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

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/

The Orchid Island Capital Stock at the time of publication of the news with a raise of +1,05 % to 7,468USD on Lang & Schwarz stock exchange (14. Februar 2024, 22:52 Uhr).