Orchid Island Capital Announces Estimated Fourth Quarter 2023 Results, January 2024 Monthly Dividend and December 31, 2023 RMBS Portfolio Characteristics
- Monthly cash dividend declared for January 2024
- Stable estimated book value per share
- Positive estimated GAAP net income for the quarter
- Positive estimated total return on equity for the quarter
- Stable number of shares of common stock outstanding
- None.
Insights
Orchid Island Capital's disclosure of a monthly dividend of $0.12 per share, along with an estimated book value per share of $9.10 and a GAAP net income of $0.52 per share for the quarter, is a significant indicator of the company's financial health. The reported 6.1% total return on equity is a critical metric for shareholders, as it reflects the efficiency with which the company is utilizing its equity base to generate profits. This figure is particularly noteworthy when juxtaposed against industry benchmarks, which often vary based on market conditions and the specific segment of the real estate sector in which a REIT operates.
Furthermore, the net realized and unrealized gains on RMBS (Residential Mortgage-Backed Securities) and derivative instruments suggest active portfolio management and potentially favorable market conditions for these assets. Given the complex nature of RMBS and associated derivatives, the company's ability to realize gains in this area could be indicative of a robust risk management strategy and adept market timing, although the inherent volatility of these instruments means that such gains are not guaranteed to recur.
Investors should consider the implications of the company's preliminary figures in the context of broader market trends, including interest rate forecasts and housing market dynamics, which can significantly influence the performance of RMBS portfolios. Additionally, the company's compliance with REIT distribution requirements to avoid income and excise taxes is a crucial factor in maintaining its tax-advantaged status, which directly impacts shareholder returns.
The real estate investment trust (REIT) market is sensitive to interest rate movements and Orchid Island Capital's performance must be analyzed with an understanding of the current economic environment. The estimated increase in book value per share and the gains on RMBS and derivative instruments could signal a favorable market reception to the company's asset management strategies. However, given that these figures are preliminary and subject to audit, investors should approach these results with caution until they are finalized.
The company's repurchase agreement exposure and RMBS risk measures provide insight into the company's leverage and risk profile. A diversified counterparty exposure minimizes the risk of significant losses due to the failure of a single counterparty, which is a positive sign for risk-averse investors. Additionally, the Investment Company Act of 1940 (Whole Pool) test results will be important for compliance and regulatory considerations, which can have material implications for the company's operational flexibility.
Investors should monitor the upcoming dividend announcement and any revisions to the preliminary figures, as these will provide a clearer picture of the company's financial trajectory and strategic direction. The company's ability to maintain regular monthly cash distributions is a key factor in its attractiveness to income-focused investors.
The tax implications of Orchid Island Capital's financial activities are paramount for understanding the potential net returns to investors. As a REIT, the company must adhere to distribution requirements to maintain its tax-advantaged status, which involves distributing at least 90% of its REIT taxable income. The distinction between GAAP net income and REIT taxable income is critical, as it affects the amount of income that can be distributed as dividends without incurring corporate income tax or excise tax penalties.
Investors should be cognizant of the fact that the company's ability to continue making distributions is not guaranteed, as indicated by the absence of a minimum distribution payment level. This introduces an element of uncertainty regarding future dividend payments, which could be a concern for investors relying on consistent income streams.
The preliminary nature of the financials, subject to change and independent audit, adds a layer of uncertainty. Investors should await the finalized figures to fully assess the tax implications of the company's earnings and distributions. The company's performance relative to REIT industry norms, such as the average dividend yield and payout ratios, will also be vital in evaluating its competitiveness within the sector.
-
January 2024 Monthly Dividend of
$0.12 -
Estimated Book Value Per Share as of December 31, 2023 of
$9.10 -
Estimated GAAP net income of
$0.52 $0.65 -
Estimated
6.1% total return on equity for the quarter - Estimated book value, net income 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 December 31, 2023
- Next Dividend Announcement Expected February 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
As of January 10, 2024, the Company had 51,303,301 shares of common stock outstanding. As of December 31, 2023, the Company had 51,636,074 shares outstanding. As of September 30, 2023, the Company had 52,332,306 shares of common stock outstanding.
Estimated December 31, 2023 Book Value Per Share
The Company’s estimated book value per share as of December 31, 2023 was
Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net income per share of
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter ended December 31, 2023 was
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of December 31, 2023 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended December 31, 2023, are subject to review by the Company's independent registered public accounting firm:
- 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, 2022.
