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Orchid Island Capital Announces February 2024 Monthly Dividend and January 31, 2024 RMBS Portfolio Characteristics

  • February 2024 Monthly Dividend of $0.12 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of January 31, 2024
  • Next Dividend Announcement Expected March 13, 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 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

 
 

 

Contacts

Orchid Island Capital, Inc.

Robert E. Cauley

(772) 231-1400

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