Orchid Island Capital Announces Estimated Third Quarter 2024 Results, October 2024 Monthly Dividend and September 30, 2024 RMBS Portfolio Characteristics
October 16 2024 - 5:17PM
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 October 2024. The dividend of
$0.12 per share will be paid November 27, 2024 to holders
of record of the Company’s common stock on October 31, 2024, with
an ex-dividend date of October 31, 2024. The Company plans on
announcing its next common stock dividend on November 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 October 16, 2024, the Company
had 78,414,645 shares of common stock outstanding. As of
September 30, 2024, the Company had 78,082,645 shares of
common stock outstanding. As of June 30, 2024, the Company
had 64,824,374 shares of common stock outstanding.
Estimated September 30,
2024 Book Value Per Share
The Company’s estimated book value per share as
of September 30, 2024 was $8.40. The Company
computes book value per share by dividing total stockholders'
equity by the total number of outstanding shares of common stock.
At September 30, 2024, the Company's preliminary estimated
total stockholders' equity was approximately $656.0 million
with 78,082,645 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 $0.24 for the quarter
ended September 30, 2024, which includes an estimated
$0.29 per share 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 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 September 30, 2024 was 2.1%. 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 $0.18 per
share, comprised of dividends per share of $0.36 and a decrease in
book value per share of $0.18 from June 30, 2024.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as
of September 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 September 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 |
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($ in thousands) |
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Realized |
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Realized |
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Jul -24 - |
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Sep-24 |
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Sep-24 |
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Net |
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Weighted |
|
CPR |
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CPR |
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Weighted |
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Average |
|
(1-Month) |
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|
(3-Month) |
|
|
Modeled Interest |
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| |
|
Current |
|
Fair |
|
% of |
|
|
Current |
