividends declared and paid during
the quarter plus changes in book value during the quarter, divided
by the Company’s stockholders’ equity at the beginning of the
quarter. The total return was $0.54 per share, comprised of
dividends per share of $0.36 and an increase in book value per
share of $0.18 from September 30, 2023.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of December 31, 2023 are
presented below. These figures are preliminary and subject to
change and, with respect to figures that will appear in the
Company's financial statements and associated footnotes as of and
for the quarter ended December 31, 2023, are subject to review by
the Company's independent registered public accounting firm:
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 (Whole Pool) Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that
invests on a leveraged basis in Agency RMBS. Our investment
strategy focuses on, and our portfolio consists of, two categories
of Agency RMBS: (i) traditional pass-through Agency RMBS, such as
mortgage pass-through certificates and collateralized mortgage
obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and
(ii) structured Agency RMBS. The Company is managed by Bimini
Advisors, LLC, a registered investment adviser with the Securities
and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within
the meaning of the Private Securities Litigation Reform Act of 1995
and other federal securities laws. These forward-looking statements
include, but are not limited to, statements about the Company’s
distributions. These forward-looking statements are based upon
Orchid Island Capital, Inc.’s present expectations, but these
statements are not guaranteed to occur. Investors should not place
undue reliance upon forward-looking statements. For further
discussion of the factors that could affect outcomes, please refer
to the “Risk Factors” section of the Company’s Annual Report on
Form 10-K for the fiscal year ended December 31, 2022.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Oct-23 -
Dec-23
Dec-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 Jan)
in Jan)
(-50 BPS)
(+50 BPS)
Fixed
Rate RMBS
30yr 3.0
1,397,684
1,254,194
32.21
%
89.73
3.00
%
3.46
%
33
322
4.1
%
4.9
%
39,039
(39,468
)
30yr 3.5
194,229
182,008
4.67
%
93.71
3.50
%
4.04
%
46
303
4.4
%
7.1
%
5,100
(5,147
)
30yr 4.0
562,107
533,974
13.71
%
95.00
4.00
%
4.78
%
23
334
2.0
%
3.0
%
13,626
(14,488
)
30yr 4.5
341,313
332,168
8.53
%
97.32
4.50
%
5.45
%
18
340
7.2
%
6.7
%
6,793
(7,445
)
30yr 5.0
552,620
549,324
14.11
%
99.40
5.00
%
5.93
%
16
341
4.5
%
3.6
%
10,329
(11,709
)
30yr 5.5
271,469
275,465
7.07
%
101.47
5.50
%
6.43
%
9
350
0.6
%
4.5
%
4,246
(5,093
)
30yr 6.0
321,521
327,820
8.42
%
101.96
6.00
%
6.99
%
9
346
8.0
%
9.2
%
3,768
(4,616
)
30yr 6.5
335,505
344,680
8.85
%
102.73
6.50
%
7.39
%
5
352
9.6
%
9.1
%
2,785
(3,602
)
30yr 7.0
74,697
77,449
1.99
%
103.68
7.00
%
7.94
%
3
356
0.8
%
n/a
534
(652
)
Total Pass Through RMBS
4,051,145
3,877,082
99.57
%
95.70
4.33
%
5.06
%
22
334
4.6
%
5.4
%
86,220
(92,220
)
Structured RMBS
IO 20yr 4.0
8,771
882
0.02
%
10.06
4.00
%
4.57
%
144
89
11.1
%
9.6
%
5
(5
)
IO 30yr 3.0
2,963
359
0.01
%
12.13
3.00
%
3.64
%
107
241
0.8
%
0.8
%
-
-
IO 30yr 4.0
81,439
14,263
0.37
%
17.51
4.00
%
4.60
%
112
239
12.2
%
8.3
%
(293
)
224
IO 30yr 4.5
3,487
674
0.02
%
19.34
4.50
%
