Orchid Island Capital Announces June 2024 Monthly Dividend and May 31, 2024 RMBS Portfolio Characteristics
-
June 2024 Monthly Dividend of
$0.12 - RMBS Portfolio Characteristics as of May 31, 2024
- Next Dividend Announcement Expected July 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
As of June 11, 2024, the Company had 62,821,552 shares of common stock outstanding. As of May 31, 2024, the Company had 62,269,788 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.
The Company also announced that it and Bimini Advisors, LLC (“Bimini”) entered into an equity distribution agreement (the “Equity Distribution Agreement”) with J.P. Morgan Securities LLC, Citizens JMP Securities, LLC and JonesTrading Institutional Services LLC (collectively, the “Sales Agents”) on June 11, 2024, pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of
Pursuant to the Equity Distribution Agreement, the Shares may be offered and sold through the Sales Agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, as amended, including sales made directly on the New York Stock Exchange or sales made to or through a market maker other than on an exchange or in negotiated transactions (which may include block trades). Under the Equity Distribution Agreement, the Sales Agents will be entitled to compensation of up to
The Company has used "at the market" offering programs in the past as a low-cost and effective method to raise equity capital to be strategically deployed into Agency RMBS in conjunction with the Company’s core investment strategy. The Company generally prefers such programs over more costly follow-on offerings absent extenuating circumstances and market conditions.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of May 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, the offer and sale of shares of common stock under the Equity Distribution Agreement or follow-on offerings. 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 |
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($ in thousands) |
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Realized |
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Realized |
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Mar-24 - |
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May-24 |
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May-24 |
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Net |
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Weighted |
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CPR |
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CPR |
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Weighted |
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Average |
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(1-Month) |
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(3-Month) |
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Modeled Interest |
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Current |
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Fair |
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% of |
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Current |
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Average |
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Maturity |
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(Reported |
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(Reported |
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Rate Sensitivity (1) |
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Type |
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Face |
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Value |
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Portfolio |
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Price |
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Coupon |
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GWAC |
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Age |
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(Months) |
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in June) |
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in June) |
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(-50 BPS) |
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(+50 BPS) |
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Fixed Rate RMBS |
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30yr 3.0 |
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$ |
1,353,113 |
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$ |
1,153,213 |
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26.12 |
% |
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|
85.23 |
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3.00 |
% |
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3.46 |
% |
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38 |
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|
316 |
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5.5 |
