Orchid Island Capital Announces Estimated Second Quarter 2024 Results, July 2024 Monthly Dividend and June 30, 2024 RMBS Portfolio Characteristics
-
July 2024 Monthly Dividend of$0.12 Per Share of Common Stock -
Estimated Book Value Per Share as of
June 30, 2024 of$8.58 -
Estimated GAAP net loss of
$0.09 per share for the quarter endedJune 30, 2024 , including an estimated$0.1 million of net realized and unrealized gains on RMBS and derivative instruments -
Estimated (2.0)% total return on equity for the quarter ended
June 30, 2024 - Estimated book value, net loss and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
-
RMBS Portfolio Characteristics as of
June 30, 2024 -
Next Dividend Announcement Expected
August 14, 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
Estimated
The Company’s estimated book value per share as of
Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net loss per share of
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter ended
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of
- 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
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
RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
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Realized |
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Apr-24 - |
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Jun-24 |
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Jun-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 July) |
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in July) |
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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 |
|
$ |
1,344,063 |
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|
$ |
1,163,056 |
|
|
|
25.70 |
% |
|
|
86.53 |
|
|
|
3.00 |
% |
|
|
3.46 |
% |
|
|
39 |
|
|
|
315 |
|
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5.4 |
% |
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5.5 |
% |
|
$ |
36,664 |
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|
$ |
(37,298 |
) |
30yr 3.5 |
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|
185,861 |
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|
|
167,726 |
|
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3.71 |
% |
|
|
90.24 |
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|
|
3.50 |
% |
|
|
4.04 |
% |
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|
52 |
|
|
|
296 |
|
|
|
9.8 |
% |
|
|
8.6 |
% |
|
|
4,725 |
|
|
|
(4,792 |
) |
30yr 4.0 |
|
|
545,532 |
|
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|
502,031 |
|
|
|
11.09 |
% |
|
|
92.03 |
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|
|
4.00 |
% |
|
|
4.78 |
% |
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|
29 |
|
|
|
327 |
|
|
|
4.8 |
% |
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|
4.3 |
% |
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|
12,984 |
|
|
|
(13,772 |
) |
30yr 4.5 |
|
|
322,297 |
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|
305,678 |
|
|
|
6.75 |
% |
|
|
94.84 |
|
|
|
4.50 |
% |
|
|
5.45 |
% |
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|
24 |
|
|
|
333 |
|
|
|
15.3 |
% |
|
|
13.0 |
% |
|
|
6,432 |
|
|
|
(6,940 |
) |
30yr 5.0 |
