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 | |||||||||||||||||||||||||||||||||||
| Realized | Jul -24 – | ||||||||||||||||||||||||||||||||||
| Sep-24 | Sep-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 Oct) | in Oct) | (-50 BPS) | (+50 BPS) | |||||||||||||||||||||||
| Fixed Rate RMBS | |||||||||||||||||||||||||||||||||||
| 30yr 3.0 | 1,313,569 | 1,192,650 | 21.91 | % | 90.79 | 3.00 | % | 3.46 | % | 42 | 312 | 4.9 | % | 6.4 | % | 36,156 | (37,050 | ) | |||||||||||||||||
| 30yr 3.5 | 180,159 | 170,463 | 3.13 | % | 94.62 | 3.50 | % | 4.04 | % | 55 | 293 | 7.3 | % | 8.6 | % | 4,631 | (4,728 | ) | |||||||||||||||||
| 30yr 4.0 | 534,812 | 515,427 | 9.47 | % | 96.38 | 4.00 | % | 4.64 | % | 68 | 285 | 3.2 | % | 4.6 | % | 11,715 | (12,733 | ) | |||||||||||||||||
| 30yr 4.5 | 312,192 | 308,236 | 5.66 | % | 98.73 | 4.50 | % | 5.44 | % | 27 | 330 | 5.5 | % | 6.8 | % | 5,377 | (6,191 | ) | |||||||||||||||||
| 30yr 5.0 | 517,497 | 518,746 | 9.53 | % | 100.24 | 5.00 | % | 5.93 | % | 25 | 330 | 7.9 | % | 7.0 | % | 7,905 | (9,531 | ) | |||||||||||||||||
| 30yr 5.5 | 259,123 | 265,083 | 4.87 | % | 102.30 | 5.50 | % | 6.43 | % | 18 | 338 | 3.3 | % | 5.8 | % | 3,498 | (4,475 | ) | |||||||||||||||||
| 30yr 6.0 | 1,248,052 | 1,287,954 | 23.66 | % | 103.20 | 6.00 | % | 6.98 | % | 9 | 347 | 11.7 | % | 9.5 | % | 8,892 | (12,035 | ) | |||||||||||||||||
| 30yr 6.5 | 776,146 | 806,065 | 14.81 | % | 103.85 | 6.50 | % | 7.43 | % | 9 | 348 | 15.8 | % | 11.9 | % | 5,418 | (7,020 | ) | |||||||||||||||||
| 30yr 7.0 | 346,282 | 362,445 | 6.66 | % | 104.67 | 7.00 | % | 7.94 | % | 11 | 343 | 22.4 | % | 22.7 | % | 2,291 | (2,777 | ) | |||||||||||||||||
| 30yr Total | 5,487,832 | 5,427,069 | 99.71 | % | 98.89 | 4.94 | % | 5.72 | % | 27 | 327 | 9.3 | % | 8.8 | % | 85,883 | (96,540 | ) | |||||||||||||||||
| Total Pass Through RMBS | 5,487,832 | 5,427,069 | 99.71 | % | 98.89 | 4.94 | % | 5.72 | % | 27 | 327 | 9.3 | % | 8.8 | % | 85,883 | (96,540 | ) | |||||||||||||||||
| Structured RMBS | |||||||||||||||||||||||||||||||||||
| IO 20yr 4.0 | 7,414 | 693 | 0.01 | % | 9.35 | 4.00 | % | 4.57 | % | 153 | 81 | 11.0 | % | 11.5 | % | 3 | (4 | ) | |||||||||||||||||
| IO 30yr 3.0 | 2,690 | 376 | 0.01 | % | 13.98 | 3.00 | % | 3.64 | % | 116 | 234 | 0.9 | % | 1.2 | % | (2 | ) | – | |||||||||||||||||
| IO 30yr 4.0 | 73,719 | 13,339 | 0.25 | % | 18.09 | 4.00 | % | 4.60 | % | 121 | 230 | 5.8 | % | 6.3 | % | (424 | ) | 302 | |||||||||||||||||
| IO 30yr 4.5 | 3,218 | 620 | 0.01 | % | 19.26 | 4.50 | % | 4.99 | % | 171 | 176 | 8.6 | % | 7.8 | % | (11 | ) | 7 | |||||||||||||||||
| IO 30yr 5.0 | 1,733 | 354 | 0.01 | % | 20.45 | 5.00 | % | 5.37 | % | 171 | 177 | 1.1 | % | 4.4 | % | (10 | ) | 7 | |||||||||||||||||
| IO Total | 88,774 | 15,382 | 0.28 | % | 17.33 | 4.01 | % | 4.60 | % | 126 | 214 | 6.1 | % | 6.6 | % | (444 | ) | 312 | |||||||||||||||||
| IIO 30yr 4.0 | 23,450 | 353 | 0.01 | % | 1.50 | 0.00 | % | 4.40 | % | 84 | 264 | 0.6 | % | 5.7 | % | 121 | (99 | ) | |||||||||||||||||
| Total Structured RMBS | 112,224 | 15,735 | 0.29 | % | 14.02 | 3.17 | % | 4.55 | % | 117 | 225 | 4.9 | % | 6.4 | % | (323 | ) | 213 | |||||||||||||||||
| Total Mortgage Assets | $ | 5,600,056 | $ | 5,442,804 | 100.00 | % | 4.90 | % | 5.70 | % | 29 | 325 | 9.2 | % | 8.8 | % | $ | 85,560 | $ | (96,327 | ) | ||||||||||||||
| Hedge | Modeled Interest | |||||||||||||
| Notional | Period | Rate Sensitivity (1) | ||||||||||||
