Orchid Island Capital Announces Estimated Third Quarter 2024 Results, October 2024 Monthly Dividend and September 30, 2024 RMBS Portfolio Characteristics

, Oct. 16, 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 October 2024. The dividend of $0.12per share will be paid November 27, 2024to holders of record of the Company’s common stock on October 31, 2024, with an ex-dividend date of October 31, 2024. The Company plans on announcing its next common stock dividend on November 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 October 16, 2024, the Company had78,414,645 shares of common stock outstanding. As of September 30, 2024, the Company had78,082,645shares of common stock outstanding. As of June 30, 2024, the Company had64,824,374shares of common stock outstanding.

EstimatedSeptember 30, 2024Book Value Per Share

The Company’s estimated book value per share as ofSeptember 30, 2024was $8.40. The Company computes book value per share by dividing total stockholders’ equity by the total number of outstanding shares of common stock. AtSeptember 30, 2024, the Company’s preliminary estimated total stockholders’ equity was approximately $656.0 million with78,082,645shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net IncomePer Shareand Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net incomeper share of $0.24for the quarter endedSeptember 30, 2024,which includes an estimated $0.29 per shareof net realized and unrealized gains on RMBS and derivative instruments.These amounts compare to total dividends declared during the quarter of $0.36 per share. Net incomeper common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter endedSeptember 30, 2024 was 2.1%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $0.18per share, comprised of dividends per share of $0.36 and a decrease in book value per share of $0.18from June 30, 2024.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as ofSeptember 30, 2024are presented below.These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended September 30, 2024, are subject to review by the Company’s independent registered public accounting firm:

  • 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
RealizedJul -24 –
Sep-24Sep-24
NetWeightedCPRCPR
WeightedAverage(1-Month)(3-Month)Modeled Interest
CurrentFair% ofCurrentAverageMaturity(Reported(ReportedRate Sensitivity (1)
TypeFaceValuePortfolioPriceCouponGWACAge(Months)in Oct)in Oct)(-50 BPS)(+50 BPS)
Fixed Rate RMBS
30yr 3.01,313,5691,192,65021.91%90.793.00%3.46%423124.9%6.4%36,156(37,050)
30yr 3.5180,159170,4633.13%94.623.50%4.04%552937.3%8.6%4,631(4,728)
30yr 4.0534,812515,4279.47%96.384.00%4.64%682853.2%4.6%11,715(12,733)
30yr 4.5312,192308,2365.66%98.734.50%5.44%273305.5%6.8%5,377(6,191)
30yr 5.0517,497518,7469.53%100.245.00%5.93%253307.9%7.0%7,905(9,531)
30yr 5.5259,123265,0834.87%102.305.50%6.43%183383.3%5.8%3,498(4,475)
30yr 6.01,248,0521,287,95423.66%103.206.00%6.98%934711.7%9.5%8,892(12,035)
30yr 6.5776,146806,06514.81%103.856.50%7.43%934815.8%11.9%5,418(7,020)
30yr 7.0346,282362,4456.66%104.677.00%7.94%1134322.4%22.7%2,291(2,777)
30yr Total5,487,8325,427,06999.71%98.894.94%5.72%273279.3%8.8%85,883(96,540)
Total Pass Through RMBS5,487,8325,427,06999.71%98.894.94%5.72%273279.3%8.8%85,883(96,540)
Structured RMBS
IO 20yr 4.07,4146930.01%9.354.00%4.57%1538111.0%11.5%3(4)
IO 30yr 3.02,6903760.01%13.983.00%3.64%1162340.9%1.2%(2)
IO 30yr 4.073,71913,3390.25%18.094.00%4.60%1212305.8%6.3%(424)302
IO 30yr 4.53,2186200.01%19.264.50%4.99%1711768.6%7.8%(11)7
IO 30yr 5.01,7333540.01%20.455.00%5.37%1711771.1%4.4%(10)7
IO Total88,77415,3820.28%17.334.01%4.60%1262146.1%6.6%(444)312
IIO 30yr 4.023,4503530.01%1.500.00%4.40%842640.6%5.7%121(99)
Total Structured RMBS112,22415,7350.29%14.023.17%4.55%1172254.9%6.4%(323)213
Total Mortgage Assets$5,600,056$5,442,804100.00%4.90%5.70%293259.2%8.8%$85,560$(96,327)