|
|
533,332 |
|
|
|
517,506 |
|
|
|
11.43 |
% |
|
|
97.03 |
|
|
|
5.00 |
% |
|
|
5.93 |
% |
|
|
22 |
|
|
|
334 |
|
|
|
15.8 |
% |
|
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9.5 |
% |
|
|
10,381 |
|
|
|
(11,385 |
) |
30yr 5.5 |
|
|
263,728 |
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|
|
262,431 |
|
|
|
5.80 |
% |
|
|
99.51 |
|
|
|
5.50 |
% |
|
|
6.43 |
% |
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|
15 |
|
|
|
342 |
|
|
|
2.9 |
% |
|
|
6.7 |
% |
|
|
4,731 |
|
|
|
(5,306 |
) |
30yr 6.0 |
|
|
617,207 |
|
|
|
622,737 |
|
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13.76 |
% |
|
|
100.90 |
|
|
|
6.00 |
% |
|
|
6.98 |
% |
|
|
11 |
|
|
|
344 |
|
|
|
6.9 |
% |
|
|
11.5 |
% |
|
|
8,768 |
|
|
|
(10,054 |
) |
30yr 6.5 |
|
|
620,611 |
|
|
|
635,540 |
|
|
|
14.04 |
% |
|
|
102.41 |
|
|
|
6.50 |
% |
|
|
7.42 |
% |
|
|
8 |
|
|
|
350 |
|
|
|
9.4 |
% |
|
|
7.2 |
% |
|
|
6,818 |
|
|
|
(8,068 |
) |
30yr 7.0 |
|
|
320,972 |
|
|
|
332,378 |
|
|
|
7.34 |
% |
|
|
103.55 |
|
|
|
7.00 |
% |
|
|
7.95 |
% |
|
|
8 |
|
|
|
347 |
|
|
|
12.4 |
% |
|
|
12.4 |
% |
|
|
2,780 |
|
|
|
(3,359 |
) |
30yr Total |
|
|
4,753,603 |
|
|
|
4,509,083 |
|
|
|
99.63 |
% |
|
|
94.86 |
|
|
|
4.72 |
% |
|
|
5.49 |
% |
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|
24 |
|
|
|
331 |
|
|
|
8.4 |
% |
|
|
7.6 |
% |
|
|
94,283 |
|
|
|
(100,974 |
) |
Total Pass Through RMBS |
|
|
4,753,603 |
|
|
|
4,509,083 |
|
|
|
99.63 |
% |
|
|
94.86 |
|
|
|
4.72 |
% |
|
|
5.49 |
% |
|
|
24 |
|
|
|
331 |
|
|
|
8.4 |
% |
|
|
7.6 |
% |
|
|
94,283 |
|
|
|
(100,974 |
) |
Structured RMBS |
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|
|
IO 20yr 4.0 |
|
|
7,890 |
|
|
|
763 |
|
|
|
0.02 |
% |
|
|
9.67 |
|
|
|
4.00 |
% |
|
|
4.57 |
% |
|
|
150 |
|
|
|
84 |
|
|
|
11.0 |
% |
|
|
10.4 |
% |
|
|
4 |
|
|
|
(3 |
) |
IO 30yr 3.0 |
|
|
2,722 |
|
|
|
373 |
|
|
|
0.01 |
% |
|
|
13.70 |
|
|
|
3.00 |
% |
|
|
3.64 |
% |
|
|
113 |
|
|
|
237 |
|
|
|
0.7 |
% |
|
|
6.9 |
% |
|
|
1 |
|
|
|
(1 |
) |
IO 30yr 4.0 |
|
|
76,265 |
|
|
|
14,285 |
|
|
|
0.32 |
% |
|
|
18.73 |
|
|
|
4.00 |
% |
|
|
4.60 |
% |
|
|
118 |
|
|
|
233 |
|
|
|
9.3 |
% |
|
|
7.9 |
% |
|
|
(193 |
) |
|
|
173 |
|
IO 30yr 4.5 |
|
|
3,302 |
|
|
|
642 |
|
|
|
0.01 |
% |
|
|
19.45 |
|
|
|
4.50 |
% |
|
|
4.99 |
% |
|
|
168 |
|
|
|
178 |
|
|
|
3.2 |
% |
|
|
5.0 |
% |
|
|
(2 |
) |
|
|
1 |
|
IO 30yr 5.0 |
|
|
1,827 |
|
|
|
384 |
|
|
|
0.01 |
% |
|
|
21.04 |
|
|
|
5.00 |
% |
|
|
5.36 |
% |
|
|
168 |
|
|
|
180 |
|
|
|
31.3 |
% |
|
|
12.3 |
% |
|
|
(3 |
) |
|
|
2 |
|
IO Total |
|
|
92,006 |
|
|
|
16,447 |
|
|
|
0.36 |
% |
|
|
17.88 |
|
|
|
4.01 |
% |
|
|
4.60 |
% |
|
|
123 |
|
|
|
217 |
|
|
|
9.4 |
% |
|
|
8.1 |
% |
|
|
(193 |
) |
|
|
172 |
|
IIO 30yr 4.0 |
|
|
25,049 |
|
|
|
224 |
|
|
|
0.00 |
% |
|
|
0.90 |
|
|
|
0.00 |
% |
|
|
4.40 |
% |
|
|
81 |
|
|
|
267 |
|
|
|
7.8 |
% |
|
|
3.3 |
% |
|
|
79 |
|
|
|
(62 |
) |
Total Structured RMBS |
|
|
117,055 |
|
|
|
16,671 |
|
|
|
0.37 |
% |
|
|
14.24 |
|
|
|
3.15 |
% |
|
|
4.55 |
% |
|
|
114 |
|
|
|
228 |
|
|
|
9.0 |
% |
|
|
7.1 |
% |
|
|
(114 |
) |
|
|
110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Assets |
|
$ |
4,870,658 |
|
|
$ |
4,525,754 |
|
|
|
100.00 |
% |
|
|
|
|
|
|
4.68 |
% |
|
|
5.47 |
% |
|
|
26 |
|
|
|
329 |
