ORC Orchid Island Capital Inc

• July 2024 Monthly Dividend of $0.12 Per Share of Common Stock
• Estimated Book Value Per Share as of June 30, 2024 of $8.58
• Estimated GAAP net loss of $0.09 per share for the quarter ended June 30, 2024, including an estimated $0.1 million of net realized and unrealized gains on RMBS and derivative instruments
• Estimated (2.0)% total return on equity for the quarter ended June 30, 2024
• Estimated book value, net loss 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 June 30, 2024
• Next Dividend Announcement Expected August 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 July 2024. The dividend of $0.12 per share will be paid August 29, 2024 to holders of record of the Company’s common stock on July 31, 2024, with an ex-dividend date of July 31, 2024. The Company plans on announcing its next common stock dividend on August 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 July 10, 2024, the Company had 66,849,374 shares of common stock outstanding. As of June 30, 2024, the Company had 64,824,374 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.

Estimated June 30, 2024 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2024 was $8.58. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2024, the Company's preliminary estimated total stockholders' equity was approximately $555.9 million with 64,824,374 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 Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.09 for the quarter ended June 30, 2024, which includes an estimated $0.1 million of net realized and unrealized gains on RMBS and derivative instruments. These amounts compare to total dividends declared during the quarter of $0.36 per share. Net income (loss) 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 June 30, 2024 was (2.0)%. 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 $(0.18) per share, comprised of dividends per share of $0.36 and a decrease in book value per share of $0.54 from March 31, 2024.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 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 June 30, 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

 

 

Apr-24 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jun-24

 

 

Jun-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 July)

 

 

in July)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30yr 3.0

 

$

1,344,063

 

 

$

1,163,056

 

 

 

25.70

%

 

 

86.53

 

 

 

3.00

%

 

 

3.46

%

 

 

39

 

 

 

315

 

 

 

5.4

%

 

 

5.5

%

 

$

36,664

 

 

$

(37,298

)

30yr 3.5

 

 

185,861

 

 

 

167,726

 

 

 

3.71

%

 

 

90.24

 

 

 

3.50

%

 

 

4.04

%

 

 

52

 

 

 

296

 

 

 

9.8

%

 

 

8.6

%

 

 

4,725

 

 

 

(4,792

)

30yr 4.0

 

 

545,532

 

 

 

502,031

 

 

 

11.09

%

 

 

92.03

 

 

 

4.00

%

 

 

4.78

%

 

 

29

 

 

 

327

 

 

 

4.8

%

 

 

4.3

%

 

 

12,984

 

 

 

(13,772

)

30yr 4.5

 

 

322,297

 

 

 

305,678

 

 

 

6.75

%

 

 

94.84

 

 

 

4.50

%

 

 

5.45

%

 

 

24

 

 

 

333

 

 

 

15.3

%

 

 

13.0

%

 

 

6,432

 

 

 

(6,940

)

30yr 5.0

 

 

533,332

 

 

 

517,506

 

 

 

11.43

%

 

 

97.03

 

 

 

5.00

%

 

 

5.93

%

 

 

22

 

 

 

334

 

 

 

15.8

%

 

 

9.5

%

 

 

10,381

 

 

 

(11,385

)

30yr 5.5

 

 

263,728

 

 

 

262,431

 

 

 

5.80

%

 

 

99.51

 

 

 

5.50

%

 

 

6.43

%

 

 

15

 

 

 

342

 

 

 

2.9

%

 

 

6.7

%

 

 

4,731

 

 

 

(5,306

)

30yr 6.0

 

 

617,207

 

 

 

622,737

 

 

 

13.76

%

 

 

100.90

 

 

 

6.00

%

 

 

6.98

%

 

 

11

 

 

 

344

 

 

 

6.9

%

 

 

11.5

%

 

 

8,768

 

 

 

(10,054

)

30yr 6.5

 

 

620,611

 

 

 

635,540

 

 

 

14.04

%

 

 

102.41

 

 

 

6.50

%

 

 

7.42

%

 

 

8

 

 

 

350

 

 

 

9.4

%

 

 

7.2

%

 

 

6,818

 

 

 

(8,068

)

