Orchid Island Capital Announces May 2024 Monthly Dividend and April 30, 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 May 2024. The dividend of $0.12 per share will be paid June 27, 2024 to holders of record of the Company’s common stock on May 31, 2024, with an ex-dividend date of May 31, 2024. The Company plans on announcing its next common stock dividend on June 11, 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 May 8, 2024, the Company had 54,389,261 shares of common stock outstanding. As of April 30, 2024, the Company had 52,973,989 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 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				Feb-24 -
																																		Apr-24				Apr-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 May)				in May)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
30yr 3.0		$	1,362,202			$	1,142,676				30.60	%			83.88				3.00	%			3.46	%			37				317				5.5	%			4.9	%		$	37,242			$	(37,872	)
30yr 3.5			189,159				166,548				4.46	%			88.05				3.50	%			4.04	%			50				299				6.1	%			5.8	%			4,828				(4,919	)
30yr 4.0			550,968				494,763				13.25	%			89.80				4.00	%			4.78	%			27				330				3.1	%			4.9	%			13,708				(14,455	)
30yr 4.5			329,680				305,331				8.18	%			92.61				4.50	%			5.45	%			22				335				11.9	%			10.3	%			7,056				(7,609	)
30yr 5.0			540,141				513,517				13.75	%			95.07				5.00	%			5.93	%			20				336				4.0	%			5.5	%			11,493				(12,475	)
30yr 5.5			268,271				262,089				7.02	%			97.70				5.50	%			6.43	%			13				345				3.4	%			2.3	%			5,401				(5,969	)
30yr 6.0			435,076				433,009				11.60	%			99.53				6.00	%			7.00	%			11				345				14.4	%			7.6	%			7,101				(8,126	)
30yr 6.5			321,629				325,280				8.71	%			101.14				6.50	%			7.39	%			9				348				7.7	%			10.5	%			4,301				(5,058	)
30yr 7.0			72,312				74,201				1.99	%			102.61				7.00	%			7.94	%			7				349				15.6	%			15.2	%			819				(988	)
30yr Total			4,069,438				3,717,414				99.55	%			91.35				4.38	%			5.12	%			26				330				6.7	%			6.3	%			91,949				(97,471	)
Total Pass Through RMBS			4,069,438				3,717,414				99.55	%			91.35				4.38	%			5.12	%			26				330				6.7	%			6.3	%			91,949				(97,471	)
Structured RMBS
IO 20yr 4.0			8,190				816				0.02	%			9.97				4.00	%			4.57	%			148				86				9.5	%			7.9	%			4				(3	)
IO 30yr 3.0			2,785				330				0.01	%			11.85				3.00	%			3.63	%			111				240				18.1	%			15.9	%			-				-
IO 30yr 4.0			77,920				14,485				0.39	%			18.59				4.00	%			4.60	%			116				235				6.1	%			6.1	%			(188	)			146
IO 30yr 4.5			3,355				618				0.02	%			18.41				4.50	%			4.99	%			166				180				6.3	%			6.0	%			(1	)			-
IO 30yr 5.0			1,843				366				0.01	%			19.85				5.00	%			5.36	%			166				182				0.9	%			0.9	%			(2	)			1
IO Total			94,093				16,615				0.44	%			17.66				4.01	%			4.60	%			121				219				6.6	%			6.5	%			(187	)			144
IIO 30yr 4.0			25,512				178				0.00	%			0.70				0.00	%			4.40	%			79				269				1.3	%			1.2	%			66				(52	)
Total Structured RMBS			119,605				16,793				0.45	%			14.04				3.15	%			4.55	%			112				230				5.5	%			5.3	%			(121	)			92
Total Mortgage Assets		$	4,189,043			$	3,734,207				100.00	%							4.34	%			5.10	%			28				327				6.6	%			6.3	%		$	91,828			$	(97,379	)

		Average			Hedge		Modeled Interest
		Notional			Period		Rate Sensitivity (1)
Hedge		Balance			End		(-50 BPS)				(+50 BPS)
3-Month SOFR Futures		$	(25,000	)	Mar-26		$	(750	)		$	750
5-Year Treasury Future(2)			(421,500	)	Jun-24			(8,386	)			8,255
10-Year Treasury Future(3)			(320,000	)	Jun-24			(10,029	)			9,681
Swaps			(2,531,800	)	Dec-29			(59,741	)			57,698
TBA			(400,000	)	May-24			(11,257	)			11,596
Swaptions			(809,400	)	5/31/2024(1)			(544	)			2,250
Hedge Total		$	(4,507,700	)			$	(90,707	)		$	90,230
Rate Shock Grand Total							$	1,121			$	(7,149	)

(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 $104.74 at April 30, 2024. The market value of the short position was $314.2 million.
(3)		Ten-year Treasury futures contracts were valued at prices of $107.44 at April 30, 2024. The market value of the short position was $221.1 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of April 30, 2024
Fannie Mae		$	2,613,151				70.0	%
Freddie Mac			1,121,056				30.0	%
Total Mortgage Assets		$	3,734,207				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of April 30, 2024
Non-Whole Pool Assets		$	133,163				3.6	%
Whole Pool Assets			3,601,044				96.4	%
Total Mortgage Assets		$	3,734,207				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of April 30, 2024		Borrowings				Debt				Rate				in Days			Maturity
RBC Capital Markets, LLC		$	273,095				7.6	%			5.46	%			13		5/13/2024
J.P. Morgan Securities LLC			245,994				6.8	%			5.46	%			6		5/22/2024
ABN AMRO Bank N.V.			219,820				6.1	%			5.46	%			43		6/17/2024
Cantor Fitzgerald & Co			216,337				6.0	%			5.46	%			13		5/13/2024
ASL Capital Markets Inc.			215,002				6.0	%			5.44	%			26		7/15/2024
Mitsubishi UFJ Securities (USA), Inc			206,120				5.7	%			5.47	%			13		5/28/2024
Wells Fargo Bank, N.A.			200,694				5.6	%			5.45	%			17		5/17/2024
Citigroup Global Markets Inc			195,633				5.4	%			5.46	%			23		5/23/2024
Mirae Asset Securities (USA) Inc.			188,251				5.2	%			5.46	%			23		6/18/2024
Merrill Lynch, Pierce, Fenner & Smith			185,624				5.1	%			5.48	%			15		5/28/2024
Daiwa Securities America Inc.			166,457				4.6	%			5.45	%			55		6/24/2024
Bank of Montreal			160,575				4.5	%			5.46	%			13		5/13/2024
StoneX Financial Inc.			159,516				4.4	%			5.46	%			77		7/16/2024
DV Securities, LLC Repo			156,648				4.3	%			5.45	%			22		6/28/2024
Marex Capital Markets Inc.			151,893				4.2	%			5.45	%			48		6/17/2024
Goldman, Sachs & Co			149,687				4.1	%			5.46	%			20		5/20/2024
Banco Santander SA			146,172				4.1	%			5.46	%			29		6/17/2024
Clear Street LLC			126,836				3.5	%			5.45	%			23		6/28/2024
ING Financial Markets LLC			124,310				3.4	%			5.46	%			44		6/13/2024
South Street Securities, LLC			101,890				2.8	%			5.46	%			24		5/28/2024
Lucid Cash Fund USG LLC			16,923				0.5	%			5.45	%			16		5/16/2024
Total Borrowings		$	3,607,477				100.0	%			5.46	%			26		7/16/2024

 

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The Orchid Island Capital Stock at the time of publication of the news with a raise of +0,78 % to 7,962EUR on Lang & Schwarz stock exchange (08. Mai 2024, 22:20 Uhr).