|
|
|
8.4 |
% |
|
|
7.6 |
% |
|
$ |
94,169 |
|
|
$ |
(100,864 |
) |
|
|
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 |
) |
Sep-24 |
|
|
(8,616 |
) |
|
|
8,353 |
|
Swaps |
|
|
(3,136,800 |
) |
Jul-30 |
|
|
(80,573 |
) |
|
|
77,666 |
|
TBA |
|
|
(400,000 |
) |
Jul-24 |
|
|
(11,206 |
) |
|
|
11,479 |
|
Swaptions |
|
|
(9,400 |
) |
Sep-24 |
|
|
(83 |
) |
|
|
53 |
|
Hedge Total |
|
$ |
(4,067,700 |
) |
|
|
$ |
(101,228 |
) |
|
$ |
98,301 |
|
Rate Shock Grand Total |
|
|
|
|
|
|
$ |
(7,059 |
) |
|
$ |
(2,563 |
) |
(1) |
Modeled results from |
|
(2) |
Five-year |
RMBS Assets by Agency |
|
|
|
|
|
|
|
|
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
Fair |
|
|
of |
|
||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of |
|
|
|
|
|
|
|
|
Fannie Mae |
|
$ |
2,906,690 |
|
|
|
64.2 |
% |
Freddie Mac |
|
|
1,619,064 |
|
|
|
35.8 |
% |
Total Mortgage Assets |
|
$ |
4,525,754 |
|
|
|
100.0 |
% |
Investment Company Act of 1940 Whole Pool Test |
|
|||||||
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
Fair |
|
|
of |
|
||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of |
|
|
|
|
|
|
|
|
Non-Whole Pool Assets |
|
$ |
133,303 |
|
|
|
2.9 |
% |
Whole Pool Assets |
|
|
4,392,451 |
|
|
|
97.1 |
% |
Total Mortgage Assets |
|
$ |
4,525,754 |
|
|
|
100.0 |
% |
Borrowings By Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
Weighted |
|
|
||
|
|
|
|
|
|
% of |
|
|
Average |
|
|
Average |
|
|
|||
|
|
Total |
|
|
Total |
|
|
Repo |
|
|
Maturity |
|
Longest |
||||
As of |
|
Borrowings |
|
|
Debt |
|
|
Rate |
|
|
in Days |
|
Maturity |
||||
ABN AMRO Bank N.V. |
|
$ |
292,120 |
|
|
|
6.7 |
% |
|
|
5.45 |
% |
|
|
40 |
|
|
DV Securities, LLC Repo |
|
|
276,688 |
|
|
|
6.4 |
% |
|
|
5.45 |
% |
|
|
28 |
|
|
|
|
|
264,103 |
|
|
|
6.1 |
% |
|
|
5.47 |
% |
|
|
33 |
|
|
|
|
|
248,837 |
|
|
|
5.7 |
% |
|
|
5.46 |
% |
|
|
8 |
|
|
|
|
|
245,795 |
|
|
|
5.7 |
% |
|
|
5.46 |
% |
|
|
14 |
|
|
Banco Santander SA |
|
|
244,119 |
|
|
|
5.6 |
% |
|
|
5.47 |
% |
|
|
36 |
|
|
|
|
|
243,766 |
|
|
|
5.6 |
% |
|
|
5.45 |
% |
|
|
22 |
|
|
|
|
|
240,022 |
|
|
|
5.5 |
% |
|
|
5.45 |
% |
|
|
15 |
|
|
|
|
|
230,733 |
|
|
|
5.3 |
% |
|
|
5.47 |
% |
|
|
15 |
|
|
|
|
|
220,831 |
|
|
|
5.1 |
% |
|
|
5.45 |
% |
|
|
50 |
|
|
|
|
|
213,654 |
|
|
|
4.9 |
% |
|
|
5.44 |
% |
|
|
17 |
|
|
|
|
|
207,923 |
|
|
|
4.8 |
% |
|
|
5.46 |
% |
|
|
15 |
|
|
Bank of Montreal |
|
|
206,039 |
|
|
|
4.7 |
% |
|
|
5.47 |
% |
|
|
15 |
|
|
|
|
|
190,252 |
|
|
|
4.4 |
% |
|
|
5.46 |
% |
|
|
40 |
|
|
|
|
|
189,247 |
|
|
|
4.4 |
% |
|
|
5.47 |
% |
|
|
64 |
|
|
Merrill Lynch, Pierce, Fenner & Smith |
|
|
187,004 |
|
|
|
4.3 |
% |
|
|
5.48 |
% |
|
|
15 |
|
|
|
|
|
169,261 |
|
|
|
3.9 |
% |
|
|
5.47 |
% |
|
|
54 |
|
|
|
|
|
159,516 |
|
|
|
3.7 |
% |
|
|
5.46 |
% |
|
|
16 |
|
|
|
|
|
150,210 |
|
|
|
3.5 |
% |
|
|
5.46 |
% |
|
|
65 |
|
|
|
|
|
124,998 |
|
|
|
2.9 |
% |
|
|
5.47 |
% |
|
|
32 |
|
|
|
|
|
23,454 |
|
|
|
0.5 |
% |
|
|
5.46 |
% |
|
|
18 |
|
|
|
|
|
17,132 |
|
|
|
0.4 |
% |
|
|
5.47 |
% |
|
|
18 |
|
|
Total Borrowings |
|
$ |
4,345,704 |
|
|
|
100.0 |
% |
|
|
5.46 |
% |
|
|
29 |
|
|
View source version on businesswire.com: https://www.businesswire.com/news/home/20240710332037/en/
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