Orchid Island Capital Announces March 2024 Monthly Dividend and February 29, 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 March 2024. The dividend of $0.12 per share will be paid April 26, 2024 to holders of record of the Company’s common stock on March 28, 2024, with an ex-dividend date of March 27, 2024. The Company plans on announcing its next common stock dividend on April 10, 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 March 13, 2024, the Company had 51,358,301 shares of common stock outstanding. As of February 29, 2024, the Company had 51,303,301 shares of common stock outstanding. As of December 31, 2023, the Company had 51,636,074 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 29, 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				Dec-23 -
																																		Feb-24				Feb-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 Mar)				in Mar)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
15yr 5.0 TBA		$	50,000			$	49,695				1.25	%			99.39				5.00	%			5.80	%			9				166				n/a				n/a			$	648			$	(749	)
15yr 5.5 TBA			50,000				50,137				1.26	%			100.27				5.50	%			6.26	%			8				167				n/a				n/a				534				(646	)
15yr Total			100,000				99,832				2.51	%			99.83				5.25	%			6.03	%			9				167				n/a				n/a				1,182				(1,395	)
30yr 3.0			1,379,958				1,195,575				30.07	%			86.64				3.00	%			3.46	%			35				319				6.3	%			5.1	%			37,519				(37,915	)
30yr 3.5			191,733				173,898				4.37	%			90.70				3.50	%			4.04	%			48				301				6.0	%			5.8	%			4,909				(4,962	)
30yr 4.0			558,154				515,043				12.96	%			92.28				4.00	%			4.78	%			25				332				2.7	%			2.3	%			13,385				(14,249	)
30yr 4.5			336,108				319,163				8.03	%			94.96				4.50	%			5.45	%			20				338				7.4	%			6.2	%			6,670				(7,308	)
30yr 5.0			547,247				531,880				13.38	%			97.19				5.00	%			5.93	%			18				339				3.4	%			3.8	%			10,510				(11,802	)
30yr 5.5			269,605				268,567				6.76	%			99.61				5.50	%			6.43	%			11				347				5.1	%			3.5	%			4,609				(5,389	)
30yr 6.0			438,333				441,729				11.11	%			100.77				6.00	%			7.00	%			9				348				5.4	%			8.6	%			5,722				(6,991	)
30yr 6.5			328,935				335,782				8.45	%			102.08				6.50	%			7.39	%			7				350				10.9	%			8.7	%			3,200				(4,137	)
30yr 7.0			74,392				76,799				1.93	%			103.23				7.00	%			7.94	%			5				351				2.4	%			4.5	%			564				(750	)
30yr Total			4,124,465				3,858,436				97.05	%			93.55				4.38	%			5.12	%			24				332				5.6	%			5.1	%			87,088				(93,503	)
Total Pass Through RMBS			4,224,465				3,958,268				99.57	%			93.70				4.40	%			5.14	%			23				328				5.6	%			5.1	%			88,270				(94,898	)
Structured RMBS
IO 20yr 4.0			8,456				866				0.02	%			10.24				4.00	%			4.57	%			146				87				10.0	%			10.2	%			5				(4	)
IO 30yr 3.0			2,876				345				0.01	%			11.99				3.00	%			3.63	%			109				241				24.3	%			9.4	%			-				(1	)
IO 30yr 4.0			79,341				14,790				0.37	%			18.64				4.00	%			4.60	%			114				237				6.2	%			8.4	%			(205	)			155
IO 30yr 4.5			3,412				636				0.02	%			18.65				4.50	%			4.99	%			164				182				4.4	%			5.5	%			(2	)			-
IO 30yr 5.0			1,859				372				0.01	%			20.01				5.00	%			5.36	%			164				184				3.7	%			5.0	%			(4	)			2
IO Total			95,944				17,009				0.43	%			17.73				4.01	%			4.60	%			119				221				7.0	%			8.5	%			(206	)			152
IIO 30yr 4.0			25,989				279				0.01	%			1.08				0.00	%			4.40	%			77				271				7.6	%			7.0	%			89				(73	)
Total Structured RMBS			121,933				17,288				0.43	%			14.18				3.15	%			4.55	%			110				231				7.1	%			8.1	%			(117	)			79
Total Mortgage Assets		$	4,346,398			$	3,975,556				100.00	%							4.37	%			5.12	%			26				326				5.7	%			5.2	%		$	88,153			$	(94,819	)

