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 November 13, 2024andOctober 31, 2024, the Company had78,539,645 shares of common stock outstanding. As of September 30, 2024, the Company had78,082,645shares of common stock outstanding.
EstimatedNovember 8, 2024Book Value Per Share
The Company’s estimated book value per share as of November 8, 2024was approximately $8.30 to $8.34, a decrease of 0.7% to 1.0% from the book value per share at September 30, 2024 of $8.40. The estimated book value per share includes a deduction for today’s dividend declaration that will be paid on December 30, 2024.The Company computes book value per share by dividing total stockholders’ equity by the total number of outstanding shares of common stock. At November 8, 2024, the Company’s estimated total stockholders’ equity was approximately $652.0 million to $655.0 million, with78,539,645shares of common stock outstanding. These figures and the resulting estimated book value per share are unaudited and will not be verified or reviewed by the Company’s independent registered public accounting firmor any thirdparty. The Company is providing these figures intraperiod due to recent market volatility, and undertakes no obligation to update orrevise such figures or to provide any such intraperiod updates in the future.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as ofOctober 31, 2024are 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 | Aug-24 – | |||||||||||||||||||||||||||||||||||||
| Oct-24 | Oct-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 Nov) | in Nov) | (-50 BPS) | (+50 BPS) | ||||||||||||||||||||||||||
| Fixed Rate RMBS | ||||||||||||||||||||||||||||||||||||||
| 15yr 5.0 TBA | $ | 50,000 | $ | 49,867 | 0.93% | 99.73 | 5.00% | 5.89% | 6 | 171 | n/a | n/a | $ | 708 | $ | (709 | ) | |||||||||||||||||||||
| 15yr Total | 50,000 | 49,867 | 0.93% | 99.73 | 5.00% | 5.89% | 6 | 171 | n/a | n/a | 708 | (709 | ) | |||||||||||||||||||||||||
| 30yr 3.0 | 1,305,404 | 1,139,084 | 21.31% | 87.26 | 3.00% | 3.46% | 43 | 311 | 7.1% | 6.4% | 38,513 | (32,934 | ) | |||||||||||||||||||||||||
| 30yr 3.5 | 178,632 | 162,656 | 3.04% | 91.06 | 3.50% | 4.04% | 56 | 292 | 7.4% | 7.9% | 4,851 | (4,226 | ) | |||||||||||||||||||||||||
| 30yr 4.0 | 532,180 | 494,025 | 9.24% | 92.83 | 4.00% | 4.64% | 69 | 284 | 8.8% | 5.6% | 13,065 | (12,364 | ) | |||||||||||||||||||||||||
| 30yr 4.5 | 310,301 | 296,031 | 5.54% | 95.40 | 4.50% | 5.44% | 28 | 328 | 7.7% | 6.9% | 6,498 | (6,367 | ) | |||||||||||||||||||||||||
| 30yr 5.0 | 527,991 | 514,883 | 9.63% | 97.52 | 5.00% | 5.93% | 25 | 330 | 5.4% | 7.4% | 10,308 | (10,771 | ) | |||||||||||||||||||||||||
| 30yr 5.5 | 283,161 | 283,208 | 5.30% | 100.02 | 5.50% | 6.40% | 17 | 339 | 5.0% | 5.1% | 5,216 | (5,879 | ) | |||||||||||||||||||||||||
