Orchid Island Capital Announces February 2024 Monthly Dividend and January 31, 2024 RMBS Portfolio Characteristics
February 14 2024 - 4:50PM
Business Wire
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 2024. The
dividend of $0.12 per share will be paid March 26, 2024 to holders
of record of the Company’s common stock on February 29, 2024, with
an ex-dividend date of February 28, 2024. The Company plans on
announcing its next common stock dividend on March 13, 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 February 14, 2024 and January 31, 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.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of January 31, 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, 2022.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Nov-23 -
Jan-24
Jan-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 Feb)
in Feb)
(-50 BPS)
(+50 BPS)
Fixed
Rate RMBS
30yr 3.0
1,390,175
1,235,739
32.07
%
88.89
3.00
%
3.46
%
34
320
6.3
%
5.1
%
38,816
(39,284
)
30yr 3.5
193,119
179,633
4.66
%
93.02
3.50
%
4.04
%
47
302
6.0
%
5.8
%
5,074
(5,125
)
30yr 4.0
560,307
529,874
13.75
%
94.57
4.00
%
4.78
%
24
333
2.7
%
2.3
%
13,366
(14,338
)
30yr 4.5
338,732
329,019
8.54
%
97.13
4.50
%
5.45
%
19
339
7.4
%
6.2
%
6,431
(7,159
)
30yr 5.0
549,488
544,218
14.12
%
99.04
5.00
%
5.93
%
17
340
3.4
%
3.8
%
9,978
(11,435
)
30yr 5.5
271,070
274,239
7.12
%
101.17
5.50
%
6.43
%
10
349
5.1
%
3.5
%
4,246
(5,126
)
30yr 6.0
318,989
324,586
8.42
%
101.75
6.00
%
6.99
%
10
345
7.5
%
8.6
%
3,802
(4,738
)
30yr 6.5
332,433
341,679
8.87
%
102.78
6.50
%
7.39
%
6
351
11.0
%
8.7
%
2,770
(3,680
)
30yr 7.0
74,593
77,362
2.01
%
103.71
7.00
%
7.94
%
4
354
2.4
%
4.5
%
518
(647
)
Total Pass Through RMBS
4,028,906
3,836,349
99.55
%
95.22
4.33
%
5.06
%
23
333
5.8
%
5.1
%
85,001
(91,532
)
Structured RMBS
IO 20yr 4.0
8,613
892
0.02
%
10.36
4.00
%
4.57
%
145
88
10.0
%
10.2
%
5
(5
)
IO 30yr 3.0
2,952
356
0.01
%
12.05
3.00
%
3.64
%
108
240
24.3
%
9.4
%
-
(1
)
IO 30yr 4.0
80,114
14,756
0.38
%
18.42
4.00
%
4.60
%
113
238
6.2
%
8.4
%
(241
)
187
IO 30yr 4.5
3,440
643
0.02
%
18.69
4.50
%
4.99
%
163
183
4.4
%
5.5
%
(4
)
2
IO 30yr 5.0
1,871
374
0.01
%
20.00
5.00
%
5.36
%
163
185
3.7
%
5.0
%
(6
)
4
IO Total
96,990
17,021
0.44
%
17.55
4.01
%
4.60
%
119
222
7.0
%
8.5
%
(245
)
186
IIO 30yr 4.0
26,509
327
0.01
%
1.23
0.00
%
4.40
%
76
272
7.6
%
7.0
%
103
(84
)
Total Structured RMBS
123,499
17,348
0.45
%
14.05
3.15
%
4.55
%
109
232
7.1
%
8.1
%
(142
)
102
Total Mortgage Assets
$
4,152,405
$
3,853,697
100.00
%
4.30
%
5.05
%
26
330
5.9
%
5.2
%
$
84,859
$
(91,430
)
Average
Hedge
Modeled Interest
Notional
Period
Rate Sensitivity (1)
Hedge
Balance
End
(-50 BPS)
(+50 BPS)
3-Month SOFR Futures
$
(100,000
)
Mar-26
$
(1,000
)
$
1,000
5-Year Treasury Future(2)
(421,500
)
Mar-24
(8,823
)
8,624
10-Year Treasury Future(3)
(320,000
)
Mar-24
(10,306
)
9,902
Swaps
(2,326,500
)
Nov-29
(58,747
)
56,657
TBA
(645,700
)
Feb-24
(10,774
)
12,812
Swaptions
(800,000
)
May-24
(28
)
256
Hedge Total
$
(4,613,700
)
$
(89,678
)
$
89,251
Rate Shock Grand Total
$
(4,819
)
$
(2,179
)
(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 $108.39 at January 31, 2024. The market value
of the short position was $456.9 million.