4.99
%
162
185
8.8
%
6.8
%
(6
)
3
IO 30yr 5.0
1,894
394
0.01
%
20.80
5.00
%
5.36
%
162
186
10.0
%
9.6
%
(7
)
5
IO Total
98,554
16,572
0.43
%
16.82
4.01
%
4.60
%
118
223
11.6
%
8.1
%
(302
)
228
IIO 30yr 4.0
26,776
358
0.01
%
1.34
0.00
%
4.40
%
75
274
1.8
%
6.9
%
105
(87
)
Total Structured RMBS
125,330
16,930
0.43
%
13.51
3.15
%
4.55
%
109
234
9.5
%
7.9
%
(197
)
141
Total Mortgage Assets
$
4,176,475
$
3,894,012
100.00
%
4.30
%
5.05
%
25
331
4.8
%
5.5
%
$
86,023
$
(92,079
)
Average
Hedge
Modeled Interest
Notional
Period
Rate Sensitivity (1)
Hedge
Balance
End
(-50 BPS)
(+50 BPS)
3-Month SOFR Futures
$
(100,000
)
May-25
$
(1,000
)
$
1,000
5-Year Treasury Future(2)
(471,500
)
Mar-24
(8,818
)
8,686
10-Year Treasury Future(3)
(470,000
)
Mar-24
(10,339
)
10,036
Swaps
(2,326,500
)
Nov-29
(59,619
)
57,475
TBA
(645,700
)
Jan-24
(10,822
)
12,804
Swaptions
(800,000
)
May-24
(61
)
365
Hedge Total
$
(4,813,700
)
$
(90,659
)
$
90,366
Rate Shock Grand Total
$
(4,636
)
$
(1,713
)
(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 $108.77 at December 31, 2023. The market value
of the short position was $512.9 million.
(3)
Ten-year Treasury futures contracts were
valued at prices of $112.89 at December 31, 2023. The market value
of the short position was $530.6 million.
RMBS Assets by Agency
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of December 31, 2023
Fannie Mae
$
2,714,192
69.7
%
Freddie Mac
1,179,820
30.3
%
Total Mortgage Assets
$
3,894,012
100.0
%
Investment Company Act of 1940 Whole
Pool Test
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of December 31, 2023
Non-Whole Pool Assets
$
142,646
3.7
%
Whole Pool Assets
3,751,366
96.3
%
Total Mortgage Assets
$
3,894,012
100.0
%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of December 31, 2023
Borrowings
Debt
Rate
in Days
Maturity
RBC Capital Markets, LLC
$
300,275
8.1
%
5.54
%
16
1/17/2024
Citigroup Global Markets Inc
298,549
8.1
%
5.55
%
26
1/26/2024
Mitsubishi UFJ Securities (USA), Inc
284,167
7.7
%
5.57
%
22
1/29/2024
J.P. Morgan Securities LLC
266,958
7.2
%
5.54
%
18
1/18/2024
Cantor Fitzgerald & Co
257,999
7.0
%
5.54
%
44
2/13/2024
ASL Capital Markets Inc.
244,611
6.6
%
5.54
%
17
1/29/2024
Wells Fargo Bank, N.A.
218,540
5.9
%
5.56
%
26
1/26/2024
Mirae Asset Securities (USA) Inc.
200,200
5.4
%
5.53
%
52
4/22/2024
Merrill Lynch, Pierce, Fenner &
Smith
193,715
5.2
%
5.56
%
16
1/26/2024
Daiwa Securities America Inc.
179,787
4.9
%
5.54
%
24
1/24/2024
ABN AMRO Bank N.V.
177,114
4.8
%
5.55
%
20
1/31/2024
Bank of Montreal
169,041
4.6
%
5.55
%
16
1/16/2024
StoneX Financial Inc.
168,852
4.6
%
5.55
%
16
1/16/2024
Goldman, Sachs & Co
160,410
4.3
%
5.56
%
18
1/29/2024
Banco Santander SA
154,412
4.2
%
5.53
%
71
3/22/2024
ING Financial Markets LLC
128,758
3.5
%
5.55
%
16
1/16/2024
Marex Capital Markets Inc.
115,143
3.1
%
5.53
%
9
1/16/2024
DV Securities, LLC Repo
88,423
2.4
%
5.55
%
48
2/29/2024
South Street Securities, LLC
80,295
2.2
%
5.57
%
59
2/28/2024
Lucid Cash Fund USG LLC
9,840
0.3
%
5.55
%
18
1/18/2024
Lucid Prime Fund, LLC
8,560
0.2
%
5.55
%
18
1/18/2024
Total Borrowings
$
3,705,649
100.0
%
5.55
%
26
4/22/2024
View source
version on businesswire.com: https://www.businesswire.com/news/home/20240110467516/en/
Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772)
231-1400
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