ORC Orchid Island Capital Inc

• April 2024 Monthly Dividend of $0.12 Per Share of Common Stock
• Estimated Book Value Per Share as of March 31, 2024 of $9.12
• Estimated GAAP net income of $0.38 per share for the quarter ended March 31, 2024, including an estimated $0.50 per share of net realized and unrealized gains on RMBS and derivative instruments.
• Estimated 4.2% 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 March 31, 2024
• Next Dividend Announcement Expected May 8, 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 April 2024. The dividend of $0.12 per share will be paid May 30, 2024 to holders of record of the Company’s common stock on April 30, 2024, with an ex-dividend date of April 29, 2024. The Company plans on announcing its next common stock dividend on May 8, 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 April 10, 2024, the Company had 52,973,989 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding. As of December 31, 2023, the Company had 51,636,074 shares of common stock outstanding.

Estimated March 31, 2024 Book Value Per Share

The Company’s estimated book value per share as of March 31, 2024 was $9.12. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2024, the Company's preliminary estimated total stockholders' equity was approximately $481.6 million with 52,826,169 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 $0.38, which includes $0.50 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended March 31, 2024. 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 income. 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 March 31, 2024 was 4.2%. 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 $0.38 per share, comprised of dividends per share of $0.36 and an increase in book value per share of $0.02 from December 31, 2023.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 2024 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 March 31, 2024, 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, 2023.

RMBS Valuation Characteristics

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

 

Jan-24 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mar-24

 

 

Mar-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 Apr)

 

 

in Apr)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30yr 3.0

 

$

1,370,656

 

 

$

1,197,253

 

 

 

30.85

%

 

 

87.35

 

 

 

3.00

%

 

 

3.46

%

 

 

36

 

 

 

318

 

 

 

4.9

%

 

 

5.3

%

 

$

37,486

 

 

$

(37,854

)

30yr 3.5

 

 

190,371

 

 

 

174,067

 

 

 

4.49

%

 

 

91.44

 

 

 

3.50

%

 

 

4.04

%

 

 

49

 

 

 

300

 

 

 

5.1

%

 

 

5.7

%

 

 

4,893

 

 

 

(4,937

)

30yr 4.0

 

 

557,000

 

 

 

518,393

 

 

 

13.36

%

 

 

93.07

 

 

 

4.00

%

 

 

4.78

%

 

 

26

 

 

 

331

 

 

 

10.5

%

 

 

4.8

%

 

 

13,316

 

 

 

(14,203

)

30yr 4.5

 

 

332,189

 

 

 

318,003

 

 

 

8.19

%

 

 

95.73

 

 

 

4.50

%

 

 

5.45

%

 

 

21

 

 

 

337

 

 

 

7.1

%

 

 

8.9

%

 

 

6,505

 

 

 

(7,154

)

30yr 5.0

 

 

543,831

 

 

 

532,646

 

 

 

13.72

%

 

 

97.94

 

 

 

5.00

%

 

 

5.93

%

 

 

19

 

 

 

338

 

 

 

6.0

%

 

 

5.2

%

 

 

10,158

 

 

 

(11,510

)

30yr 5.5

 

 

268,684

 

 

 

269,800

 

 

 

6.95

%

 

 

100.42

 

 

 

5.50

%

 

 

6.43

%

 

 

12

 

 

 

346

 

 

 

0.6

%

 

 

2.9

%

 

 

4,375

 

 

 

(5,199

)

30yr 6.0

 

 

436,455

 

 

 

443,168

 

 

 

11.42

%

 

 

101.54

 

 

 

6.00

%

 

 

7.00

%

 

 

10

 

 

 

346

 

 

 

2.7

%

 

 

5.2

%

 

 

5,215

 

 

 

(6,510

)

30yr 6.5

 

 

325,991

 

 

 

334,343

 

 

 

8.61

%

 

 

102.56

 

 

 

6.50

%

 

 

7.39

%

 

 

8

 

 

 

349

 

 

 

13.8

%

 

 

11.5

%

 

 

2,835

 

 

 

(3,738

)

30yr 7.0

 

 

73,934

 

 

 

76,832

 

 

 

1.98

%

 

 

103.92

 

 

 

7.00

%

 

 

7.94

%

 

 

6

 