		Average			Hedge		Modeled Interest
		Notional			Period		Rate Sensitivity (1)
Hedge		Balance			End		(-50 BPS)				(+50 BPS)
3-Month SOFR Futures		$	(100,000	)	Mar-26		$	(875	)		$	875
5-Year Treasury Future(2)			(491,500	)	Jun-24			(10,050	)			9,743
10-Year Treasury Future(3)			(320,000	)	Jun-24			(10,365	)			10,016
Swaps			(2,531,800	)	Dec-29			(62,894	)			60,682
TBA			(370,700	)	Mar-24			(8,955	)			9,587
Swaptions			(800,000	)	May-24			(130	)			936
Hedge Total		$	(4,614,000	)			$	(93,269	)		$	91,839
Rate Shock Grand Total							$	(5,116	)		$	(2,980	)

(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 $106.91 at March 13, 2024. The market value of the short position was $525.5 million.
(3)	Ten-year Treasury futures contracts were valued at prices of $110.44 at March 13, 2024. The market value of the short position was $353.4 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of February 29, 2024
Fannie Mae		$	2,815,792				70.8	%
Freddie Mac			1,159,764				29.2	%
Total Mortgage Assets		$	3,975,556				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of February 29, 2024
Non-Whole Pool Assets		$	138,580				3.5	%
Whole Pool Assets			3,836,976				96.5	%
Total Mortgage Assets		$	3,975,556				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of February 29, 2024		Borrowings				Debt				Rate				in Days			Maturity
RBC Capital Markets, LLC		$	290,394				7.8	%			5.47	%			13		3/13/2024
ASL Capital Markets Inc.			266,916				7.1	%			5.45	%			44		7/15/2024
J.P. Morgan Securities LLC			257,401				6.9	%			5.46	%			20		3/20/2024
Mitsubishi UFJ Securities (USA), Inc			254,957				6.8	%			5.48	%			23		4/1/2024
Cantor Fitzgerald & Co			250,237				6.7	%			5.46	%			13		3/13/2024
Citigroup Global Markets Inc			242,522				6.5	%			5.45	%			26		3/26/2024
ABN AMRO Bank N.V.			227,266				6.1	%			5.47	%			26		4/15/2024
Wells Fargo Bank, N.A.			206,994				5.5	%			5.47	%			25		3/25/2024
Mirae Asset Securities (USA) Inc.			193,807				5.2	%			5.46	%			46		4/22/2024
Merrill Lynch, Pierce, Fenner & Smith			190,974				5.1	%			5.48	%			15		3/27/2024
Daiwa Securities America Inc.			175,179				4.7	%			5.47	%			55		4/24/2024
Bank of Montreal			166,942				4.5	%			5.49	%			13		3/13/2024
StoneX Financial Inc.			163,248				4.4	%			5.46	%			47		4/16/2024
Marex Capital Markets Inc.			158,597				4.2	%			5.48	%			33		4/26/2024
Goldman, Sachs & Co			154,577				4.1	%			5.45	%			19		3/28/2024
Banco Santander SA			152,076				4.1	%			5.51	%			29		4/15/2024
ING Financial Markets LLC			130,630				3.5	%			5.48	%			21		3/21/2024
DV Securities, LLC Repo			112,001				3.0	%			5.46	%			71		5/14/2024
South Street Securities, LLC			103,491				2.8	%			5.46	%			39		5/13/2024
Clear Street LLC			19,000				0.5	%			5.45	%			60		4/29/2024
Lucid Cash Fund USG LLC			17,745				0.5	%			5.46	%			14		3/14/2024
Total Borrowings		$	3,734,954				100.0	%			5.47	%			29		7/15/2024

 

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The Orchid Island Capital Stock at the time of publication of the news with a raise of +1,15 % to 8,83USD on NYSE stock exchange (13. März 2024, 21:15 Uhr).