ORC Orchid Island Capital Inc

• May 2024 Monthly Dividend of $0.12 Per Share of Common Stock
• RMBS Portfolio Characteristics as of April 30, 2024
• Next Dividend Announcement Expected June 11, 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 May 2024. The dividend of $0.12 per share will be paid June 27, 2024 to holders of record of the Company’s common stock on May 31, 2024, with an ex-dividend date of May 31, 2024. The Company plans on announcing its next common stock dividend on June 11, 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 May 8, 2024, the Company had 54,389,261 shares of common stock outstanding. As of April 30, 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.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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

 

 

Feb-24 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apr-24

 

 

Apr-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 May)

 

 

in May)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30yr 3.0

 

$

1,362,202

 

 

$

1,142,676

 

 

 

30.60

%

 

 

83.88

 

 

 

3.00

%

 

 

3.46

%

 

 

37

 

 

 

317

 

 

 

5.5

%

 

 

4.9

%

 

$

37,242

 

 

$

(37,872

)

30yr 3.5

 

 

189,159

 

 

 

166,548

 

 

 

4.46

%

 

 

88.05

 

 

 

3.50

%

 

 

4.04

%

 

 

50

 

 

 

299

 

 

 

6.1

%

 

 

5.8

%

 

 

4,828

 

 

 

(4,919

)

30yr 4.0

 

 

550,968

 

 

 

494,763

 

 

 

13.25

%

 

 

89.80

 

 

 

4.00

%

 

 

4.78

%

 

 

27

 

 

 

330

 

 

 

3.1

%

 

 

4.9

%

 

 

13,708

 

 

 

(14,455

)

30yr 4.5

 

 

329,680

 

 

 

305,331

 

 

 

8.18

%

 

 

92.61

 

 

 

4.50

%

 

 

5.45

%

 

 

22

 

 

 

335

 

 

 

11.9

%

 

 

10.3

%

 

 

7,056

 

 

 

(7,609

)

30yr 5.0

 

 

540,141

 

 

 

513,517

 

 

 

13.75

%

 

 

95.07

 

 

 

5.00

%

 

 

5.93

%

 

 

20

 

 

 

336

 

 

 

4.0

%

 

 

5.5

%

 

 

11,493

 

 

 

(12,475

)

30yr 5.5

 

 

268,271

 

 

 

262,089

 

 

 

7.02

%

 

 

97.70

 

 

 

5.50

%

 

 

6.43

%

 

 

13

 

 

 

345

 

 

 

3.4

%

 

 

2.3

%

 

 

5,401

 

 

 

(5,969

)

30yr 6.0

 

 

435,076

 

 

 

433,009

 

 

 

11.60

%

 

 

99.53

 

 

 

6.00

%

 

 

7.00

%

 

 

11

 

 

 

345

 

 

 

14.4

%

 

 

7.6

%

 

 

7,101

 

 

 

(8,126

)

30yr 6.5

 

 

321,629

 

 

 

325,280

 

 

 

8.71

%

 

 

101.14

 

 

 

6.50

%

 

 

7.39

%

 

 

9

 

 

 

348

 

 

 

7.7

%

 

 

10.5

%

 

 

4,301

 

 

 

(5,058

)

30yr 7.0

 

 

72,312

 

 

 

74,201

 

 

 

1.99

%

 

 

102.61

 

 

 

7.00

%

 

 

7.94

%

 

 

7

 

 

 

349

 

 

 

15.6

%

 

 

15.2

%

 

 

819

 

 

 

(988

)

30yr Total

 

 

4,069,438

 

 

 

3,717,414

 

 

 

99.55

%

 

 

91.35

 

 

 

4.38

%

 

 

5.12

%

 

 

26

 

 

 

330

 

 

 

6.7

%

 

 

6.3

%

 

 

91,949

 

 

 

(97,471

)

Total Pass Through RMBS

 

 

4,069,438

 

 

 

3,717,414

 

 

 

99.55

%

 

 

91.35

 

 

 

4.38

%

 

 

5.12

%

 

 

26

 

 

 

