Orchid Island Capital Announces February 2024 Monthly Dividend and January 31, 2024 RMBS Portfolio Characteristics
February 2024 Monthly Dividend of $0.12 Per Share of Common Stock
RMBS Portfolio Characteristics as of January 31, 2024
Next Dividend Announcement Expected March 13, 2024
VERO BEACH, Fla., Feb. 14 /BusinessWire/ --
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.