(3)
Ten-year Treasury futures contracts were
valued at prices of $112.33 at January 31, 2024. The market value
of the short position was $359.5 million.
RMBS Assets by Agency
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of January 31, 2024
Fannie Mae
$
2,684,927
69.7
%
Freddie Mac
1,168,770
30.3
%
Total Mortgage Assets
$
3,853,697
100.0
%
Investment Company Act of 1940 Whole
Pool Test
($ in thousands)
Percentage
Fair
of
Asset Category
Value
Portfolio
As of January 31, 2024
Non-Whole Pool Assets
$
141,882
3.7
%
Whole Pool Assets
3,711,815
96.3
%
Total Mortgage Assets
$
3,853,697
100.0
%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of January 31, 2024
Borrowings
Debt
Rate
in Days
Maturity
RBC Capital Markets, LLC
$
295,473
8.0
%
5.48
%
13
2/13/2024
Mitsubishi UFJ Securities (USA), Inc.
280,200
7.6
%
5.49
%
23
2/29/2024
J.P. Morgan Securities LLC
264,928
7.2
%
5.46
%
20
2/20/2024
Cantor Fitzgerald & Co
255,902
7.0
%
5.54
%
13
2/13/2024
Citigroup Global Markets Inc.
247,472
6.7
%
5.46
%
26
2/26/2024
ASL Capital Markets Inc.
241,703
6.6
%
5.47
%
38
3/12/2024
Wells Fargo Bank, N.A.
208,284
5.7
%
5.47
%
54
3/25/2024
Merrill Lynch, Pierce, Fenner &
Smith
198,201
5.4
%
5.48
%
16
2/27/2024
Mirae Asset Securities (USA) Inc.
198,045
5.4
%
5.49
%
60
4/22/2024
ABN AMRO Bank N.V.
178,201
4.9
%
5.48
%
50
3/28/2024
Daiwa Securities America Inc.
176,370
4.8
%
5.47
%
84
4/24/2024
Bank of Montreal
166,942
4.5
%
5.49
%
42
3/13/2024
StoneX Financial Inc.
166,206
4.5
%
5.48
%
16
2/16/2024
Marex Capital Markets Inc.
160,119
4.4
%
5.49
%
43
4/26/2024
Goldman, Sachs & Co.
157,780
4.3
%
5.47
%
18
2/29/2024
Banco Santander SA
152,412
4.1
%
5.53
%
40
3/22/2024
ING Financial Markets LLC
130,630
3.6
%
5.48
%
50
3/21/2024
DV Securities, LLC Repo
96,129
2.6
%
5.54
%
18
2/29/2024
South Street Securities, LLC
80,184
2.2
%
5.57
%
28
2/28/2024
Lucid Cash Fund USG LLC
9,699
0.3
%
5.49
%
15
2/15/2024
Lucid Prime Fund, LLC
8,489
0.2
%
5.49
%
15
2/15/2024
Total Borrowings
$
3,673,369
100.0
%
5.49
%
33
4/26/2024
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version on businesswire.com: https://www.businesswire.com/news/home/20240214525216/en/
Orchid Island Capital, Inc. Robert E. Cauley (772) 231-1400
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