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Orchid Island Capital Announces June 2024 Monthly Dividend and May 31, 2024 RMBS Portfolio Characteristics

  • June 2024 Monthly Dividend of $0.12 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of May 31, 2024
  • Next Dividend Announcement Expected July 10, 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 June 2024. The dividend of $0.12 per share will be paid July 30, 2024 to holders of record of the Company’s common stock on June 28, 2024, with an ex-dividend date of June 28, 2024. The Company plans on announcing its next common stock dividend on July 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 June 11, 2024, the Company had 62,821,552 shares of common stock outstanding. As of May 31, 2024, the Company had 62,269,788 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.

The Company also announced that it and Bimini Advisors, LLC (“Bimini”) entered into an equity distribution agreement (the “Equity Distribution Agreement”) with J.P. Morgan Securities LLC, Citizens JMP Securities, LLC and JonesTrading Institutional Services LLC (collectively, the “Sales Agents”) on June 11, 2024, pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of common stock (the “Shares”).

Pursuant to the Equity Distribution Agreement, the Shares may be offered and sold through the Sales Agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, as amended, including sales made directly on the New York Stock Exchange or sales made to or through a market maker other than on an exchange or in negotiated transactions (which may include block trades). Under the Equity Distribution Agreement, the Sales Agents will be entitled to compensation of up to 2.0% of the gross proceeds from the sale of the Shares sold through the Sales Agents. The Company has no obligation to sell any of the Shares under the Equity Distribution Agreement and may at any time suspend solicitations and offers under the Equity Distribution Agreement.

The Company has used "at the market" offering programs in the past as a low-cost and effective method to raise equity capital to be strategically deployed into Agency RMBS in conjunction with the Company’s core investment strategy. The Company generally prefers such programs over more costly follow-on offerings absent extenuating circumstances and market conditions.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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, the offer and sale of shares of common stock under the Equity Distribution Agreement or follow-on offerings. 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

 

 

Mar-24 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

May-24

 

 

May-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 June)

 

 

in June)

 

 

(-50 BPS)

 

 

(+50 BPS)

 

Fixed Rate RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30yr 3.0

 

$

1,353,113

 

 

$

1,153,213

 

 

 

26.12

%

 

 

85.23

 

 

 

3.00

%

 

 

3.46

%

 

 

38

 

 

 

316

 

 

 

5.5

%

 

 

5.3

%

 

$

36,254

 

 

$

(36,597

)

30yr 3.5

 

 

187,768

 

 

 

167,711

 

 

 

3.80

%

 

 

89.32

 

 

 

3.50

%

 

 

4.04

%

 

 

51

 

 

 

297

 

 

 

9.3

%

 

 

7.0

%

 

 

4,748

 

 

 

(4,794

)

30yr 4.0

 

 

548,681

 

 

 

499,290

 

 

 

11.31

%

 

 

91.00

 

 

 

4.00

%

 

 

4.78

%

 

 

28

 

 

 

329

 

 

 

4.9

%

 

 

6.3

%

 

 

13,391

 

 

 

(14,162

)

30yr 4.5

 

 

325,706

 

 

 

305,911

 

 

 

6.93

%

 

 

93.92

 

 

 

4.50

%

 

 

5.45

%

 

 

23

 

 

 

334

 

 

 

10.2

%

 

 

9.9

%

 

 

6,692

 

 

 

(7,305

)

30yr 5.0

 

 

537,372

 

 

 

517,844

 

 

 

11.73

%

 

 

96.37

 

 

 

5.00

%

 

 

5.93

%

 

 

21

 

 

 

335

 

 

 

7.3

%

 

 

5.9

%

 

 

10,775

 

 

 

(11,967

)

30yr 5.5

 

 

267,218

 

 

 

264,504

 

 

 

5.99

%

 

 

98.98

 

 

 

5.50

%

 

 

6.43

%

 

 

14

 

 

 

344

 

 

 

13.3

%

 

 

6.0

%

 

 

4,840

 

 

 

(5,550

)

30yr 6.0

 

 

622,308

 

 

 

625,714

 

 

 

14.17

%

 

 

100.55

 

 

 

6.00

%

 

 

6.98

%

 

 

10

 

 

 

345

 

 

 

8.5

%

 

 

9.5

%

 

 

8,586

 

 

 

(10,361

)

30yr 6.5

 

 

514,683

 

 

 

524,928

 

 

 

11.89

%

 

 

101.99

 

 

 

6.50

%

 

 

7.41

%

 

 

8

 

 

 

349

 

 

 

8.1

%

 

 

9.8

%

 

 

5,505

 

 

 

(6,907

)

30yr 7.0

 

