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Home > Real Estate News > Orchid Island Capital Announces November 2024 Monthly Dividend and October 31, 2024 RMBS Portfolio Characteristics

Orchid Island Capital Announces November 2024 Monthly Dividend and October 31, 2024 RMBS Portfolio Characteristics

Posted on: November 13, 2024 By: Real Estate News

  • November 2024 Monthly Dividend of $0.12 Per Share of Common Stock  
  • Estimated Book Value Per Share as of November 8, 2024 of approximately $8.30 to $8.34
  • RMBS Portfolio Characteristics as of October 31, 2024
  • Next Dividend Announcement Expected December 10, 2024

VERO BEACH, Fla., Nov. 13, 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 November 2024. The dividend of $0.12 per share will be paid December 30, 2024 to holders of record of the Company’s common stock on November 29, 2024, with an ex-dividend date of November 29, 2024. The Company plans on announcing its next common stock dividend on December 10, 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 November 13, 2024 and October 31, 2024, the Company had 78,539,645 shares of common stock outstanding. As of September 30, 2024, the Company had 78,082,645 shares of common stock outstanding.

Estimated November 8, 2024 Book Value Per Share

The Company’s estimated book value per share as of November 8, 2024 was 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, with 78,539,645 shares 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 firm or any third party. The Company is providing these figures intraperiod due to recent market volatility, and undertakes no obligation to update or revise such figures or to provide any such intraperiod updates in the future.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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, 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 SOFR option-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 $110.47 at October 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

Orchid-Island-Capital-Inc- Orchid Island Capital Announces November 2024 Monthly Dividend and October 31, 2024 RMBS Portfolio Characteristics

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