Orchid Island Capital Inc

NYSE:ORCUnited States

Apr 10, 2024

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• Orchid Island Capital Announces Estimated First Quarter 2024 Results, April 2024 Monthly Dividend and March 31, 2024 RMBS Portfolio Characteristics, from 4:10PM ET on Wednesday Apr 10, 2024 by Business Wire

  4:10PM ET on Wednesday Apr 10, 2024 by Business Wire
  Companies Mentioned: ORC

  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 April 2024. The dividend of $0.12 per share will be paid May 30, 2024 to holders of record of the Company's common stock on April 30, 2024, with an ex-dividend date of April 29, 2024. The Company plans on announcing its next common stock dividend on May 8, 2024.

• Orchid Island Capital Announces Estimated First Quarter 2024 Results, April 2024 Monthly Dividend and March 31, 2024 RMBS Portfolio Characteristics, from 4:10PM ET on Wednesday Apr 10, 2024 by Dow Jones

  4:10PM ET on Wednesday Apr 10, 2024 by Dow Jones
  Companies Mentioned: ORC
  IO 20yr 4.0 8,320 822 0.02% 9.88 4.00% 4.57% 147 86 6.4% 8.1% 5 (4) IO 30yr 3.0 2,798 378 0.01% 13.50 3.00% 3.63% 110 241 2.2% 18.1% 1 (1) IO 30yr 4.0 78,587 14,069 0.36% 17.90 4.00% 4.60% 115 236 5.4% 6.2% (187) 144 IO 30yr 4.5 3,385 665 0.02% 19.65 4.50% 4.99% 165 181 6.5% 5.3% (3) 1 IO 30yr 5.0 1,851 392 0.01% 21.17 5.00% 5.36% 165 183 1.1% 1.8% (5) 3 ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- ------- IO Total 94,941 16,326 0.42% 17.20 4.01% 4.60% 120 220 5.3% 6.6% (190) 142 ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- ------- IIO 30yr 4.0 25,768 247 0.01% 0.96 0.00% 4.40% 78 270 1.6% 3.4% 87 (70) ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- ------- Total Structured RMBS 120,709 16,573 0.43% 13.73 3.15% 4.55% 111 231 4.5% 5.9% (103) 72 ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- ------- Total Mortgage Assets $4,219,820 $3,881,078 100.00% 4.34% 5.10% 27 328 6.5% 6.0% $ 85,163 $ (91,658) ================== ========= ========= ========= ======= ======== ==== === ======== ========= ========= ======== ======= Average Hedge Modeled Interest 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) Jun-24 (8,556) 8,423 10-Year Treasury Future(3) (320,000) Jun-24 (10,360) 10,006 Swaps (2,531,800) Dec-29 (62,066) 59,907 TBA (370,700) Apr-24 (10,045) 10,490 Swaptions (809,400) May-24 (169) 508 ------------ ---------- ------ --- -------- ------- Hedge Total $(4,553,400) $ (91,946) $ 90,084 ============ ========== ====== === ======== ======= Rate Shock Grand Total $ (6,783) $ (1,574) ============ ========== ====== === ======== ======= (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 $107.02 at March 31, 2024. The market value of the short position was $451.1 million. (3) Ten-year Treasury futures contracts were valued at prices of $110.80 at March 31, 2024. The market value of the short position was $354.6 million. RMBS Assets by Agency ($ in thousands) ---------------------- --------- ---------- Percentage Fair of Asset Category Value Portfolio ---------------------- ---------- ---------- As of March 31, 2024 Fannie Mae $2,719,139 70.1% Freddie Mac 1,161,939 29.9% ----------------------- --------- ---------- Total Mortgage Assets $3,881,078 100.0% ======================= ========= ========== Investment Company Act of 1940 Whole Pool Test ($ in thousands) ---------------------------- ----------- ---------- Percentage Fair of Asset Category Value Portfolio ---------------------------- --------------- ---------- As of March 31, 2024 Non-Whole Pool Assets $ 137,811 3.6% Whole Pool Assets 3,743,267 96.4% ----------------------------- ----------- ---------- Total Mortgage Assets $ 3,881,078 100.0% ============================= =========== ========== Borrowings By Counterparty ($ in thousands) ----------------- --------- ------ -------- -------- --------- Weighted Weighted % of Average Average Total Total Repo Maturity Longest As of March 31, 2024 Borrowings Debt Rate in Days Maturity ----------------- ---------- ------ -------- -------- --------- RBC Capital Markets, LLC $ 290,315 7.8% 5.46% 11 4/11/2024 ASL Capital Markets Inc. 265,535 7.2% 5.43% 33 7/15/2024 Mitsubishi UFJ Securities (USA), Inc 255,330 6.9% 5.47% 12 4/26/2024 J.P. Morgan Securities LLC 252,936 6.8% 5.46% 22 4/22/2024 Citigroup Global Markets Inc 243,960 6.6% 5.46% 24 4/24/2024 Cantor Fitzgerald & Co 224,172 6.0% 5.46% 11 4/11/2024 ABN AMRO Bank N.V. 223,932 6.0% 5.46% 25 5/31/2024 Wells Fargo Bank, N.A. 204,977 5.5% 5.45% 19 4/19/2024 Mirae Asset Securities (USA) Inc. 193,164 5.2% 5.46% 26 6/18/2024 Merrill Lynch, Pierce, Fenner & Smith 191,904 5.2% 5.47% 15 4/26/2024 Daiwa Securities America Inc. 175,179 4.7% 5.47% 24 4/24/2024 Bank of Montreal 164,564 4.4% 5.46% 11 4/11/2024 StoneX Financial Inc. 163,354 4.4% 5.46% 16 4/16/2024 Marex Capital Markets Inc. 156,953 4.2% 5.46% 20 4/26/2024 Goldman, Sachs & Co 154,197 4.2% 5.46% 18 4/18/2024 Banco Santander SA 150,450 4.1% 5.47% 19 4/22/2024 ING Financial Markets LLC 124,790 3.4% 5.47% 22 4/22/2024 DV Securities, LLC Repo 112,001 3.0% 5.46% 40 5/14/2024 South Street Securities, LLC 101,890 2.7% 5.46% 54 5/28/2024 Clear Street LLC 44,558 1.2% 5.45% 37 5/13/2024 Lucid Cash Fund USG LLC 17,337 0.5% 5.46% 18 4/18/2024 ------------------ --------- ------ -------- -------- --------- Total Borrowings $3,711,498 100.0% 5.46% 21 7/15/2024 ================== ========= ====== ======== ======== =========