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Orchid Island Capital Inc

Orchid Island Capital Announces August 2024 Monthly Dividend and July 31, 2024 RMBS Portfolio Characteristics

  • August 2024 Monthly Dividend of $0.12 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of July 31, 2024
  • Next Dividend Announcement Expected September 9, 2024

VERO BEACH, Fla.--(BUSINESS WIRE)--Aug. 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 August 2024. The dividend of $0.12 per share will be paid September 27, 2024 to holders of record of the Company’s common stock on August 30, 2024, with an ex-dividend date of August 30, 2024. The Company plans on announcing its next common stock dividend on September 9, 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 August 14, 2024 and July 31, 2024, the Company had 71,338,574 shares of common stock outstanding. As of June 30, 2024, the Company had 64,824,374 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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, 2023.

RMBS Valuation Characteristics

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

 

May-24 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jul-24

 

 

Jul-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 Aug)

 

 

in Aug)

 

 

(-50
BPS)

 

 

(+50
BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30yr 3.0

 

$

1,335,136

 

 

$

1,177,040

 

 

 

22.91

%

 

 

88.16

 

 

 

3.00

%

 

 

3.46

%

 

 

40

 

 

 

314

 

 

 

7.0

%

 

 

6.0

%

 

$

35,980

 

 

$

(36,469

)

30yr 3.5

 

 

183,829

 

 

 

169,086

 

 

 

3.29

%

 

 

91.98

 

 

 

3.50

%

 

 

4.04

%

 

 

53

 

 

 

295

 

 

 

9.5

%

 

 

9.7

%

 

 

4,622

 

 

 

(4,679

)

30yr 4.0

 

 

542,422

 

 

 

508,658

 

 

 

9.90

%

 

 

93.78

 

 

 

4.00

%

 

 

4.78

%

 

 

30

 

 

 

326

 

 

 

7.4

%

 

 

5.7

%

 

 

12,177

 

 

 

(12,999

)

30yr 4.5

 

 

317,163

 

 

 

305,894

 

 

 

5.95

%

 

 

96.45

 

 

 

4.50

%

 

 

5.44

%

 

 

25

 

 

 

332

 

 

 

7.4

%

 

 

11.5

%

 

 

5,890

 

 

 

(6,512

)

30yr 5.0

 

 

524,616

 

 

 

517,127

 

 

 

10.07

%

 

 

98.57

 

 

 

5.00

%

 

 

5.93

%

 

 

23

 

 

 

333

 

 

 

3.9

%

 

 

9.4

%

 

 

9,116

 

 

 

(10,415

)

30yr 5.5

 

 

262,800

 

 

 

264,835

 

 

 

5.16

%

 

 

100.77

 

 

 

5.50

%

 

 

6.43

%

 

 

16

 

 

 

341

 

 

 

7.0

%

 

 

8.0

%

 

 

4,177

 

 

 

(4,988

)

30yr 6.0

 

 

966,079

 

 

 

985,781

 

 

 

19.19

%

 

 

102.04

 

 

 

6.00

%

 

 

6.99

%

 

 

8

 

 

 

348

 

 

 

6.4

%

 

 

7.7

%

 

 

11,626

 

 

 

(14,657

)

30yr 6.5

 

 

791,343

 

 

 

815,206

 

 

 

15.87

%

 

 

103.02

 

 

 

6.50

%

 

 

7.43

%

 

 

7

 

 

 

350

 

 

 

7.9

%

 

 

8.7

%

 

 

7,001

 

 

 

(9,191

)

30yr 7.0

 

 

362,322

 

 

 

376,835

 

 

 

7.34

%

 

 

104.01

 

 

 

7.00

%

 

 

7.95

%

 

 

9

 

 

 

346

 

 

 

11.2

%

 

 

13.4

%

 

 

2,725

 

 

 

(3,460

)

30yr Total

 

 

5,285,710

 

 

 

5,120,462

 

 

 

99.68

%

 

 

96.87

 

 

 

4.88

%

 

 

5.67

%

 

 

23

 

 

 

333

 

 

 

7.2

%

 

 

7.8

%

 

