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 Related Quotes
 Orchid Island Capital Inc  8.56   0.04  0.47%
 Enter Symbols: 

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.

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

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