30yr 7.0

 

 

320,972

 

 

 

332,378

 

 

 

7.34

%

 

 

103.55

 

 

 

7.00

%

 

 

7.95

%

 

 

8

 

 

 

347

 

 

 

12.4

%

 

 

12.4

%

 

 

2,780

 

 

 

(3,359

)

30yr Total

 

 

4,753,603

 

 

 

4,509,083

 

 

 

99.63

%

 

 

94.86

 

 

 

4.72

%

 

 

5.49

%

 

 

24

 

 

 

331

 

 

 

8.4

%

 

 

7.6

%

 

 

94,283

 

 

 

(100,974

)

Total Pass Through RMBS

 

 

4,753,603

 

 

 

4,509,083

 

 

 

99.63

%

 

 

94.86

 

 

 

4.72

%

 

 

5.49

%

 

 

24

 

 

 

331

 

 

 

8.4

%

 

 

7.6

%

 

 

94,283

 

 

 

(100,974

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

7,890

 

 

 

763

 

 

 

0.02

%

 

 

9.67

 

 

 

4.00

%

 

 

4.57

%

 

 

150

 

 

 

84

 

 

 

11.0

%

 

 

10.4

%

 

 

4

 

 

 

(3

)

IO 30yr 3.0

 

 

2,722

 

 

 

373

 

 

 

0.01

%

 

 

13.70

 

 

 

3.00

%

 

 

3.64

%

 

 

113

 

 

 

237

 

 

 

0.7

%

 

 

6.9

%

 

 

1

 

 

 

(1

)

IO 30yr 4.0

 

 

76,265

 

 

 

14,285

 

 

 

0.32

%

 

 

18.73

 

 

 

4.00

%

 

 

4.60

%

 

 

118

 

 

 

233

 

 

 

9.3

%

 

 

7.9

%

 

 

(193

)

 

 

173

 

IO 30yr 4.5

 

 

3,302

 

 

 

642

 

 

 

0.01

%

 

 

19.45

 

 

 

4.50

%

 

 

4.99

%

 

 

168

 

 

 

178

 

 

 

3.2

%

 

 

5.0

%

 

 

(2

)

 

 

1

 

IO 30yr 5.0

 

 

1,827

 

 

 

384

 

 

 

0.01

%

 

 

21.04

 

 

 

5.00

%

 

 

5.36

%

 

 

168

 

 

 

180

 

 

 

31.3

%

 

 

12.3

%

 

 

(3

)

 

 

2

 

IO Total

 

 

92,006

 

 

 

16,447

 

 

 

0.36

%

 

 

17.88

 

 

 

4.01

%

 

 

4.60

%

 

 

123

 

 

 

217

 

 

 

9.4

%

 

 

8.1

%

 

 

(193

)

 

 

172

 

IIO 30yr 4.0

 

 

25,049

 

 

 

224

 

 

 

0.00

%

 

 

0.90

 

 

 

0.00

%

 

 

4.40

%

 

 

81

 

 

 

267

 

 

 

7.8

%

 

 

3.3

%

 

 

79

 

 

 

(62

)

Total Structured RMBS

 

 

117,055

 

 

 

16,671

 

 

 

0.37

%

 

 

14.24

 

 

 

3.15

%

 

 

4.55

%

 

 

114

 

 

 

228

 

 

 

9.0

%

 

 

7.1

%

 

 

(114

)

 

 

110

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,870,658

 

 

$

4,525,754

 

 

 

100.00

%

 

 

 

 

 

 

4.68

%

 

 

5.47

%

 

 

26

 

 

 

329

 

 

 

8.4

%

 

 

7.6

%

 

$

94,169

 

 

$

(100,864

)

 

 

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

)

Sep-24

 

 

(8,616

)

 

 

8,353

 

Swaps

 

 

(3,136,800

)

Jul-30

 

 

(80,573

)

 

 

77,666

 

TBA

 

 

(400,000

)

Jul-24

 

 

(11,206

)

 

 

11,479

 

Swaptions

 

 

(9,400

)

Sep-24

 

 

(83

)

 

 

53

 

Hedge Total

 

$

(4,067,700

)