% |
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5.3 |
% |
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$ |
36,254 |
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$ |
(36,597 |
) |
30yr 3.5 |
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187,768 |
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167,711 |
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3.80 |
% |
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89.32 |
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3.50 |
% |
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4.04 |
% |
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51 |
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|
297 |
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9.3 |
% |
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7.0 |
% |
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4,748 |
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(4,794 |
) |
30yr 4.0 |
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548,681 |
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499,290 |
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11.31 |
% |
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91.00 |
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4.00 |
% |
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4.78 |
% |
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28 |
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|
329 |
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4.9 |
% |
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6.3 |
% |
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13,391 |
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(14,162 |
) |
30yr 4.5 |
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325,706 |
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305,911 |
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6.93 |
% |
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93.92 |
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4.50 |
% |
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5.45 |
% |
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23 |
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334 |
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10.2 |
% |
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9.9 |
% |
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6,692 |
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(7,305 |
) |
30yr 5.0 |
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537,372 |
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517,844 |
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11.73 |
% |
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96.37 |
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5.00 |
% |
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5.93 |
% |
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21 |
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|
335 |
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7.3 |
% |
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5.9 |
% |
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10,775 |
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(11,967 |
) |
30yr 5.5 |
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267,218 |
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264,504 |
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5.99 |
% |
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98.98 |
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5.50 |
% |
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6.43 |
% |
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14 |
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|
344 |
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13.3 |
% |
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6.0 |
% |
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4,840 |
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(5,550 |
) |
30yr 6.0 |
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622,308 |
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625,714 |
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14.17 |
% |
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100.55 |
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6.00 |
% |
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6.98 |
% |
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10 |
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|
345 |
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8.5 |
% |
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9.5 |
% |
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8,586 |
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(10,361 |
) |
30yr 6.5 |
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514,683 |
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524,928 |
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11.89 |
