Orchid Island Capital Announces December 2024 Monthly Dividend and November 30, 2024 RMBS Portfolio Characteristics

GlobeNewsWire
Tuesday, December 10, 2024 at 9:05pm UTC
  • December 2024 Monthly Dividend of $0.12 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of November 30, 2024
  • Next Dividend Announcement Expected January 8, 2025

VERO BEACH, Fla., Dec. 10, 2024 (GLOBE NEWSWIRE) -- 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 December 2024. The dividend of $0.12 per share will be paid January 30, 2025 to holders of record of the Company’s common stock on December 31, 2024, with an ex-dividend date of December 31, 2024. The Company plans on announcing its next common stock dividend on January 8, 2025.

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 December 10, 2024 and November 30, 2024, the Company had 79,849,645 shares of common stock outstanding. As of September 30, 2024, the Company had 78,082,645 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 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  Sep-24 -    
                                  Nov-24  Nov-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 Dec)  in Dec)  (-50 BPS)  (+50 BPS) 
Fixed Rate RMBS                                                
15yr 5.0 TBA $50,000  $50,113   0.94%  100.23   5.00%  5.87%  6   170   n/a   n/a  $651  $(746)
15yr Total  50,000   50,113   0.94%  100.23   5.00%  5.87%  6   170   n/a   n/a   651   (746)
30yr 3.0  1,104,053   976,396   18.40%  88.44   3.00%  3.47%  44   309   6.2%  6.3%  29,637   (29,960)
30yr 3.5  177,113   163,207   3.08%  92.15   3.50%  4.04%  57   290   6.2%  7.1%  4,518   (4,564)
30yr 4.0  528,702   496,826   9.36%  93.97   4.00%  4.64%  70   283   3.9%  5.4%  12,085   (12,898)
30yr 4.5  307,807   296,925   5.59%  96.46   4.50%  5.44%  29   327   5.6%  6.3%  5,932   (6,512)
30yr 5.0  578,068   569,631   10.73%  98.54   5.00%  5.94%  24   331   5.6%  6.7%  10,533   (11,985)
30yr 5.5  281,760   284,083   5.35%  100.82   5.50%  6.40%  18   338   1.8%  3.2%  4,683   (5,579)
30yr 6.0  1,211,604   1,236,362   23.30%  102.04   6.00%  6.98%  11   344   8.1%  12.4%  15,602   (19,624)
30yr 6.5  854,817   881,122   16.60%  103.08   6.50%  7.43%  10   347   15.3%  19.1%  8,028   (10,523)
30yr 7.0  323,885   336,969   6.35%  104.04   7.00%  7.94%  13   340   33.7%  32.6%  2,656   (3,356)
30yr Total  5,367,809   5,241,521   98.76%  97.65   5.02%  5.83%  28   327   9.2%  11.1%  93,674   (105,001)
Total Pass-Through MBS  5,417,809   5,291,634   99.71%  97.67   5.02%  5.83%  28   325   9.2%  11.1%  94,325   (105,747)
Structured MBS                                                
IO 20yr 4.0  7,135   680   0.01%  9.53   4.00%  4.57%  155   79   9.6%  10.0%  4   (4)
IO 30yr 3.0  2,608   311   0.01%  11.94   3.00%  3.64%  118   231   0.7%  9.7%  -   (1)
IO 30yr 4.0  72,153   13,445   0.25%  18.63   4.00%  4.60%  123   228   5.1%  6.2%  (131)  194 
IO 30yr 4.5  3,155   583   0.01%  18.49   4.50%  4.99%  173   174   6.7%  7.3%  (4)  1 
IO 30yr 5.0  1,703   346   0.01%  20.33   5.00%  5.37%  173   174   14.2%  8.8%  (6)  3 
IO Total  86,754   15,365   0.29%  17.71   4.01%  4.60%  128   213   5.6%  6.7%  (137)  193 
IIO 30yr 4.0  22,184   225   0.00%  1.01   0.00%  4.40%  86   262   0.6%  7.3%  (70)  (122)
Total Structured RMBS  108,938   15,590   0.29%  14.31   3.19%  4.56%  120   223   4.6%  6.8%  (207)  71 
                                                 
Total Mortgage Assets $5,526,747  $5,307,224   100.00%      4.99%  5.80%  29   323   9.1%  11.0% $94,118  $(105,676)