| Hedge | Balance | End | (-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 | ||||||||
| Swaptions | – | Jan-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 | ||||||
| Fair | of | |||||
| Asset Category | Value | Portfolio | ||||
| As of September 30, 2024 | ||||||
| Fannie Mae | $ | 3,692,047 | 67.8 | % | ||
| Freddie Mac | 1,750,757 | 32.2 | % | |||
| Total Mortgage Assets | $ | 5,442,804 | 100.0 | % | ||
| Investment Company Act of 1940 Whole Pool Test | ||||||
| ($ in thousands) | ||||||
| Percentage | ||||||
| Fair | of | |||||
| Asset Category | Value | Portfolio | ||||
| As of September 30, 2024 | ||||||
| Non-Whole Pool Assets | $ | 161,835 | 3.0 | % | ||
| Whole Pool Assets | 5,280,969 | 97.0 | % | |||
| Total Mortgage Assets | $ | 5,442,804 | 100.0 | % | ||
| Borrowings By Counterparty | |||||||||||||
| ($ in thousands) | |||||||||||||
| Weighted | Weighted | ||||||||||||
| % of | Average | Average | |||||||||||
| Total | Total | Repo | Maturity | Longest | |||||||||
| As of September 30, 2024 | Borrowings | Debt | Rate | in Days | Maturity | ||||||||
| ABN AMRO Bank N.V. | $ | 381,192 | 7.3 | % | 5.37 | % | 15 | 10/15/2024 | |||||
| Merrill Lynch, Pierce, Fenner & Smith | 379,748 | 7.3 | % | 5.20 | % | 35 | 11/15/2024 | ||||||
| ASL Capital Markets Inc. | 346,397 | 6.6 | % | 5.35 | % | 31 | 11/15/2024 | ||||||
| Cantor Fitzgerald & Co | 289,468 | 5.5 | % | 5.30 | % | 11 | 10/18/2024 | ||||||
| DV Securities, LLC Repo | 274,284 | 5.2 | % | 5.24 | % | 19 | 10/28/2024 | ||||||
| Mitsubishi UFJ Securities (USA), Inc | 263,580 | 5.0 | % | 5.35 | % | 23 | 10/28/2024 | ||||||
| J.P. Morgan Securities LLC | 254,798 | 4.9 | % | 5.33 | % | 9 | 10/25/2024 | ||||||
| Banco Santander SA | 248,472 | 4.8 | % | 5.33 | % | 49 | 11/18/2024 | ||||||
| Daiwa Securities America Inc. | 247,191 | 4.7 | % | 5.04 | % | 28 | 11/19/2024 | ||||||
| Citigroup Global Markets Inc | 244,746 | 4.7 | % | 5.04 | % | 25 | 10/25/2024 | ||||||
| Wells Fargo Bank, N.A. | 241,641 | 4.6 | % | 5.29 | % | 16 | 10/16/2024 | ||||||
| ING Financial Markets LLC | 225,593 | 4.3 | % | 5.01 | % | 39 | 11/8/2024 | ||||||
| Marex Capital Markets Inc. | 223,192 | 4.3 | % | 5.00 | % | 21 | 10/21/2024 | ||||||
| Goldman, Sachs & Co | 208,485 | 4.0 | % | 5.32 | % | 16 | 10/16/2024 | ||||||
| Bank of Montreal | 204,522 | 3.9 | % | 5.31 | % | 15 | 10/15/2024 | ||||||
| South Street Securities, LLC | 194,516 | 3.7 | % | 5.20 | % | 19 | 10/24/2024 | ||||||
| Clear Street LLC | 193,535 | 3.7 | % | 5.21 | % | 48 | 11/20/2024 | ||||||
| Mirae Asset Securities (USA) Inc. | 193,120 | 3.7 | % | 5.26 | % | 26 | 11/18/2024 | ||||||
| StoneX Financial Inc. | 159,098 | 3.0 | % | 5.03 | % | 21 | 10/21/2024 | ||||||
| The Bank of Nova Scotia | 149,958 | 2.9 | % | 5.29 | % | 15 | 10/15/2024 | ||||||
| RBC Capital Markets, LLC | 143,225 | 2.7 | % | 5.31 | % | 45 | 11/14/2024 | ||||||
| Nomura Securities International, Inc. | 75,278 | 1.4 | % | 5.31 | % | 15 | 10/15/2024 | ||||||
| Lucid Prime Fund, LLC | 48,322 | 0.9 | % | 5.29 | % | 17 | 10/17/2024 | ||||||
| Wells Fargo Securities, LLC | 23,004 | 0.4 | % | 5.06 | % | 25 | 10/25/2024 | ||||||
| Lucid Cash Fund USG LLC | 17,506 | 0.3 | % | 5.31 | % | 17 | 10/17/2024 | ||||||
| Total Borrowings | $ | 5,230,871 | 100.0 | % | 5.24 | % | 25 | 11/20/2024 | |||||
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