 

328,309

 

 

 

339,004

 

 

 

7.68

%

 

 

103.26

 

 

 

7.00

%

 

 

7.95

%

 

 

7

 

 

 

349

 

 

 

23.5

%

 

 

19.3

%

 

 

2,513

 

 

 

(3,391

)

30yr Total

 

 

4,685,158

 

 

 

4,398,119

 

 

 

99.63

%

 

 

93.87

 

 

 

4.68

%

 

 

5.45

%

 

 

24

 

 

 

332

 

 

 

7.9

%

 

 

7.1

%

 

 

93,304

 

 

 

(101,034

)

Total Pass Through RMBS

 

 

4,685,158

 

 

 

4,398,119

 

 

 

99.63

%

 

 

93.87

 

 

 

4.68

%

 

 

5.45

%

 

 

24

 

 

 

332

 

 

 

7.9

%

 

 

7.1

%

 

 

93,304

 

 

 

(101,034

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 4.0

 

 

8,044

 

 

 

759

 

 

 

0.02

%

 

 

9.43

 

 

 

4.00

%

 

 

4.57

%

 

 

149

 

 

 

85

 

 

 

10.9

%

 

 

8.9

%

 

 

4

 

 

 

(4

)

IO 30yr 3.0

 

 

2,731

 

 

 

323

 

 

 

0.01

%

 

 

11.82

 

 

 

3.00

%

 

 

3.64

%

 

 

112

 

 

 

238

 

 

 

0.8

%

 

 

7.4

%

 

 

1

 

 

 

(1

)

IO 30yr 4.0

 

 

77,188

 

 

 

14,159

 

 

 

0.32

%

 

 

18.34

 

 

 

4.00

%

 

 

4.60

%

 

 

117

 

 

 

234

 

 

 

8.1

%

 

 

6.6

%

 

 

(146

)

 

 

107

 

IO 30yr 4.5

 

 

3,327

 

 

 

612

 

 

 

0.01

%

 

 

18.40

 

 

 

4.50

%

 

 

4.99

%

 

 

167

 

 

 

179

 

 

 

5.5

%

 

 

6.1

%

 

 

(1

)

 

 

(1

)

IO 30yr 5.0

 

 

1,835

 

 

 

364

 

 

 

0.01

%

 

 

19.82

 

 

 

5.00

%

 

 

5.36

%

 

 

167

 

 

 

181

 

 

 

0.9

%

 

 

1.0

%

 

 

(3

)

 

 

1

 

IO Total

 

 

93,125

 

 

 

16,217

 

 

 

0.37

%

 

 

17.41

 

 

 

4.01

%

 

 

4.60

%

 

 

122

 

 

 

218

 

 

 

7.9

%

 

 

6.7

%

 

 

(144

)

 

 

102

 

IIO 30yr 4.0

 

 

25,268

 

 

 

188

 

 

 

0.00

%

 

 

0.75

 

 

 

0.00

%

 

 

4.40

%

 

 

80

 

 

 

268

 

 

 

0.7

%

 

 

1.2

%

 

 

72

 

 

 

(57

)

Total Structured RMBS

 

 

118,393

 

 

 

16,405

 

 

 

0.37

%

 

 

13.86

 

 

 

3.15

%

 

 

4.55

%

 

 

113

 

 

 

229

 

 

 

6.4

%

 

 

5.5

%

 

 

(72

)

 

 

45

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

4,803,551

 

 

$

4,414,524

 

 

 

100.00

%

 

 

 

 

 

 

4.64

%

 

 

5.42

%

 

 

26

 

 

 

329

 

 

 

7.8

%

 

 

7.0

%

 

$

93,232

 

 

$

(100,989

)

 

 

Average

 

Hedge

 

Modeled Interest

 

 

 

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

 

 

(+50 BPS)

 

3-Month SOFR Futures

 

$

(100,000

)

Mar-26

 

$

(750

)

 

$

750

 

5-Year Treasury Future(2)

 

 

(421,500

)

Sep-24

 

 

(8,480

)

 

 

8,282

 

10-Year Treasury Future(3)

 

 

(62,500

)

Sep-24

 

 

(1,945

)

 

 

1,906

 

Swaps

 

 

(2,936,800

)

Jun-30

 

 

(75,255

)

 

 

72,523

 

TBA

 

 

(500,000

)

Jun-24

 

 

(13,860

)

 

 

14,216

 

Swaptions

 

 

(9,400

)

Sep-24

 

 

508

 

 

 

86

 

Hedge Total

 

$

(4,030,200

)

 

 

$

(99,782

)

 

$

97,763

 

Rate Shock Grand Total

 

 

 

 

 

 

$

(6,550

)

 

$

(3,226

)

(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 $105.80 at May 31, 2024. The market value of the short position was $446.0 million.