% |
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101.99 |
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6.50 |
% |
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7.41 |
% |
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8 |
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349 |
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8.1 |
% |
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9.8 |
% |
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5,505 |
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(6,907 |
) |
30yr 7.0 |
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328,309 |
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339,004 |
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7.68 |
% |
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103.26 |
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7.00 |
% |
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7.95 |
% |
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7 |
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|
349 |
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23.5 |
% |
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19.3 |
% |
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2,513 |
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(3,391 |
) |
30yr Total |
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4,685,158 |
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4,398,119 |
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99.63 |
% |
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|
93.87 |
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4.68 |
% |
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5.45 |
% |
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24 |
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|
332 |
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7.9 |
% |
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7.1 |
% |
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93,304 |
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(101,034 |
) |
Total Pass Through RMBS |
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4,685,158 |
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4,398,119 |
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99.63 |
% |
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|
93.87 |
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4.68 |
% |
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5.45 |
% |
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24 |
|
|
|
332 |
|
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|
7.9 |
% |
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7.1 |
% |
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93,304 |
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(101,034 |
) |
Structured RMBS |
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IO 20yr 4.0 |
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|
8,044 |
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|
759 |
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0.02 |
% |
|
|
9.43 |
|
|
|
4.00 |
% |
|
|
4.57 |
% |
|
|
149 |
|
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|
85 |
|
|
|
10.9 |
% |
|
|
8.9 |
% |
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|
4 |
|
|
|
(4 |
) |
IO 30yr 3.0 |
|
|
2,731 |
|
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|
323 |
|
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|
0.01 |
% |
|
|
11.82 |
|
|
|
3.00 |
% |
|
|
3.64 |
% |
|
|
112 |
|
|
|
238 |
|
|
|
0.8 |
% |
|
|
7.4 |
% |
|
|
1 |
|
|
|
(1 |
) |
IO 30yr 4.0 |
|
|
77,188 |
|
|
|
14,159 |
|
|
|
0.32 |
% |
|
|
18.34 |
|
|
|
4.00 |
% |
|
|
4.60 |
% |
|
|
117 |
|
|
|
234 |
|
|
|
8.1 |
% |
|
|
6.6 |
% |
|
|
(146 |
) |
|
|
107 |
|
IO 30yr 4.5 |
|
|
3,327 |
|
|
|
612 |
|
|
|
0.01 |
% |
|
|
18.40 |
|
|
|
4.50 |
% |
|
|
4.99 |
% |
|
|
167 |
|
|
|
179 |
|
|
|
5.5 |
% |
|
|
6.1 |
% |
|
|
(1 |
) |
|
|
(1 |
) |
IO 30yr 5.0 |
|
|
1,835 |
|
|
|
364 |
|
|
|
0.01 |
% |
|
|
19.82 |
|
|
|
5.00 |
% |
|
|
5.36 |
% |
|
|
167 |
|
|
|
181 |
|
|
|
0.9 |
% |
|
|
1.0 |
% |
|
|
(3 |
) |
|
|
1 |
|
IO Total |
|
|
93,125 |
|
|
|
16,217 |
|
|
|
0.37 |
% |
|
|
17.41 |
|
|
|
4.01 |
% |
|
|
4.60 |
% |
|
|
122 |
|
|
|
218 |
|
|
|
7.9 |
% |
|
|
6.7 |
% |
|
|
(144 |
) |
|
|
102 |
|
IIO 30yr 4.0 |
|
|
25,268 |
|
|
|
188 |
|
|
|
0.00 |
% |
|
|
0.75 |
|
|
|
0.00 |
% |
|
|
4.40 |
% |
|
|
80 |
|
|
|
268 |
|
|
|
0.7 |
% |
|
|
1.2 |
% |
|
|
72 |
|
|
|
(57 |
) |
Total Structured RMBS |
|
|
118,393 |
|
|
|
16,405 |
|
|
|
0.37 |
% |
|
|
13.86 |
|
|
|
3.15 |
% |
|
|
4.55 |
% |
|
|
113 |
|
|
|
229 |
|
|
|
6.4 |
% |
|
|
5.5 |
% |
|
|
(72 |
) |
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
Total Mortgage Assets |
|
$ |
4,803,551 |
|
|
$ |
4,414,524 |
|
|
|
100.00 |
% |
|
|
|
|
|
|
4.64 |
% |
|
|
5.42 |
% |
|
|
26 |
|
|
|
329 |
|
|
|
7.8 |
% |
|
|
7.0 |
% |
|
$ |
93,232 |
|
|
$ |
(100,989 |
) |
|
|
Average |
|
Hedge |
|
Modeled Interest |