    Hedge Modeled Interest 
  Notional Period Rate Sensitivity (1) 
Hedge Balance End (-50 BPS)  (+50 BPS) 
3-Month SOFR Futures(2) $(455,900)Oct-25 $(5,699) $5,699 
5-Year Treasury Future(3) $(62,500)Mar-25 $(1,281) $1,252 
10-Year Treasury Future(4) $(22,500)Mar-25 $(725) $711 
10-Year Ultra Treasury Future(5) $(32,500)Mar-25 $(1,484) $1,413 
Swaps  (3,516,800)Jun-30  (86,811)  83,823 
TBA  (200,000)Dec-24  (5,687)  5,862 
Hedge Total $(4,290,200)  $(101,687) $98,760 
Rate Shock Grand Total      $(7,569) $(6,916)


(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 $107.60 at November 30, 2024. The market value of the short position was $67.3 million.
(4)Ten-year Treasury futures contracts were valued at prices of $111.19 at November 30, 2024. The market value of the short position was $25.0 million.
(5)Ten-year Ultra Treasury futures contracts were valued at prices of $114.80 at November 30, 2024. The market value of the short position was $37.3 million.


RMBS Assets by Agency        
($ in thousands)        
      Percentage 
  Fair  of 
Asset Category Value  Portfolio 
As of November 30, 2024        
Fannie Mae $3,709,848   69.9%
Freddie Mac  1,597,376   30.1%
Total Mortgage Assets $5,307,224   100.0%


Investment Company Act of 1940 Whole Pool Test 
($ in thousands)        
      Percentage 
  Fair  of 
Asset Category Value  Portfolio 
As of November 30, 2024        
Non-Whole Pool Assets $207,178   3.9%
Whole Pool Assets  5,100,046   96.1%
Total Mortgage Assets $5,307,224   100.0%


Borrowings By Counterparty                 
($ in thousands)                 
          Weighted  Weighted  
      % of  Average  Average  
  Total  Total  Repo  Maturity Longest
As of November 30, 2024 Borrowings  Debt  Rate  in Days Maturity
Merrill Lynch, Pierce, Fenner & Smith $363,741   7.3%  4.79%  18 12/23/2024
ABN AMRO Bank N.V.  339,329   6.8%  4.75%  16 12/16/2024
ASL Capital Markets Inc.  303,988   6.1%  4.77%  14 12/16/2024
Cantor Fitzgerald & Co  257,867   5.2%  4.80%  9 12/9/2024
DV Securities, LLC Repo  254,866   5.1%  4.77%  19 12/26/2024
Mitsubishi UFJ Securities (USA), Inc  251,062   5.0%  4.79%  20 12/23/2024
J.P. Morgan Securities LLC  241,736   4.8%  4.82%  9 12/26/2024
Daiwa Securities America Inc.  237,672   4.8%  4.77%  23 12/23/2024
Goldman, Sachs & Co  235,394   4.7%  4.79%  19 12/23/2024
Citigroup Global Markets Inc  232,657   4.7%  4.77%  26 12/26/2024
Wells Fargo Bank, N.A.  228,473   4.6%  4.76%  48 1/17/2025
Banco Santander SA  219,810   4.4%  4.78%  18 12/18/2024
ING Financial Markets LLC  217,067   4.4%  4.82%  19 12/19/2024
Marex Capital Markets Inc.  215,013   4.3%  4.75%  19 12/19/2024
RBC Capital Markets, LLC  206,603   4.1%  4.81%  26 1/21/2025
Bank of Montreal  195,180   3.9%  4.81%  12 12/12/2024
South Street Securities, LLC  186,535   3.7%  4.85%  29 1/24/2025
Mirae Asset Securities (USA) Inc.  177,867   3.6%  4.76%  170 5/19/2025
Clear Street LLC  166,849   3.3%  4.78%  12 12/12/2024
StoneX Financial Inc.  153,466   3.1%  4.75%  19 12/19/2024
The Bank of Nova Scotia  145,151   2.9%  4.80%  16 12/16/2024
Nomura Securities International, Inc.  73,140   1.5%  4.90%  16 12/16/2024
Lucid Prime Fund, LLC  61,924   1.2%  4.79%  12 12/12/2024
Wells Fargo Securities, LLC  22,686   0.5%  4.88%  54 1/23/2025
Total Borrowings $4,988,076   100.0%  4.79%  25 5/19/2025


Contact:

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


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