|
Average |
|
|
|
|
|
|
|
Maturity |
|
(Reported |
|
|
(Reported |
|
|
Rate Sensitivity (1) |
|
|
Type |
|
Face |
|
Value |
|
Portfolio |
|
|
Price |
|
Coupon |
|
|
GWAC |
|
|
Age |
|
(Months) |
|
in Oct) |
|
|
in Oct) |
|
|
(-50 BPS) |
|
|
(+50 BPS) |
|
|
Fixed Rate RMBS |
|
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|
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|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 30yr 3.0 |
|
|
1,313,569 |
|
|
1,192,650 |
|
21.91 |
% |
|
90.79 |
|
3.00 |
% |
|
3.46 |
% |
|
42 |
|
312 |
|
4.9 |
% |
|
6.4 |
% |
|
|
36,156 |
|
|
|
(37,050 |
) |
| 30yr 3.5 |
|
|
180,159 |
|
|
170,463 |
|
3.13 |
% |
|
94.62 |
|
3.50 |
% |
|
4.04 |
% |
|
55 |
|
293 |
|
7.3 |
% |
|
8.6 |
% |
|
|
4,631 |
|
|
|
(4,728 |
) |
| 30yr 4.0 |
|
|
534,812 |
|
|
515,427 |
|
9.47 |
% |
|
96.38 |
|
4.00 |
% |
|
4.64 |
% |
|
68 |
|
285 |
|
3.2 |
% |
|
4.6 |
% |
|
|
11,715 |
|
|
|
(12,733 |
) |
| 30yr 4.5 |
|
|
312,192 |
|
|
308,236 |
|
5.66 |
% |
|
98.73 |
|
4.50 |
% |
|
5.44 |
% |
|
27 |
|
330 |
|
5.5 |
% |
|
6.8 |
% |
|
|
5,377 |
|
|
|
(6,191 |
) |
| 30yr 5.0 |
|
|
517,497 |
|
|
518,746 |
|
9.53 |
% |
|
100.24 |
|
5.00 |
% |
|
5.93 |
% |
|
25 |
|
330 |
|
7.9 |
% |
|
7.0 |
% |
|
|
7,905 |
|
|
|
(9,531 |
) |
| 30yr 5.5 |
|
|
259,123 |
|
|
265,083 |
|
4.87 |
% |
|
102.30 |
|
5.50 |
% |
|
6.43 |
% |
|
18 |
|
338 |
|
3.3 |
% |
|
5.8 |
% |
|
|
3,498 |
|
|
|
(4,475 |
) |
| 30yr 6.0 |
|
|
1,248,052 |
|
|
1,287,954 |
|
23.66 |
% |
|
103.20 |
|
6.00 |
% |
|
6.98 |
% |
|
9 |
|
347 |
|
11.7 |
% |
|
9.5 |
% |
|
|
8,892 |
|
|
|
(12,035 |
) |
| 30yr 6.5 |
|
|
776,146 |
|
|
806,065 |
|
14.81 |
% |
|
103.85 |
|
6.50 |
% |
|
7.43 |
% |
|
9 |
|
348 |
|
15.8 |
% |
|
11.9 |
% |
|
|
5,418 |
|
|
|
(7,020 |
) |
| 30yr
7.0 |
|
|
346,282 |
|
|
362,445 |
|
6.66 |
% |
|
104.67 |
|
7.00 |
% |
|
7.94 |
% |
|
11 |
|
343 |
|
22.4 |
% |
|
22.7 |
% |
|
|
2,291 |
|
|
|
(2,777 |
) |
| 30yr
Total |
|
|
5,487,832 |
|
|
5,427,069 |
|
99.71 |
% |
|
98.89 |
|
4.94 |
% |
|
5.72 |
% |
|
27 |
|
327 |
|
9.3 |
% |
|
8.8 |
% |
|
|
85,883 |
|
|
|
(96,540 |
) |
|
Total Pass Through RMBS |
|
|
5,487,832 |
|
|
5,427,069 |
|
99.71 |
% |
|
98.89 |
|
4.94 |
% |
|
5.72 |
% |
|
27 |
|
327 |
|
9.3 |
% |
|
8.8 |
% |
|
|
85,883 |
|
|
|
(96,540 |
) |
|
Structured RMBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| IO 20yr 4.0 |
|
|
7,414 |
|
|
693 |
|
0.01 |
% |
|
9.35 |
|
4.00 |
% |
|
4.57 |
% |
|
153 |
|
81 |
|
11.0 |
% |
|
11.5 |
% |
|
|
3 |
|
|
|
(4 |
) |
| IO 30yr 3.0 |
|
|
2,690 |
|
|
376 |
|
0.01 |
% |
|
13.98 |
|
3.00 |
% |
|
3.64 |
% |
|
116 |
|
234 |
|
0.9 |
% |
|
1.2 |
% |
|
|
(2 |
) |
|
|
- |
|
| IO 30yr 4.0 |
|
|
73,719 |
|
|
13,339 |
|
0.25 |
% |
|
18.09 |
|
4.00 |
% |
|
4.60 |
% |
|
121 |
|
230 |
|
5.8 |
% |
|
6.3 |
% |
|
|
(424 |
) |
|
|