|
||||||
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|
Notional |
|
Period |
|
Rate Sensitivity (1) |
|
||||||
Hedge |
|
Balance |
|
End |
|
(-50 BPS) |
|
|
(+50 BPS) |
|
|||
3-Month SOFR Futures |
|
$ |
(100,000 |
) |
Mar-26 |
|
$ |
(750 |
) |
|
$ |
750 |
|
5-Year Treasury Future(2) |
|
|
(421,500 |
) |
Sep-24 |
|
|
(8,480 |
) |
|
|
8,282 |
|
10-Year Treasury Future(3) |
|
|
(62,500 |
) |
Sep-24 |
|
|
(1,945 |
) |
|
|
1,906 |
|
Swaps |
|
|
(2,936,800 |
) |
Jun-30 |
|
|
(75,255 |
) |
|
|
72,523 |
|
TBA |
|
|
(500,000 |
) |
Jun-24 |
|
|
(13,860 |
) |
|
|
14,216 |
|
Swaptions |
|
|
(9,400 |
) |
Sep-24 |
|
|
508 |
|
|
|
86 |
|
Hedge Total |
|
$ |
(4,030,200 |
) |
|
|
$ |
(99,782 |
) |
|
$ |
97,763 |
|
Rate Shock Grand Total |
|
|
|
|
|
|
$ |
(6,550 |
) |
|
$ |
(3,226 |
) |
(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 |
(3) |
Ten-year Treasury futures contracts were valued at prices of |
| RMBS Assets by Agency |
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($ in thousands) |
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Percentage |
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Fair |
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of |
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Asset Category |
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Value |
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Portfolio |
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||
As of May 31, 2024 |
|
|
|
|
|
|
|
|
Fannie Mae |
|
$ |
2,792,509 |
|
|
|
63.3 |
% |
Freddie Mac |
|
|
1,622,015 |
|
|
|
36.7 |
% |
Total Mortgage Assets |
|
$ |
4,414,524 |
|
|
|
100.0 |
% |
Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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Percentage |
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Fair |
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of |
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||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of May 31, 2024 |
|
|
|
|
|
|
|
|
Non-Whole Pool Assets |
|
$ |
133,198 |
|
|
|
3.0 |
% |
Whole Pool Assets |
|
|
4,281,326 |
|
|
|
97.0 |
% |
Total Mortgage Assets |
|
$ |
4,414,524 |
|
|
|
100.0 |
% |
Borrowings By Counterparty |
|
|
|
|
|
|
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|
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($ in thousands) |
|
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|
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|
|
Weighted |
|
|
Weighted |
|
|
||
|
|
|
|
|
|
% of |
|
|
Average |
|
|
Average |
|
|
|||
|
|
Total |
|
|
Total |
|
|
Repo |
|
|
Maturity |
|
Longest |
||||
As of May 31, 2024 |
|
Borrowings |
|
|
Debt |
|
|
Rate |
|
|
in Days |
|
Maturity |
||||
RBC Capital Markets, LLC |
|
$ |
269,405 |
|
|
|
6.8 |
% |
|
|
5.46 |
% |
|
|
13 |
|
6/13/2024 |
J.P. Morgan Securities LLC |
|
|
246,914 |
|
|
|
6.2 |
% |
|
|
5.46 |
% |
|
|
6 |
|
6/24/2024 |
Banco Santander SA |
|
|
244,038 |
|
|
|
6.1 |
% |
|
|
5.46 |
% |
|
|
30 |
|
7/22/2024 |
Cantor Fitzgerald & Co |
|
|
240,022 |
|
|
|
6.0 |
% |
|
|
5.45 |
% |
|
|
45 |
|
7/15/2024 |
DV Securities, LLC Repo |
|
|
226,883 |
|
|
|
5.7 |
% |
|
|
5.45 |
% |
|
|
43 |
|
7/15/2024 |
Marex Capital Markets Inc. |
|
|
219,708 |
|
|
|
5.5 |
% |
|
|
5.45 |
% |
|
|
15 |
|
6/17/2024 |
ABN AMRO Bank N.V. |
|
|
218,149 |
|
|
|
5.5 |
% |
|
|
5.46 |
% |
|
|
30 |
|
8/29/2024 |
ASL Capital Markets Inc. |
|
|
213,654 |
|
|
|
5.4 |
% |
|
|
5.44 |
% |
|
|
47 |
|
7/29/2024 |
Bank of Montreal |
|
|
206,351 |
|
|
|
5.2 |
% |
|
|
5.45 |
% |
|
|
13 |
|
6/13/2024 |
Mitsubishi UFJ Securities ( |
|
|
206,193 |
|
|
|
5.2 |
% |
|
|
5.47 |
% |
|
|
61 |
|
8/29/2024 |
Wells Fargo Bank, N.A. |
|
|
200,100 |
|
|
|
5.0 |
% |
|
|
5.46 |
% |
|
|
45 |
|
7/15/2024 |
Citigroup Global Markets Inc |
|
|
197,910 |
|
|
|
5.0 |
% |
|
|
5.45 |
% |
|
|
24 |
|
6/24/2024 |
Mirae Asset Securities ( |
|
|
189,441 |
|
|
|
4.8 |
% |
|
|
5.46 |
% |
|
|
20 |
|
6/24/2024 |
Merrill Lynch, Pierce, Fenner & Smith |
|
|
185,916 |
|
|
|
4.7 |
% |
|
|
5.48 |
% |
|
|
14 |
|
6/27/2024 |
Daiwa Securities America Inc. |
|
|
165,971 |
|
|
|
4.2 |
% |
|
|
5.45 |
% |
|
|
24 |
|
6/24/2024 |
StoneX Financial Inc. |
|
|
159,516 |
|
|
|
4.0 |
% |
|
|
5.46 |
% |
|
|
46 |
|
7/16/2024 |
Goldman, Sachs & Co |
|
|
150,734 |
|
|
|
3.8 |
% |
|
|
5.44 |
% |
|
|
20 |
|
6/20/2024 |
South Street Securities, LLC |
|
|
150,292 |
|
|
|
3.8 |
% |
|
|
5.45 |
% |
|
|
48 |
|
8/13/2024 |
Clear Street LLC |
|
|
149,939 |
|
|
|
3.8 |
% |
|
|
5.45 |
% |
|
|
37 |
|
7/15/2024 |
ING Financial Markets LLC |
|
|
124,310 |
|
|
|
3.1 |
% |
|
|
5.46 |
% |
|
|
13 |
|
6/13/2024 |
Lucid Cash Fund USG LLC |
|
|
16,896 |
|
|
|
0.4 |
% |
|
|
5.46 |
% |
|
|
13 |
|
6/13/2024 |
Total Borrowings |
|
$ |
3,982,342 |
|
|
|
100.0 |
% |
|
|
5.46 |
% |
|
|
29 |
|
8/29/2024 |
View source version on businesswire.com: https://www.businesswire.com/news/home/20240611851647/en/
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
Source: Orchid Island Capital, Inc.