RMBS Valuation Characteristics |
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Realized |
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Realized |
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Oct-23 - |
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Dec-23 |
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Dec-23 |
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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 Jan) |
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in Jan) |
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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 |
|
|
1,397,684 |
|
|
|
1,254,194 |
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|
|
32.21 |
% |
|
|
89.73 |
|
|
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3.00 |
% |
|
|
3.46 |
% |
|
|
33 |
|
|
|
322 |
|
|
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4.1 |
% |
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4.9 |
% |
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39,039 |
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(39,468 |
) |
30yr 3.5 |
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194,229 |
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|
182,008 |
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4.67 |
% |
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|
93.71 |
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|
|
3.50 |
% |
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4.04 |
% |
|
|
46 |
|
|
|
303 |
|
|
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4.4 |
% |
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7.1 |
% |
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5,100 |
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(5,147 |
) |
30yr 4.0 |
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562,107 |
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533,974 |
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13.71 |
% |
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95.00 |
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4.00 |
% |
|
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4.78 |
% |
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|
23 |
|
|
|
334 |
|
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2.0 |
% |
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3.0 |
% |
|
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13,626 |
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|
(14,488 |
) |
30yr 4.5 |
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|
341,313 |
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|
332,168 |
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8.53 |
% |
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|
97.32 |
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|
|
4.50 |
% |
|
|
5.45 |
% |
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|
18 |
|
|
|
340 |
|
|
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7.2 |
% |
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6.7 |
% |
|
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6,793 |
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|
(7,445 |
) |
30yr 5.0 |
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|
552,620 |
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|
549,324 |
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14.11 |
% |
|
|
99.40 |
|
|
|
5.00 |
% |
|
|
5.93 |
% |
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|
16 |
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|
|
341 |
|
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4.5 |
% |
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3.6 |
% |
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10,329 |
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(11,709 |
) |
30yr 5.5 |
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271,469 |
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275,465 |
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7.07 |
% |
|
|
101.47 |
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5.50 |
% |
|
|
6.43 |
% |
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9 |
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|
350 |
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0.6 |
% |
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4.5 |
% |
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4,246 |
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(5,093 |
) |
30yr 6.0 |
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321,521 |
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327,820 |
