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

February, 14 2024 04:50 PM Orchid Island Capital Inc.

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

View source version on businesswire.com: https://www.businesswire.com/news/home/20240214525216/en/

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

Company Name:	Orchid Island Capital Inc.
Stock Symbol:	ORC
Market:	NYSE
Website:	orchidislandcapital.com

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