ORC Orchid Island Capital Inc

• 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