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8.42 |
% |
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101.96 |
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6.00 |
% |
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6.99 |
% |
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9 |
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|
346 |
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8.0 |
% |
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9.2 |
% |
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3,768 |
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(4,616 |
) |
30yr 6.5 |
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|
335,505 |
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344,680 |
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8.85 |
% |
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|
102.73 |
|
|
|
6.50 |
% |
|
|
7.39 |
% |
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|
5 |
|
|
|
352 |
|
|
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9.6 |
% |
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|
9.1 |
% |
|
|
2,785 |
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|
|
(3,602 |
) |
30yr 7.0 |
|
|
74,697 |
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|
77,449 |
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1.99 |
% |
|
|
103.68 |
|
|
|
7.00 |
% |
|
|
7.94 |
% |
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3 |
|
|
|
356 |
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|
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0.8 |
% |
|
|
n/a |
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|
534 |
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(652 |
) |
Total Pass Through RMBS |
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4,051,145 |
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|
3,877,082 |
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99.57 |
% |
|
|
95.70 |
|
|
|
4.33 |
% |
|
|
5.06 |
% |
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|
22 |
|
|
|
334 |
|
|
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4.6 |
% |
|
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5.4 |
% |
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|
86,220 |
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|
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(92,220 |
) |
Structured RMBS |
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IO 20yr 4.0 |
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|
8,771 |
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|
882 |
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0.02 |
% |
|
|
10.06 |
|
|
|
4.00 |
% |
|
|
4.57 |
% |
|
|
144 |
|
|
|
89 |
|
|
|
11.1 |
% |
|
|
9.6 |
% |
|
|
5 |
|
|
|
(5 |
) |
IO 30yr 3.0 |
|
|
2,963 |
|
|
|
359 |
|
|
|
0.01 |
% |
|
|
12.13 |
|
|
|
3.00 |
% |
|
|
3.64 |
% |
|
|
107 |
|
|
|
241 |
|
|
|
0.8 |
% |
|
|
0.8 |
% |
|
|
- |
|
|
|
- |
|
IO 30yr 4.0 |
|
|
81,439 |
|
|
|
14,263 |
|
|
|
0.37 |
% |
|
|
17.51 |
|
|
|
4.00 |
% |
|
|
4.60 |
% |
|
|
112 |
|
|
|
239 |
|
|
|
12.2 |
% |
|
|
8.3 |
% |
|
|
(293 |
) |
|
|
224 |
|
IO 30yr 4.5 |
|
|
3,487 |
|
|
|
674 |
|
|
|
0.02 |
% |
|
|
19.34 |
|
|
|
4.50 |
% |
|
|
4.99 |
% |
|
|
162 |
|
|
|
185 |
|
|
|
8.8 |
% |
|
|
6.8 |
% |
|
|
(6 |
) |
|
|
3 |
|
IO 30yr 5.0 |
|
|
1,894 |
|
|
|
394 |
|
|
|
0.01 |
% |
|
|
20.80 |
|
|
|
5.00 |
% |
|
|
5.36 |
% |
|
|
162 |
|
|
|
186 |
|
|
|
10.0 |
% |
|
|
9.6 |
% |
|
|
(7 |
) |
|
|
5 |
|
IO Total |
|
|
98,554 |
|
|
|
16,572 |
|
|
|
0.43 |
% |
|
|
16.82 |
|
|
|
4.01 |
% |
|
|
4.60 |
% |
|
|
118 |
|
|
|
223 |
|
|
|
11.6 |
% |
|
|
8.1 |
% |
|
|
(302 |
) |
|
|
228 |
|
IIO 30yr 4.0 |
|
|
26,776 |
|
|
|
358 |
|
|
|
0.01 |
% |
|
|
1.34 |
|
|
|
0.00 |
% |
|
|
4.40 |
% |
|
|
75 |
|
|
|
274 |
|
|
|
1.8 |
% |
|
|
6.9 |
% |
|
|
105 |
|
|
|
(87 |
) |
Total Structured RMBS |
|
|
125,330 |
|
|
|
16,930 |
|
|
|
0.43 |
% |
|
|
13.51 |
|
|
|
3.15 |
% |
|
|
4.55 |
% |
|
|
109 |
|
|
|
234 |
|
|
|
9.5 |
% |
|
|
7.9 |
% |
|
|
(197 |
) |
|
|
141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Assets |
|
$ |
4,176,475 |
|
|
$ |
3,894,012 |
|
|
|
100.00 |
% |
|
|
|
|
|
|
4.30 |
% |
|
|
5.05 |
% |
|
|
25 |
|
|
|
331 |
|
|
|
4.8 |
% |
|
|
5.5 |
% |
|
$ |
86,023 |
|
|
$ |
(92,079 |
) |
|
|
Average |
|
Hedge |
|
Modeled Interest |
|
||||||
|
|
Notional |
|
Period |
|
Rate Sensitivity (1) |
|
||||||
Hedge |
|
Balance |
|
End |
|
(-50 BPS) |
|
|
(+50 BPS) |
|
|||
3-Month SOFR Futures |
|
$ |
(100,000 |
) |
May-25 |
|
$ |
(1,000 |
) |
|
$ |
1,000 |
|
5-Year Treasury Future(2) |
|
|
(471,500 |
) |
Mar-24 |
|
|
(8,818 |