302 |
|
| IO 30yr 4.5 |
|
|
3,218 |
|
|
620 |
|
0.01 |
% |
|
19.26 |
|
4.50 |
% |
|
4.99 |
% |
|
171 |
|
176 |
|
8.6 |
% |
|
7.8 |
% |
|
|
(11 |
) |
|
|
7 |
|
| IO 30yr
5.0 |
|
|
1,733 |
|
|
354 |
|
0.01 |
% |
|
20.45 |
|
5.00 |
% |
|
5.37 |
% |
|
171 |
|
177 |
|
1.1 |
% |
|
4.4 |
% |
|
|
(10 |
) |
|
|
7 |
|
| IO
Total |
|
|
88,774 |
|
|
15,382 |
|
0.28 |
% |
|
17.33 |
|
4.01 |
% |
|
4.60 |
% |
|
126 |
|
214 |
|
6.1 |
% |
|
6.6 |
% |
|
|
(444 |
) |
|
|
312 |
|
| IIO
30yr 4.0 |
|
|
23,450 |
|
|
353 |
|
0.01 |
% |
|
1.50 |
|
0.00 |
% |
|
4.40 |
% |
|
84 |
|
264 |
|
0.6 |
% |
|
5.7 |
% |
|
|
121 |
|
|
|
(99 |
) |
|
Total Structured RMBS |
|
|
112,224 |
|
|
15,735 |
|
0.29 |
% |
|
14.02 |
|
3.17 |
% |
|
4.55 |
% |
|
117 |
|
225 |
|
4.9 |
% |
|
6.4 |
% |
|
|
(323 |
) |
|
|
213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Assets |
|
$ |
5,600,056 |
|
$ |
5,442,804 |
|
100.00 |
% |
|
|
|
4.90 |
% |
|
5.70 |
% |
|
29 |
|
325 |
|
9.2 |
% |
|
8.8 |
% |
|
$ |
85,560 |
|
|
$ |
(96,327 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Hedge |
|
Modeled Interest |
|
| |
|
Notional |
|
|
Period |
|
Rate Sensitivity (1) |
|
|
Hedge |
|
Balance |
|
|
End |
|
(-50 BPS) |
|
|
(+50 BPS) |
|
|
3-Month SOFR Futures(2) |
|
$ |
(455,900 |
) |
|
Oct-25 |
|
$ |
(5,699 |
) |
|
$ |
5,699 |
|
| 10-Year Treasury
Future(3) |
|
|
(12,500 |
) |
|
Dec-24 |
|
|
(410 |
) |
|
|
397 |
|
| Swaps |
|
|
(3,486,800 |
) |
|
Jun-30 |
|
|
(91,274 |
) |
|
|
88,057 |
|
| TBA |
|
|
(300,000 |
) |
|
Oct-24 |
|
|
(8,387 |
) |
|
|
8,827 |
|
|
Swaptions |
|
|
- |
|
|
Jan-00 |
|
|
- |
|
|
|
- |
|
|
Hedge Total |
|
$ |
(4,255,200 |
) |
|
|
|
$ |
(105,770 |
) |
|
$ |
102,980 |
|
|
Rate Shock Grand Total |
|
|
|
|
|
|
|
$ |
(20,210 |
) |
|
$ |
6,653 |
|
|
(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) |
Amounts for SOFR futures
contracts represents the average quarterly notional amount. |
| (3) |
Ten-year Treasury futures
contracts were valued at prices
of $114.28 at September 30, 2024. The market value
of the short position was $14.3 million. |
| |
|
|
RMBS Assets by Agency |
|
|
|
|
|
|
| ($ in
thousands) |
|
|
|
|
|
|
| |
|
|
|
|
Percentage |
|
| |
|
Fair |
|
of |
|
|
Asset Category |
|
Value |
|
Portfolio |
|
| As of September 30,
2024 |
|
|
|
|
|
|
| Fannie Mae |
|
$ |
3,692,047 |
|
67.8 |
% |
| Freddie
Mac |
|
|
1,750,757 |
|
32.2 |
% |
| Total
Mortgage Assets |
|
$ |
5,442,804 |
|
100.0 |
% |
| Investment
Company Act of 1940 Whole Pool Test |
|
|
($ in thousands) |
|
|
|
|
|
|
| |
|
|
|
|
Percentage |
|
| |
|
Fair |
|
of |
|
|
Asset Category |
|
Value |
|
Portfolio |
|
| As of September 30,
2024 |
|
|
|
|
|
|
| Non-Whole Pool Assets |
|
$ |
161,835 |
|
3.0 |
% |
| Whole
Pool Assets |
|
|
5,280,969 |
|
97.0 |
% |
| Total
Mortgage Assets |
|
$ |
5,442,804 |