HedgeModeled Interest
NotionalPeriodRate Sensitivity (1)
HedgeBalanceEnd(-50 BPS)(+50 BPS)
3-Month SOFR Futures(2)$(455,900)Oct-25$(5,699)$5,699
10-Year Treasury Future(3)(12,500)Dec-24(410)397
Swaps(3,486,800)Jun-30(91,274)88,057
TBA(300,000)Oct-24(8,387)8,827
SwaptionsJan-00
Hedge Total$(4,255,200)$(105,770)$102,980
Rate Shock Grand Total$(20,210)$6,653

(1)Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFRoption-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)Ten-year Treasury futures contracts were valued at prices of$114.28atSeptember 30, 2024. The market value of the short position was $14.3 million.

RMBS Assets by Agency
($ in thousands)
Percentage
Fairof
Asset CategoryValuePortfolio
As of September 30, 2024
Fannie Mae$3,692,04767.8%
Freddie Mac1,750,75732.2%
Total Mortgage Assets$5,442,804100.0%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
Percentage
Fairof
Asset CategoryValuePortfolio
As of September 30, 2024
Non-Whole Pool Assets$161,8353.0%
Whole Pool Assets5,280,96997.0%
Total Mortgage Assets$5,442,804100.0%

Borrowings By Counterparty
($ in thousands)
WeightedWeighted
% ofAverageAverage
TotalTotalRepoMaturityLongest
As of September 30, 2024BorrowingsDebtRatein DaysMaturity
ABN AMRO Bank N.V.$381,1927.3%5.37%1510/15/2024
Merrill Lynch, Pierce, Fenner & Smith379,7487.3%5.20%3511/15/2024
ASL Capital Markets Inc.346,3976.6%5.35%3111/15/2024
Cantor Fitzgerald & Co289,4685.5%5.30%1110/18/2024
DV Securities, LLC Repo274,2845.2%5.24%1910/28/2024
Mitsubishi UFJ Securities (USA), Inc263,5805.0%5.35%2310/28/2024
J.P. Morgan Securities LLC254,7984.9%5.33%910/25/2024
Banco Santander SA248,4724.8%5.33%4911/18/2024
Daiwa Securities America Inc.247,1914.7%5.04%2811/19/2024
Citigroup Global Markets Inc244,7464.7%5.04%2510/25/2024
Wells Fargo Bank, N.A.241,6414.6%5.29%1610/16/2024
ING Financial Markets LLC225,5934.3%5.01%3911/8/2024
Marex Capital Markets Inc.223,1924.3%5.00%2110/21/2024
Goldman, Sachs & Co208,4854.0%5.32%1610/16/2024
Bank of Montreal204,5223.9%5.31%1510/15/2024
South Street Securities, LLC194,5163.7%5.20%1910/24/2024
Clear Street LLC193,5353.7%5.21%4811/20/2024
Mirae Asset Securities (USA) Inc.193,1203.7%5.26%2611/18/2024
StoneX Financial Inc.159,0983.0%5.03%2110/21/2024
The Bank of Nova Scotia149,9582.9%5.29%1510/15/2024
RBC Capital Markets, LLC143,2252.7%5.31%4511/14/2024
Nomura Securities International, Inc.75,2781.4%5.31%1510/15/2024
Lucid Prime Fund, LLC48,3220.9%5.29%1710/17/2024
Wells Fargo Securities, LLC23,0040.4%5.06%2510/25/2024
Lucid Cash Fund USG LLC17,5060.3%5.31%1710/17/2024
Total Borrowings$5,230,871100.0%5.24%2511/20/2024

Contact:

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

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