 

 

350

 

 

 

22.7

%

 

 

10.9

%

 

 

483

 

 

 

(625

)

30yr Total

 

 

4,099,111

 

 

 

3,864,505

 

 

 

99.57

%

 

 

94.28

 

 

 

4.38

%

 

 

5.12

%

 

 

25

 

 

 

331

 

 

 

6.5

%

 

 

6.0

%

 

 

85,266

 

 

 

(91,730

)

Total Pass Through RMBS

 

 

4,099,111

 

 

 

3,864,505

 

 

 

99.57

%

 

 

94.28

 

 

 

4.38

%

 

 

5.12

%

 

 

25

 

 

 

331

 

 

 

6.5

%

 

 

6.0

%

 

 

85,266

 

 

 

(91,730

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

8,320

 

 

 

822

 

 

 

0.02

%

 

 

9.88

 

 

 

4.00

%

 

 

4.57

%

 

 

147

 

 

 

86

 

 

 

6.4

%

 

 

8.1

%

 

 

5

 

 

 

(4

)

IO 30yr 3.0

 

 

2,798

 

 

 

378

 

 

 

0.01

%

 

 

13.50

 

 

 

3.00

%

 

 

3.63

%

 

 

110

 

 

 

241

 

 

 

2.2

%

 

 

18.1

%

 

 

1

 

 

 

(1

)

IO 30yr 4.0

 

 

78,587

 

 

 

14,069

 

 

 

0.36

%

 

 

17.90

 

 

 

4.00

%

 

 

4.60

%

 

 

115

 

 

 

236

 

 

 

5.4

%

 

 

6.2

%

 

 

(187

)

 

 

144

 

IO 30yr 4.5

 

 

3,385

 

 

 

665

 

 

 

0.02

%

 

 

19.65

 

 

 

4.50

%

 

 

4.99

%

 

 

165

 

 

 

181

 

 

 

6.5

%

 

 

5.3

%

 

 

(3

)

 

 

1

 

IO 30yr 5.0

 

 

1,851

 

 

 

392

 

 

 

0.01

%

 

 

21.17

 

 

 

5.00

%

 

 

5.36

%

 

 

165

 

 

 

183

 

 

 

1.1

%

 

 

1.8

%

 

 

(5

)

 

 

3

 

IO Total

 

 

94,941

 

 

 

16,326

 

 

 

0.42

%

 

 

17.20

 

 

 

4.01

%

 

 

4.60

%

 

 

120

 

 

 

220

 

 

 

5.3

%

 

 

6.6

%

 

 

(190

)

 

 

142

 

IIO 30yr 4.0

 

 

25,768

 

 

 

247

 

 

 

0.01

%

 

 

0.96

 

 

 

0.00

%

 

 

4.40

%

 

 

78

 

 

 

270

 

 

 

1.6

%

 

 

3.4

%

 

 

87

 

 

 

(70

)

Total Structured RMBS

 

 

120,709

 

 

 

16,573

 

 

 

0.43

%

 

 

13.73

 

 

 

3.15

%

 

 

4.55

%

 

 

111

 

 

 

231

 

 

 

4.5

%

 

 

5.9

%

 

 

(103

)

 

 

72

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,219,820

 

 

$

3,881,078

 

 

 

100.00

%

 

 

 

 

 

 

4.34

%

 

 

5.10

%

 

 

27

 

 

 

328

 

 

 

6.5

%

 

 

6.0

%

 

$

85,163

 

 

$

(91,658

)

 

 

Average

 

Hedge

 

Modeled Interest

 

 

 

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

 

3-Month SOFR Futures

 

$

(100,000

)

Mar-26

 

$

(750

)

 

$

750

 

5-Year Treasury Future(2)

 

 

(421,500

)

Jun-24

 

 

(8,556

)

 

 

8,423

 

10-Year Treasury Future(3)

 

 

(320,000

)

Jun-24

 

 

(10,360

)

 

 

10,006

 

Swaps

 

 

(2,531,800

)

Dec-29

 

 

(62,066

)

 

 

59,907

 

TBA

 

 

(370,700

)

Apr-24

 

 

(10,045

)

 

 

10,490

 

Swaptions

 

 

(809,400

)

May-24

 

 

(169

)

 

 

508

 