|
100.0 |
% |
|
Borrowings By Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Weighted |
|
|
Weighted |
|
|
| |
|
|
|
|
% of |
|
|
Average |
|
|
Average |
|
|
| |
|
Total |
|
Total |
|
|
Repo |
|
|
Maturity |
|
Longest |
|
As of September 30, 2024 |
|
Borrowings |
|
Debt |
|
|
Rate |
|
|
in Days |
|
Maturity |
| ABN AMRO Bank N.V. |
|
$ |
381,192 |
|
7.3 |
% |
|
5.37 |
% |
|
15 |
|
10/15/2024 |
| Merrill Lynch, Pierce, Fenner
& Smith |
|
|
379,748 |
|
7.3 |
% |
|
5.20 |
% |
|
35 |
|
11/15/2024 |
| ASL Capital Markets Inc. |
|
|
346,397 |
|
6.6 |
% |
|
5.35 |
% |
|
31 |
|
11/15/2024 |
| Cantor Fitzgerald &
Co |
|
|
289,468 |
|
5.5 |
% |
|
5.30 |
% |
|
11 |
|
10/18/2024 |
| DV Securities, LLC Repo |
|
|
274,284 |
|
5.2 |
% |
|
5.24 |
% |
|
19 |
|
10/28/2024 |
| Mitsubishi UFJ Securities
(USA), Inc |
|
|
263,580 |
|
5.0 |
% |
|
5.35 |
% |
|
23 |
|
10/28/2024 |
| J.P. Morgan Securities
LLC |
|
|
254,798 |
|
4.9 |
% |
|
5.33 |
% |
|
9 |
|
10/25/2024 |
| Banco Santander SA |
|
|
248,472 |
|
4.8 |
% |
|
5.33 |
% |
|
49 |
|
11/18/2024 |
| Daiwa Securities America
Inc. |
|
|
247,191 |
|
4.7 |
% |
|
5.04 |
% |
|
28 |
|
11/19/2024 |
| Citigroup Global Markets
Inc |
|
|
244,746 |
|
4.7 |
% |
|
5.04 |
% |
|
25 |
|
10/25/2024 |
| Wells Fargo Bank, N.A. |
|
|
241,641 |
|
4.6 |
% |
|
5.29 |
% |
|
16 |
|
10/16/2024 |
| ING Financial Markets LLC |
|
|
225,593 |
|
4.3 |
% |
|
5.01 |
% |
|
39 |
|
11/8/2024 |
| Marex Capital Markets
Inc. |
|
|
223,192 |
|
4.3 |
% |
|
5.00 |
% |
|
21 |
|
10/21/2024 |
| Goldman, Sachs & Co |
|
|
208,485 |
|
4.0 |
% |
|
5.32 |
% |
|
16 |
|
10/16/2024 |
| Bank of Montreal |
|
|
204,522 |
|
3.9 |
% |
|
5.31 |
% |
|
15 |
|
10/15/2024 |
| South Street Securities,
LLC |
|
|
194,516 |
|
3.7 |
% |
|
5.20 |
% |
|
19 |
|
10/24/2024 |
| Clear Street LLC |
|
|
193,535 |
|
3.7 |
% |
|
5.21 |
% |
|
48 |
|
11/20/2024 |
| Mirae Asset Securities (USA)
Inc. |
|
|
193,120 |
|
3.7 |
% |
|
5.26 |
% |
|
26 |
|
11/18/2024 |
| StoneX Financial Inc. |
|
|
159,098 |
|
3.0 |
% |
|
5.03 |
% |
|
21 |
|
10/21/2024 |
| The Bank of Nova Scotia |
|
|
149,958 |
|
2.9 |
% |
|
5.29 |
% |
|
15 |
|
10/15/2024 |
| RBC Capital Markets, LLC |
|
|
143,225 |
|
2.7 |
% |
|
5.31 |
% |
|
45 |
|
11/14/2024 |
| Nomura Securities
International, Inc. |
|
|
75,278 |
|
1.4 |
% |
|
5.31 |
% |
|
15 |
|
10/15/2024 |
| Lucid Prime Fund, LLC |
|
|
48,322 |
|
0.9 |
% |
|
5.29 |
% |
|
17 |
|
10/17/2024 |
| Wells Fargo Securities,
LLC |
|
|
23,004 |
|
0.4 |
% |
|
5.06 |
% |
|
25 |
|
10/25/2024 |
| Lucid
Cash Fund USG LLC |
|
|
17,506 |
|
0.3 |
% |
|
5.31 |
% |
|
17 |
|
10/17/2024 |
| Total
Borrowings |
|
$ |
5,230,871 |
|
100.0 |
% |
|
5.24 |
% |
|
25 |
|
11/20/2024 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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