330

 

 

 

6.7

%

 

 

6.3

%

 

 

91,949

 

 

 

(97,471

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

8,190

 

 

 

816

 

 

 

0.02

%

 

 

9.97

 

 

 

4.00

%

 

 

4.57

%

 

 

148

 

 

 

86

 

 

 

9.5

%

 

 

7.9

%

 

 

4

 

 

 

(3

)

IO 30yr 3.0

 

 

2,785

 

 

 

330

 

 

 

0.01

%

 

 

11.85

 

 

 

3.00

%

 

 

3.63

%

 

 

111

 

 

 

240

 

 

 

18.1

%

 

 

15.9

%

 

 

-

 

 

 

-

 

IO 30yr 4.0

 

 

77,920

 

 

 

14,485

 

 

 

0.39

%

 

 

18.59

 

 

 

4.00

%

 

 

4.60

%

 

 

116

 

 

 

235

 

 

 

6.1

%

 

 

6.1

%

 

 

(188

)

 

 

146

 

IO 30yr 4.5

 

 

3,355

 

 

 

618

 

 

 

0.02

%

 

 

18.41

 

 

 

4.50

%

 

 

4.99

%

 

 

166

 

 

 

180

 

 

 

6.3

%

 

 

6.0

%

 

 

(1

)

 

 

-

 

IO 30yr 5.0

 

 

1,843

 

 

 

366

 

 

 

0.01

%

 

 

19.85

 

 

 

5.00

%

 

 

5.36

%

 

 

166

 

 

 

182

 

 

 

0.9

%

 

 

0.9

%

 

 

(2

)

 

 

1

 

IO Total

 

 

94,093

 

 

 

16,615

 

 

 

0.44

%

 

 

17.66

 

 

 

4.01

%

 

 

4.60

%

 

 

121

 

 

 

219

 

 

 

6.6

%

 

 

6.5

%

 

 

(187

)

 

 

144

 

IIO 30yr 4.0

 

 

25,512

 

 

 

178

 

 

 

0.00

%

 

 

0.70

 

 

 

0.00

%

 

 

4.40

%

 

 

79

 

 

 

269

 

 

 

1.3

%

 

 

1.2

%

 

 

66

 

 

 

(52

)

Total Structured RMBS

 

 

119,605

 

 

 

16,793

 

 

 

0.45

%

 

 

14.04

 

 

 

3.15

%

 

 

4.55

%

 

 

112

 

 

 

230

 

 

 

5.5

%

 

 

5.3

%

 

 

(121

)

 

 

92

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,189,043

 

 

$

3,734,207

 

 

 

100.00

%

 

 

 

 

 

 

4.34

%

 

 

5.10

%

 

 

28

 

 

 

327

 

 

 

6.6

%

 

 

6.3

%

 

$

91,828

 

 

$

(97,379

)

 

 

Average

 

Hedge

 

Modeled Interest

 

 

 

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

 

3-Month SOFR Futures

 

$

(25,000

)

Mar-26

 

$

(750

)

 

$

750

 

5-Year Treasury Future(2)

 

 

(421,500

)

Jun-24

 

 

(8,386

)

 

 

8,255

 

10-Year Treasury Future(3)

 

 

(320,000

)

Jun-24

 

 

(10,029

)

 

 

9,681

 

Swaps

 

 

(2,531,800

)

Dec-29

 

 

(59,741

)

 

 

57,698

 

TBA

 

 

(400,000

)

May-24

 

 

(11,257

)

 

 

11,596

 

Swaptions

 

 

(809,400

)

5/31/2024(1)

 

 

(544

)

 

 

2,250

 

Hedge Total

 

$

(4,507,700

)

 

 

$

(90,707

)

 

$

90,230

 

Rate Shock Grand Total

 

 

 

 

 

 

$

1,121

 

 

$

(7,149

)

(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 $104.74 at April 30, 2024. The market value of the short position was $314.2 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $107.44 at April 30, 2024. The market value of the short position was $221.1 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

Fair

 

of

Asset Category

 

Value

 