Hedge Total

 

$

(4,553,400

)

 

 

$

(91,946

)

 

$

90,084

 

Rate Shock Grand Total

 

 

 

 

 

 

$

(6,783

)

 

$

(1,574

)

(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 $107.02 at March 31, 2024. The market value of the short position was $451.1 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $110.80 at March 31, 2024. The market value of the short position was $354.6 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of March 31, 2024

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,719,139

 

 

 

70.1

%

Freddie Mac

 

 

1,161,939

 

 

 

29.9

%

Total Mortgage Assets

 

$

3,881,078

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of March 31, 2024

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

137,811

 

 

 

3.6

%

Whole Pool Assets

 

 

3,743,267

 

 

 

96.4

%

Total Mortgage Assets

 

$

3,881,078

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

Weighted

 

 

 

 

 

 

 

 

% of

 

Average

 

Average

 

 

 

 

Total

 

 

Total

 

Repo

 

Maturity

 

Longest

As of March 31, 2024

 

Borrowings

 

 

Debt

 

Rate

 

in Days

 

Maturity

RBC Capital Markets, LLC

 

$

290,315

 

 

 

7.8%

 

 

5.46%

 

 

11

 

4/11/2024

ASL Capital Markets Inc.

 

 

265,535

 

 

 

7.2%

 

 

5.43%

 

 

33

 

7/15/2024

Mitsubishi UFJ Securities (USA), Inc

 

 

255,330

 

 

 

6.9%

 

 

5.47%

 

 

12

 

4/26/2024

J.P. Morgan Securities LLC

 

 

252,936

 

 

 

6.8%

 

 

5.46%

 

 

22

 

4/22/2024

Citigroup Global Markets Inc

 

 

243,960

 

 

 

6.6%

 

 

5.46%

 

 

24

 

4/24/2024

Cantor Fitzgerald & Co

 

 

224,172

 

 

 

6.0%

 

 

5.46%

 

 

11

 

4/11/2024

ABN AMRO Bank N.V.

 

 

223,932

 

 

 

6.0%

 

 

5.46%

 

 

25

 

5/31/2024

Wells Fargo Bank, N.A.

 

 

204,977

 

 

 

5.5%

 

 

5.45%

 

 

19

 

4/19/2024

Mirae Asset Securities (USA) Inc.

 

 

193,164

 

 

 

5.2%

 

 

5.46%

 

 

26

 

6/18/2024

Merrill Lynch, Pierce, Fenner & Smith

 

 

191,904

 

 

 

5.2%

 

 

5.47%

 

 

15

 

4/26/2024

Daiwa Securities America Inc.

 

 

175,179

 

 

 

4.7%

 

 

5.47%

 

 

24

 

4/24/2024

Bank of Montreal

 

 

164,564

 

 

 

4.4%

 

 

5.46%

 

 

11

 

4/11/2024

StoneX Financial Inc.

 

 

163,354

 

 

 

4.4%

 

 

5.46%

 

 

16

 

4/16/2024

Marex Capital Markets Inc.

 

 

156,953

 

 

 

4.2%

 

 

5.46%

 

 

20

 

4/26/2024

Goldman, Sachs & Co

 

 

154,197

 

 

 

4.2%

 

 

5.46%

 

 

18

 

4/18/2024

Banco Santander SA

 

 

150,450

 

 

 

4.1%

 

 

5.47%

 

 

19

 

4/22/2024

ING Financial Markets LLC

 

 

124,790

 

 

 

3.4%

 

 

5.47%

 

 

22

 

4/22/2024

DV Securities, LLC Repo

 

 

112,001

 

 

 

3.0%

 

 

5.46%

 

 

40

 

5/14/2024

South Street Securities, LLC

 

 

101,890

 

 

 

2.7%

 

 

5.46%

 

 

54

 

5/28/2024

Clear Street LLC

 

 

44,558

 

 

 

1.2%

 

 

5.45%

 

 

37

 

5/13/2024

Lucid Cash Fund USG LLC

 

 

17,337

 

 

 

0.5%

 

 

5.46%

 

 

18

 

4/18/2024

Total Borrowings

 

$

3,711,498

 

 

 

100.0%

 

 

5.46%

 

 

21

 

7/15/2024

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20240410775979/en/

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