| 30yr 6.0 | 1,232,925 | 1,251,996 | 23.42% | 101.55 | 6.00% | 6.98% | 10 | 346 | 16.9% | 14.0% | 17,554 | (21,618 | ) | |||||||||||||||||||||||||
| 30yr 6.5 | 764,238 | 785,164 | 14.69% | 102.74 | 6.50% | 7.43% | 10 | 347 | 23.7% | 17.4% | 7,196 | (10,475 | ) | |||||||||||||||||||||||||
| 30yr 7.0 | 338,430 | 353,181 | 6.61% | 104.36 | 7.00% | 7.94% | 12 | 342 | 39.0% | 31.8% | 2,215 | (4,037 | ) | |||||||||||||||||||||||||
| 30yr Total | 5,473,262 | 5,280,228 | 98.77% | 96.47 | 4.93% | 5.72% | 28 | 327 | 13.6% | 11.1% | 105,416 | (108,671 | ) | |||||||||||||||||||||||||
| Total Pass-Through MBS | 5,523,262 | 5,330,095 | 99.70% | 96.50 | 4.93% | 5.72% | 28 | 325 | 13.6% | 11.1% | 106,124 | (109,380 | ) | |||||||||||||||||||||||||
| Structured MBS | ||||||||||||||||||||||||||||||||||||||
| IO 20yr 4.0 | 7,275 | 696 | 0.01% | 9.57 | 4.00% | 4.57% | 154 | 80 | 9.4% | 10.7% | (38 | ) | (45 | ) | ||||||||||||||||||||||||
| IO 30yr 3.0 | 2,680 | 322 | 0.01% | 12.00 | 3.00% | 3.64% | 117 | 233 | 25.3% | 10.0% | (7 | ) | (8 | ) | ||||||||||||||||||||||||
| IO 30yr 4.0 | 72,950 | 13,700 | 0.26% | 18.78 | 4.00% | 4.60% | 122 | 229 | 7.5% | 6.8% | (501 | ) | (171 | ) | ||||||||||||||||||||||||
| IO 30yr 4.5 | 3,186 | 597 | 0.01% | 18.75 | 4.50% | 4.99% | 172 | 175 | 6.6% | 7.4% | (17 | ) | (15 | ) | ||||||||||||||||||||||||
| IO 30yr 5.0 | 1,725 | 354 | 0.01% | 20.54 | 5.00% | 5.37% | 172 | 176 | 10.6% | 7.4% | (13 | ) | (7 | ) | ||||||||||||||||||||||||
| IO Total | 87,816 | 15,669 | 0.29% | 17.84 | 4.01% | 4.60% | 127 | 214 | 8.2% | 7.3% | (576 | ) | (246 | ) | ||||||||||||||||||||||||
| IIO 30yr 4.0 | 23,236 | 248 | 0.00% | 1.07 | 0.00% | 4.40% | 85 | 263 | 19.5% | 10.6% | 79 | (88 | ) | |||||||||||||||||||||||||
| Total Structured RMBS | 111,052 | 15,917 | 0.30% | 14.33 | 3.17% | 4.55% | 118 | 224 | 10.6% | 8.0% | (497 | ) | (334 | ) | ||||||||||||||||||||||||
| Total Mortgage Assets | $ | 5,634,314 | $ | 5,346,012 | 100.00% | 4.90% | 5.70% | 30 | 323 | 13.5% | 11.1% | $ | 105,627 | $ | (109,714 | ) | ||||||||||||||||||||||
| 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 | (394 | ) | 394 | ||||||
| Swaps | (3,486,800 | ) | Jun-30 | (87,485 | ) | 84,461 | ||||||
| TBA | (200,000 | ) | Nov-24 | (6,063 | ) | 5,408 | ||||||
| Hedge Total | $ | (4,155,200 | ) | $ | (99,641 | ) | $ | 95,962 | ||||
| Rate Shock Grand Total | $ | 5,986 | $ | (13,752 | ) | |||||||
| (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$110.47atOctober 31, 2024. The market value of the short position was $13.8 million. | |
| RMBS Assets by Agency | |||||
| ($ in thousands) | |||||
| Percentage | |||||
| Fair | of | ||||
| Asset Category | Value | Portfolio | |||
| As of October 31, 2024 | |||||
| Fannie Mae | $ | 3,627,479 | 67.9 | % | |
| Freddie Mac | 1,718,533 | 32.1 | % | ||