 

93,314

 

 

 

(103,370

)

Total Pass Through RMBS

 

 

5,285,710

 

 

 

5,120,462

 

 

 

99.68

%

 

 

96.87

 

 

 

4.88

%

 

 

5.67

%

 

 

23

 

 

 

333

 

 

 

7.2

%

 

 

7.8

%

 

 

93,314

 

 

 

(103,370

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

7,736

 

 

 

757

 

 

 

0.01

%

 

 

9.78

 

 

 

4.00

%

 

 

4.57

%

 

 

151

 

 

 

83

 

 

 

11.6

%

 

 

11.2

%

 

 

4

 

 

 

(5

)

IO 30yr 3.0

 

 

2,712

 

 

 

324

 

 

 

0.01

%

 

 

11.96

 

 

 

3.00

%

 

 

3.64

%

 

 

114

 

 

 

236

 

 

 

1.2

%

 

 

0.9

%

 

 

(1

)

 

 

(1

)

IO 30yr 4.0

 

 

75,253

 

 

 

14,021

 

 

 

0.27

%

 

 

18.63

 

 

 

4.00

%

 

 

4.60

%

 

 

119

 

 

 

232

 

 

 

6.0

%

 

 

8.0

%

 

 

(306

)

 

 

194

 

IO 30yr 4.5

 

 

3,281

 

 

 

608

 

 

 

0.01

%

 

 

18.52

 

 

 

4.50

%

 

 

4.99

%

 

 

169

 

 

 

178

 

 

 

7.6

%

 

 

5.4

%

 

 

(6

)

 

 

2

 

IO 30yr 5.0

 

 

1,764

 

 

 

378

 

 

 

0.01

%

 

 

21.40

 

 

 

5.00

%

 

 

5.37

%

 

 

169

 

 

 

179

 

 

 

1.6

%

 

 

12.5

%

 

 

(7

)

 

 

4

 

IO Total

 

 

90,746

 

 

 

16,088

 

 

 

0.31

%

 

 

17.73

 

 

 

4.01

%

 

 

4.60

%

 

 

124

 

 

 

216

 

 

 

6.3

%

 

 

8.0

%

 

 

(316

)

 

 

195

 

IIO 30yr 4.0

 

 

24,525

 

 

 

269

 

 

 

0.01

%

 

 

1.10

 

 

 

0.00

%

 

 

4.40

%

 

 

82

 

 

 

266

 

 

 

5.7

%

 

 

4.7

%

 

 

90

 

 

 

(73

)

Total Structured RMBS

 

 

115,271

 

 

 

16,357

 

 

 

0.32

%

 

 

14.19

 

 

 

3.15

%

 

 

4.55

%

 

 

115

 

 

 

227

 

 

 

6.2

%

 

 

7.3

%

 

 

(226

)

 

 

122

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

5,400,981

 

 

$

5,136,819

 

 

 

100.00

%

 

 

 

 

 

 

4.84

%

 

 

5.65

%

 

 

25

 

 

 

330

 

 

 

7.1

%

 

 

7.8

%

 

$

93,088

 

 

$

(103,248

)

 

 

 

 

Hedge

 

Modeled Interest

 

 

 

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

 

3-Month SOFR Futures(2)

 

$

(113,625

)

Dec-26

 

$

(1,261

)

 

$

1,261

 

5-Year Treasury Future(3)

 

 

(421,500

)

Sep-24

 

 

(8,718

)

 

 

8,523

 

Swaps

 

 

(3,386,800

)

Jul-30

 

 

(91,762

)

 

 

88,443

 

TBA

 

 

(400,000

)

Sep-24

 

 

(11,285

)

 

 

11,644

 

Swaptions

 

 

(9,400

)

Sep-24

 

 

(30

)

 

 

90

 

Hedge Total

 

$

(4,331,325

)

 

 

$

(113,056

)

 

$

109,961

 

Rate Shock Grand Total

 

 

 

 

 

 

$

(19,968

)

 

$

6,713

 

(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)

Five-year Treasury futures contracts were valued at prices of $107.89 at July 31, 2024. The market value of the short position was $454.8 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of July 31, 2024

 

 

 

 

 

 

 

 

Fannie Mae

 

$

3,482,907

 

 

 

67.8

%

Freddie Mac

 

 

1,653,912

 

 

 

32.2

%

Total Mortgage Assets

 

$

5,136,819

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of July 31, 2024

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

134,637

 

 

 

2.6

%

Whole Pool Assets

 

 

5,002,182

 

 

 

97.4

%

Total Mortgage Assets

 

$

5,136,819

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of July 31, 2024

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

ABN AMRO Bank N.V.