) |
|
|
8,686 |
|
10-Year Treasury Future(3) |
|
|
(470,000 |
) |
Mar-24 |
|
|
(10,339 |
) |
|
|
10,036 |
|
Swaps |
|
|
(2,326,500 |
) |
Nov-29 |
|
|
(59,619 |
) |
|
|
57,475 |
|
TBA |
|
|
(645,700 |
) |
Jan-24 |
|
|
(10,822 |
) |
|
|
12,804 |
|
Swaptions |
|
|
(800,000 |
) |
May-24 |
|
|
(61 |
) |
|
|
365 |
|
Hedge Total |
|
$ |
(4,813,700 |
) |
|
|
$ |
(90,659 |
) |
|
$ |
90,366 |
|
Rate Shock Grand Total |
|
|
|
|
|
|
$ |
(4,636 |
) |
|
$ |
(1,713 |
) |
(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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|
|
|
|
|
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($ in thousands) |
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Percentage |
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|
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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 December 31, 2023 |
|
|
|
|
|
|
|
|
Fannie Mae |
|
$ |
2,714,192 |
|
|
|
69.7 |
% |
Freddie Mac |
|
|
1,179,820 |
|
|
|
30.3 |
% |
Total Mortgage Assets |
|
$ |
3,894,012 |
|
|
|
100.0 |
% |
Investment Company Act of 1940 Whole Pool Test |
|
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($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
Fair |
|
|
of |
|
||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of December 31, 2023 |
|
|
|
|
|
|
|
|
Non-Whole Pool Assets |
|
$ |
142,646 |
|
|
|
3.7 |
% |
Whole Pool Assets |
|
|
3,751,366 |
|
|
|
96.3 |
% |
Total Mortgage Assets |
|
$ |
3,894,012 |
|
|
|
100.0 |
% |
Borrowings By Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands) |
|
|
|
|
|
|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
Weighted |
|
|
||
|
|
|
|
|
|
% of |
|
|
Average |
|
|
Average |
|
|
|||
|
|
Total |
|
|
Total |
|
|
Repo |
|
|
Maturity |
|
Longest |
||||
As of December 31, 2023 |
|
Borrowings |
|
|
Debt |
|
|
Rate |
|
|
in Days |
|
Maturity |
||||
RBC Capital Markets, LLC |
|
$ |
300,275 |
|
|
|
8.1 |
% |
|
|
5.54 |
% |
|
|
16 |
|
1/17/2024 |
Citigroup Global Markets Inc |
|
|
298,549 |
|
|
|
8.1 |
% |
|
|
5.55 |
% |
|
|
26 |
|
1/26/2024 |
Mitsubishi UFJ Securities ( |
|
|
284,167 |
|
|
|
7.7 |
% |
|
|
5.57 |
% |
|
|
22 |
|
1/29/2024 |
J.P. Morgan Securities LLC |
|
|
266,958 |
|
|
|
7.2 |
% |
|
|
5.54 |
% |
|
|
18 |
|
1/18/2024 |
Cantor Fitzgerald & Co |
|
|
257,999 |
|
|
|
7.0 |
% |
|
|
5.54 |
% |
|
|
44 |
|
2/13/2024 |
ASL Capital Markets Inc. |
|
|
244,611 |
|
|
|
6.6 |
% |
|
|
5.54 |
% |
|
|
17 |
|
1/29/2024 |
Wells Fargo Bank, N.A. |
|
|
218,540 |
|
|
|
5.9 |
% |
|
|
5.56 |
% |
|
|
26 |
|
1/26/2024 |
Mirae Asset Securities ( |
|
|
200,200 |
|
|
|
5.4 |
% |
|
|
5.53 |
% |
|
|
52 |
|
4/22/2024 |
Merrill Lynch, Pierce, Fenner & Smith |
|
|
193,715 |
|
|
|
5.2 |
% |
|
|
5.56 |
% |
|
|
16 |
|
1/26/2024 |
Daiwa Securities America Inc. |
|
|
179,787 |
|
|
|
4.9 |
% |
|
|
5.54 |
% |
|
|
24 |
|
1/24/2024 |
ABN AMRO Bank N.V. |
|
|
177,114 |
|
|
|
4.8 |
% |
|
|
5.55 |
% |
|
|
20 |
|
1/31/2024 |
Bank of Montreal |
|
|
169,041 |
|
|
|
4.6 |
% |
|
|
5.55 |
% |
|
|
16 |
|
1/16/2024 |
StoneX Financial Inc. |
|
|
168,852 |
|
|
|
4.6 |
% |
|
|
5.55 |
% |
|
|
16 |
|
1/16/2024 |
Goldman, Sachs & Co |
|
|
160,410 |
|
|
|
4.3 |
% |
|
|
5.56 |
% |
|
|
18 |
|
1/29/2024 |
Banco Santander SA |
|
|
154,412 |
|
|
|
4.2 |
% |
|
|
5.53 |
% |
|
|
71 |
|
3/22/2024 |
ING Financial Markets LLC |
|
|
128,758 |
|
|
|
3.5 |
% |
|
|
5.55 |
% |
|
|
16 |
|
1/16/2024 |
Marex Capital Markets Inc. |
|
|
115,143 |
|
|
|
3.1 |
% |
|
|
5.53 |
% |
|
|
9 |
|
1/16/2024 |
DV Securities, LLC Repo |
|
|
88,423 |
|
|
|
2.4 |
% |
|
|
5.55 |
% |
|
|
48 |
|
2/29/2024 |
South Street Securities, LLC |
|
|
80,295 |
|
|
|
2.2 |
% |
|
|
5.57 |
% |
|
|
59 |
|
2/28/2024 |
Lucid Cash Fund USG LLC |
|
|
9,840 |
|
|
|
0.3 |
% |
|
|
5.55 |
% |
|
|
18 |
|
1/18/2024 |
Lucid Prime Fund, LLC |
|
|
8,560 |
|
|
|
0.2 |
% |
|
|
5.55 |
% |
|
|
18 |
|
1/18/2024 |
Total Borrowings |
|
$ |
3,705,649 |
|
|
|
100.0 |
% |
|
|
5.55 |
% |
|
|
26 |
|
4/22/2024 |
View source version on businesswire.com: https://www.businesswire.com/news/home/20240110467516/en/
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
Source: Orchid Island Capital, Inc.
FAQ
What is the dividend declared by Orchid Island Capital, Inc. for January 2024?
What is the estimated book value per share of Orchid Island Capital, Inc. as of December 31, 2023?
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What was the estimated total return on equity for Orchid Island Capital, Inc. for the quarter ended December 31, 2023?
How many shares of common stock were outstanding as of January 10, 2024 for Orchid Island Capital, Inc.?