| Total Mortgage Assets | $ | 5,346,012 | 100.0 | % | |
| Investment Company Act of 1940 Whole Pool Test | |||||
| ($ in thousands) | |||||
| Percentage | |||||
| Fair | of | ||||
| Asset Category | Value | Portfolio | |||
| As of October 31, 2024 | |||||
| Non-Whole Pool Assets | $ | 206,643 | 3.9 | % | |
| Whole Pool Assets | 5,139,369 | 96.1 | % | ||
| Total Mortgage Assets | $ | 5,346,012 | 100.0 | % | |
| Borrowings By Counterparty | ||||||||||
| ($ in thousands) | ||||||||||
| Weighted | Weighted | |||||||||
| % of | Average | Average | ||||||||
| Total | Total | Repo | Maturity | Longest | ||||||
| As of October 31, 2024 | Borrowings | Debt | Rate | in Days | Maturity | |||||
| Merrill Lynch, Pierce, Fenner & Smith | $ | 376,573 | 7.3% | 5.15% | 20 | 11/25/2024 | ||||
| ABN AMRO Bank N.V. | 368,037 | 7.2% | 5.00% | 15 | 11/15/2024 | |||||
| ASL Capital Markets Inc. | 341,650 | 6.7% | 5.22% | 14 | 11/15/2024 | |||||
| Cantor Fitzgerald & Co | 281,564 | 5.5% | 5.01% | 8 | 11/8/2024 | |||||
| DV Securities, LLC Repo | 266,219 | 5.2% | 5.02% | 19 | 11/29/2024 | |||||
| Mitsubishi UFJ Securities (USA), Inc | 256,092 | 5.0% | 4.99% | 21 | 11/25/2024 | |||||
| J.P. Morgan Securities LLC | 247,234 | 4.8% | 5.03% | 8 | 11/25/2024 | |||||
| Banco Santander SA | 246,554 | 4.8% | 5.33% | 18 | 11/18/2024 | |||||
| Daiwa Securities America Inc. | 241,139 | 4.7% | 5.00% | 24 | 11/25/2024 | |||||
| Wells Fargo Bank, N.A. | 236,880 | 4.6% | 5.00% | 18 | 11/18/2024 | |||||
| Citigroup Global Markets Inc | 236,331 | 4.6% | 4.93% | 25 | 11/25/2024 | |||||
| ING Financial Markets LLC | 225,593 | 4.4% | 5.01% | 8 | 11/8/2024 | |||||
| Marex Capital Markets Inc. | 218,101 | 4.3% | 5.00% | 21 | 11/21/2024 | |||||
| Goldman, Sachs & Co | 202,206 | 3.9% | 5.02% | 18 | 11/18/2024 | |||||
| Bank of Montreal | 200,535 | 3.9% | 5.03% | 14 | 11/14/2024 | |||||
| Clear Street LLC | 193,535 | 3.8% | 5.21% | 17 | 11/20/2024 | |||||
| South Street Securities, LLC | 190,161 | 3.7% | 4.97% | 41 | 1/24/2025 | |||||
| Mirae Asset Securities (USA) Inc. | 189,233 | 3.7% | 5.08% | 18 | 11/18/2024 | |||||
| StoneX Financial Inc. | 155,898 | 3.0% | 5.01% | 21 | 11/21/2024 | |||||
| The Bank of Nova Scotia | 147,479 | 2.9% | 5.03% | 15 | 11/15/2024 | |||||
| RBC Capital Markets, LLC | 143,022 | 2.8% | 5.31% | 14 | 11/14/2024 | |||||
| Nomura Securities International, Inc. | 73,140 | 1.4% | 4.90% | 46 | 12/16/2024 | |||||
| Lucid Prime Fund, LLC | 47,591 | 0.9% | 5.03% | 14 | 11/14/2024 | |||||
| Wells Fargo Securities, LLC | 22,686 | 0.4% | 4.88% | 84 | 1/23/2025 | |||||
| Lucid Cash Fund USG LLC | 17,131 | 0.3% | 5.03% | 14 | 11/14/2024 | |||||
| Total Borrowings | $ | 5,124,584 | 100.0% | 5.06% | 18 | 1/24/2025 | ||||
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