 

$

378,676

 

 

 

7.7

%

 

 

5.44

%

 

 

28

 

10/15/2024

Merrill Lynch, Pierce, Fenner & Smith

 

 

373,612

 

 

 

7.6

%

 

 

5.48

%

 

 

17

 

8/27/2024

ASL Capital Markets Inc.

 

 

345,633

 

 

 

7.0

%

 

 

5.44

%

 

 

66

 

11/15/2024

DV Securities, LLC Repo

 

 

274,576

 

 

 

5.6

%

 

 

5.46

%

 

 

43

 

9/27/2024

Mitsubishi UFJ Securities (USA), Inc

 

 

263,791

 

 

 

5.4

%

 

 

5.48

%

 

 

22

 

8/29/2024

J.P. Morgan Securities LLC

 

 

249,090

 

 

 

5.1

%

 

 

5.48

%

 

 

8

 

8/26/2024

Banco Santander SA

 

 

245,402

 

 

 

5.0

%

 

 

5.48

%

 

 

17

 

8/19/2024

Citigroup Global Markets Inc

 

 

244,095

 

 

 

5.0

%

 

 

5.47

%

 

 

23

 

8/26/2024

Wells Fargo Bank, N.A.

 

 

242,624

 

 

 

4.9

%

 

 

5.46

%

 

 

12

 

8/12/2024

Cantor Fitzgerald & Co

 

 

239,691

 

 

 

4.9

%

 

 

5.46

%

 

 

13

 

8/13/2024

Marex Capital Markets Inc.

 

 

220,831

 

 

 

4.5

%

 

 

5.45

%

 

 

19

 

8/19/2024

Goldman, Sachs & Co

 

 

208,296

 

 

 

4.2

%

 

 

5.49

%

 

 

15

 

8/15/2024

Bank of Montreal

 

 

206,519

 

 

 

4.2

%

 

 

5.47

%

 

 

13

 

8/13/2024

ING Financial Markets LLC

 

 

197,103

 

 

 

4.0

%

 

 

5.47

%

 

 

6

 

8/19/2024

Daiwa Securities America Inc.

 

 

195,131

 

 

 

4.0

%

 

 

5.47

%

 

 

22

 

8/23/2024

Clear Street LLC

 

 

190,851

 

 

 

3.9

%

 

 

5.46

%

 

 

24

 

9/20/2024

Mirae Asset Securities (USA) Inc.

 

 

189,185

 

 

 

3.9

%

 

 

5.47

%

 

 

48

 

9/18/2024

StoneX Financial Inc.

 

 

157,395

 

 

 

3.2

%

 

 

5.48

%

 

 

50

 

9/19/2024

South Street Securities, LLC

 

 

150,210

 

 

 

3.1

%

 

 

5.46

%

 

 

34

 

9/24/2024

The Bank of Nova Scotia

 

 

150,196

 

 

 

3.1

%

 

 

5.47

%

 

 

15

 

8/15/2024

RBC Capital Markets, LLC

 

 

141,432

 

 

 

2.9

%

 

 

5.49

%

 

 

13

 

8/13/2024

Lucid Prime Fund, LLC

 

 

23,658

 

 

 

0.5

%

 

 

5.50

%

 

 

15

 

8/15/2024

Lucid Cash Fund USG LLC

 

 

17,078

 

 

 

0.3

%

 

 

5.50

%

 

 

15

 

8/15/2024

Total Borrowings

 

$

4,905,075

 

 

 

100.0

%

 

 

5.47

%

 

 

25

 

11/15/2024

 

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.