(3)

Ten-year Treasury futures contracts were valued at prices of $108.80 at May 31, 2024. The market value of the short position was $68.0 million.

RMBS Assets by Agency

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of May 31, 2024

 

 

 

 

 

 

 

 

Fannie Mae

 

$

2,792,509

 

 

 

63.3

%

Freddie Mac

 

 

1,622,015

 

 

 

36.7

%

Total Mortgage Assets

 

$

4,414,524

 

 

 

100.0

%

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage

 

 

 

Fair

 

 

of

 

Asset Category

 

Value

 

 

Portfolio

 

As of May 31, 2024

 

 

 

 

 

 

 

 

Non-Whole Pool Assets

 

$

133,198

 

 

 

3.0

%

Whole Pool Assets

 

 

4,281,326

 

 

 

97.0

%

Total Mortgage Assets

 

$

4,414,524

 

 

 

100.0

%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

Weighted

 

 

 

 

 

 

 

 

% of

 

 

Average

 

 

Average

 

 

 

 

Total

 

 

Total

 

 

Repo

 

 

Maturity

 

Longest

As of May 31, 2024

 

Borrowings

 

 

Debt

 

 

Rate

 

 

in Days

 

Maturity

RBC Capital Markets, LLC

 

$

269,405

 

 

 

6.8

%

 

 

5.46

%

 

 

13

 

6/13/2024

J.P. Morgan Securities LLC

 

 

246,914

 

 

 

6.2

%

 

 

5.46

%

 

 

6

 

6/24/2024

Banco Santander SA

 

 

244,038

 

 

 

6.1

%

 

 

5.46

%

 

 

30

 

7/22/2024

Cantor Fitzgerald & Co

 

 

240,022

 

 

 

6.0

%

 

 

5.45

%

 

 

45

 

7/15/2024

DV Securities, LLC Repo

 

 

226,883

 

 

 

5.7

%

 

 

5.45

%

 

 

43

 

7/15/2024

Marex Capital Markets Inc.

 

 

219,708

 

 

 

5.5

%

 

 

5.45

%

 

 

15

 

6/17/2024

ABN AMRO Bank N.V.

 

 

218,149

 

 

 

5.5

%

 

 

5.46

%

 

 

30

 

8/29/2024

ASL Capital Markets Inc.

 

 

213,654

 

 

 

5.4

%

 

 

5.44

%

 

 

47

 

7/29/2024

Bank of Montreal

 

 

206,351

 

 

 

5.2

%

 

 

5.45

%

 

 

13

 

6/13/2024

Mitsubishi UFJ Securities (USA), Inc

 

 

206,193

 

 

 

5.2

%

 

 

5.47

%

 

 

61

 

8/29/2024

Wells Fargo Bank, N.A.

 

 

200,100

 

 

 

5.0

%

 

 

5.46

%

 

 

45

 

7/15/2024

Citigroup Global Markets Inc

 

 

197,910

 

 

 

5.0

%

 

 

5.45

%

 

 

24

 

6/24/2024

Mirae Asset Securities (USA) Inc.

 

 

189,441

 

 

 

4.8

%

 

 

5.46

%

 

 

20

 

6/24/2024

Merrill Lynch, Pierce, Fenner & Smith

 

 

185,916

 

 

 

4.7

%

 

 

5.48

%

 

 

14

 

6/27/2024

Daiwa Securities America Inc.

 

 

165,971

 

 

 

4.2

%

 

 

5.45

%

 

 

24

 

6/24/2024

StoneX Financial Inc.

 

 

159,516

 

 

 

4.0

%

 

 

5.46

%

 

 

46

 

7/16/2024

Goldman, Sachs & Co

 

 

150,734

 

 

 

3.8

%

 

 

5.44

%

 

 

20

 

6/20/2024

South Street Securities, LLC

 

 

150,292

 

 

 

3.8

%

 

 

5.45

%

 

 

48

 

8/13/2024

Clear Street LLC

 

 

149,939

 

 

 

3.8

%

 

 

5.45

%

 

 

37

 

7/15/2024

ING Financial Markets LLC

 

 

124,310

 

 

 

3.1

%

 

 

5.46

%

 

 

13

 

6/13/2024

Lucid Cash Fund USG LLC

 

 

16,896

 

 

 

0.4

%

 

 

5.46

%

 

 

13

 

6/13/2024

Total Borrowings

 

$

3,982,342

 

 

 

100.0

%

 

 

5.46

%

 

 

29

 

8/29/2024

 

Contacts

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

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