Portfolio

As of April 30, 2024

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,613,151

 

 

 

70.0

%

Freddie Mac

 

 

1,121,056

 

 

 

30.0

%

Total Mortgage Assets

 

$

3,734,207

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

Fair

 

of

Asset Category

 

Value

 

Portfolio

As of April 30, 2024

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

133,163

 

 

 

3.6

%

Whole Pool Assets

 

 

3,601,044

 

 

 

96.4

%

Total Mortgage Assets

 

$

3,734,207

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

Weighted

 

 

 

 

 

 

 

 

% of

 

Average

 

Average

 

 

 

 

Total

 

Total

 

Repo

 

Maturity

 

Longest

As of April 30, 2024

 

Borrowings

 

Debt

 

Rate

 

in Days

 

Maturity

RBC Capital Markets, LLC

 

$

273,095

 

 

 

7.6

%

 

 

5.46

%

 

 

13

 

5/13/2024

J.P. Morgan Securities LLC

 

 

245,994

 

 

 

6.8

%

 

 

5.46

%

 

 

6

 

5/22/2024

ABN AMRO Bank N.V.

 

 

219,820

 

 

 

6.1

%

 

 

5.46

%

 

 

43

 

6/17/2024

Cantor Fitzgerald & Co

 

 

216,337

 

 

 

6.0

%

 

 

5.46

%

 

 

13

 

5/13/2024

ASL Capital Markets Inc.

 

 

215,002

 

 

 

6.0

%

 

 

5.44

%

 

 

26

 

7/15/2024

Mitsubishi UFJ Securities (USA), Inc

 

 

206,120

 

 

 

5.7

%

 

 

5.47

%

 

 

13

 

5/28/2024

Wells Fargo Bank, N.A.

 

 

200,694

 

 

 

5.6

%

 

 

5.45

%

 

 

17

 

5/17/2024

Citigroup Global Markets Inc

 

 

195,633

 

 

 

5.4

%

 

 

5.46

%

 

 

23

 

5/23/2024

Mirae Asset Securities (USA) Inc.

 

 

188,251

 

 

 

5.2

%

 

 

5.46

%

 

 

23

 

6/18/2024

Merrill Lynch, Pierce, Fenner & Smith

 

 

185,624

 

 

 

5.1

%

 

 

5.48

%

 

 

15

 

5/28/2024

Daiwa Securities America Inc.

 

 

166,457

 

 

 

4.6

%

 

 

5.45

%

 

 

55

 

6/24/2024

Bank of Montreal

 

 

160,575

 

 

 

4.5

%

 

 

5.46

%

 

 

13

 

5/13/2024

StoneX Financial Inc.

 

 

159,516

 

 

 

4.4

%

 

 

5.46

%

 

 

77

 

7/16/2024

DV Securities, LLC Repo

 

 

156,648

 

 

 

4.3

%

 

 

5.45

%

 

 

22

 

6/28/2024

Marex Capital Markets Inc.

 

 

151,893

 

 

 

4.2

%

 

 

5.45

%

 

 

48

 

6/17/2024

Goldman, Sachs & Co

 

 

149,687

 

 

 

4.1

%

 

 

5.46

%

 

 

20

 

5/20/2024

Banco Santander SA

 

 

146,172

 

 

 

4.1

%

 

 

5.46

%

 

 

29

 

6/17/2024

Clear Street LLC

 

 

126,836

 

 

 

3.5

%

 

 

5.45

%

 

 

23

 

6/28/2024

ING Financial Markets LLC

 

 

124,310

 

 

 

3.4

%

 

 

5.46

%

 

 

44

 

6/13/2024

South Street Securities, LLC

 

 

101,890

 

 

 

2.8

%

 

 

5.46

%

 

 

24

 

5/28/2024

Lucid Cash Fund USG LLC

 

 

16,923

 

 

 

0.5

%

 

 

5.45

%

 

 

16

 

5/16/2024

Total Borrowings

 

$

3,607,477

 

 

 

100.0

%

 

 

5.46

%

 

 

26

 

7/16/2024

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20240508321743/en/

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