 

 

$

(101,228

)

 

$

98,301

 

Rate Shock Grand Total

 

 

 

 

 

 

$

(7,059

)

 

$

(2,563

)

(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 $106.58 at June 30, 2024. The market value of the short position was $449.2 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of June 30, 2024

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,906,690

 

 

 

64.2

%

Freddie Mac

 

 

1,619,064

 

 

 

35.8

%

Total Mortgage Assets

 

$

4,525,754

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of June 30, 2024

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

133,303

 

 

 

2.9

%

Whole Pool Assets

 

 

4,392,451

 

 

 

97.1

%

Total Mortgage Assets

 

$

4,525,754

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of June 30, 2024

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

ABN AMRO Bank N.V.

 

$

292,120

 

 

 

6.7

%

 

 

5.45

%

 

 

40

 

8/29/2024

DV Securities, LLC Repo

 

 

276,688

 

 

 

6.4

%

 

 

5.45

%

 

 

28

 

9/27/2024

Mitsubishi UFJ Securities (USA), Inc

 

 

264,103

 

 

 

6.1

%

 

 

5.47

%

 

 

33

 

8/29/2024

J.P. Morgan Securities LLC

 

 

248,837

 

 

 

5.7

%

 

 

5.46

%

 

 

8

 

7/24/2024

Wells Fargo Bank, N.A.

 

 

245,795

 

 

 

5.7

%

 

 

5.46

%

 

 

14

 

7/15/2024

Banco Santander SA

 

 

244,119

 

 

 

5.6

%

 

 

5.47

%

 

 

36

 

8/19/2024

Citigroup Global Markets Inc

 

 

243,766

 

 

 

5.6

%

 

 

5.45

%

 

 

22

 

7/24/2024

Cantor Fitzgerald & Co

 

 

240,022

 

 

 

5.5

%

 

 

5.45

%

 

 

15

 

7/15/2024

RBC Capital Markets, LLC

 

 

230,733

 

 

 

5.3

%

 

 

5.47

%

 

 

15

 

7/15/2024

Marex Capital Markets Inc.

 

 

220,831

 

 

 

5.1

%

 

 

5.45

%

 

 

50

 

8/19/2024

ASL Capital Markets Inc.

 

 

213,654

 

 

 

4.9

%

 

 

5.44

%

 

 

17

 

7/29/2024

Goldman, Sachs & Co

 

 

207,923

 

 

 

4.8

%

 

 

5.46

%

 

 

15

 

7/15/2024

Bank of Montreal

 

 

206,039

 

 

 

4.7

%

 

 

5.47

%

 

 

15

 

7/15/2024

Clear Street LLC

 

 

190,252

 

 

 

4.4

%

 

 

5.46

%

 

 

40

 

9/20/2024

Mirae Asset Securities (USA) Inc.

 

 

189,247

 

 

 

4.4

%

 

 

5.47

%

 

 

64

 

9/18/2024

Merrill Lynch, Pierce, Fenner & Smith

 

 

187,004

 

 

 

4.3

%

 

 

5.48

%

 

 

15

 

7/29/2024

Daiwa Securities America Inc.

 

 

169,261

 

 

 

3.9

%

 

 

5.47

%

 

 

54

 

8/23/2024

StoneX Financial Inc.

 

 

159,516

 

 

 

3.7

%

 

 

5.46

%

 

 

16

 

7/16/2024

South Street Securities, LLC

 

 

150,210

 

 

 

3.5

%

 

 

5.46

%

 

 

65

 

9/24/2024

ING Financial Markets LLC

 

 

124,998

 

 

 

2.9

%

 

 

5.47

%

 

 

32

 

8/1/2024

Lucid Prime Fund, LLC

 

 

23,454

 

 

 

0.5

%

 

 

5.46

%

 

 

18

 

7/18/2024

Lucid Cash Fund USG LLC

 

 

17,132

 

 

 

0.4

%

 

 

5.47

%

 

 

18

 

7/18/2024

Total Borrowings

 

$

4,345,704

 

 

 

100.0

%

 

 

5.46

%

 

 

29

 

9/27/2024

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20240710332037/en/

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