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Orchid Island Capital Announces August 2021 Monthly Dividend and July 31, 2021 RMBS Portfolio Characteristics

08/18/2021
  • August 2021 Monthly Dividend of $0.065 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of July 31, 2021
  • Next Dividend Announcement Expected September 16, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of August 2021. The dividend of $0.065 per share will be paid September 28, 2021, to holders of record of the Company’s common stock on August 31, 2021, with an ex-dividend date of August 30, 2021. The Company plans on announcing its next common stock dividend on September 16, 2021.

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 August 18, 2021, the Company had 123,860,013 shares of common stock outstanding. As of July 31, 2021, the Company had 123,060,013 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2021 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 and expected funding of purchased assets. 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, 2020.

 

 

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jul 2021

 

May - Jul

 

Modeled

 

Modeled

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

Weighted

 

CPR

 

2021 CPR

 

Interest

 

Interest

 

 

 

 

 

%

 

 

 

Weighted

 

 

 

 

 

Average

 

(1-Month)

 

(3-Month)

 

Rate

 

Rate

 

Current

 

Fair

 

of

 

Current

 

Average

 

 

 

 

 

Maturity

 

(Reported

 

(Reported

 

Sensitivity

 

Sensitivity

Type

Face

 

Value(1)

 

Portfolio

 

Price

 

Coupon

 

GWAC

 

Age

 

(Months)

 

in Aug)

 

in Aug)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

228,551

 

$

242,466

 

4.82

%

$

106.09

2.50

%

2.87

%

7

 

168

8.7

%

6.6

%

$

3,281

 

$

(4,050

)

15yr 4.0

 

587

 

 

630

 

0.01

%

 

107.42

 

4.00

%

4.50

%

39

 

118

9.1

%

8.7

%

 

6

 

 

(7

)

15yr Total

 

229,138

 

 

243,096

 

4.83

%

 

106.09

 

2.50

%

2.88

%

8

 

168

8.7

%

6.6

%

 

3,287

 

 

(4,057

)

20yr 2.0

 

144,854

 

 

149,148

 

2.96

%

 

102.96

 

2.00

%

2.87

%

7

 

233

8.4

%

6.5

%

 

1,134

 

 

(2,235

)

20yr Total

 

144,854

 

 

149,148

 

2.96

%

 

102.96

 

2.00

%

2.87

%

7

 

233

8.4

%

6.5

%

 

1,134

 

 

(2,235

)

30yr 2.5

 

909,495

 

 

950,505

 

18.88

%

 

104.51

 

2.50

%

3.41

%

6

 

351

19.3

%

14.7

%

 

6,906

 

 

(14,996

)

30yr 3.0

 

2,882,330

 

 

3,108,869

 

61.76

%

 

107.86

 

3.00

%

3.50

%

6

 

352

6.9

%

8.0

%

 

32,847

 

 

(56,164

)

30yr 3.5

 

332,791

 

 

366,663

 

7.28

%

 

110.18

 

3.50

%

4.02

%

18

 

336

17.7

%

18.6

%

 

4,198

 

 

(5,820

)

30yr 4.0

 

47,827

 

 

53,202

 

1.06

%

 

111.24

 

4.00

%

4.63

%

62

 

293

27.3

%

23.2

%

 

843

 

 

(938

)

30yr 4.5

 

51,122

 

 

57,500

 

1.14

%

 

112.48

 

4.50

%

4.97

%

25

 

329

23.1

%

26.6

%

 

460

 

 

(660

)

30yr Total

 

4,223,565

 

 

4,536,739

 

90.12

%

 

107.41

 

2.96

%

3.55

%

8

 

350

10.3

%

11.0

%

 

45,254

 

 

(78,578

)

Total Pass Through RMBS

 

4,597,557

 

 

4,928,983

 

97.91

%

 

107.21

 

2.91

%

3.50

%

8

 

337

10.2

%

10.5

%

 

49,675

 

 

(84,870

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

65,486

 

 

5,658

 

0.11

%

 

8.64

 

3.00

%

3.64

%

55

 

180

33.1

%

n/a

 

(785

)

 

717

 

IO 20yr 4.0

 

15,393

 

 

1,947

 

0.04

%

 

12.65

 

4.00

%

4.58

%

115

 

117

17.6

%

19.1

%

 

(48

)

 

37

 

IO 30yr 3.0

 

102,171

 

 

13,595

 

0.27

%

 

13.31

 

3.00

%

3.66

%

47

 

305

17.8

%

18.9

%

 

(1,813

)

 

1,483

 

IO 30yr 3.5

 

349,645

 

 

54,187

 

1.08

%

 

15.50

 

3.50

%

4.01

%

45

 

306

19.9

%

20.4

%

 

(5,841

)

 

4,773

 

IO 30yr 4.0

 

212,841

 

 

25,004

 

0.50

%

 

11.75

 

4.00

%

4.57

%

65

 

288

36.9

%

35.3

%

 

(2,325

)

 

2,688

 

IO 30yr 4.5

 

5,481

 

 

839

 

0.02

%

 

15.31

 

4.50

%

4.99

%

133

 

214

27.4

%

27.9

%

 

(87

)

 

87

 

IO 30yr 5.0

 

3,285

 

 

522

 

0.01

%

 

15.90

 

5.00

%

5.37

%

133

 

214

50.9

%

37.4

%

 

(40

)

 

45

 

IO Total

 

754,302

 

 

101,752

 

2.02

%

 

13.49

 

3.55

%

4.11

%

54

 

285

25.7

%

22.7

%

 

(10,939

)

 

9,830

 

IIO 30yr 4.0

 

54,145

 

 

3,240

 

0.06

%

 

5.98

 

3.76

%

4.40

%

47

 

306

12.8

%

16.3

%

 

(529

)

 

140

 

Total Structured RMBS

 

808,447

 

 

104,992

 

2.09

%

 

12.99

 

3.57

%

4.13

%

53

 

286

24.8

%

22.3

%

 

(11,468

)

 

9,970

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,406,004

 

$

5,033,975

 

100.00

%

 

3.01

%

3.59

%

15

 

330

12.4

%

12.3

%

$

38,207

 

$

(74,900

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

Balance

 

End

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Eurodollar Futures

$

(50,000

)

Dec-2021

 

 

 

 

 

 

 

 

$

(125

)

$

125

 

Swaps

 

(1,355,000

)

Dec-2026

 

 

 

 

 

 

 

 

 

(37,260

)

 

37,260

 

5-Year Treasury Future(3)

 

(269,000

)

Sep-2021

 

 

 

 

 

 

 

 

 

(7,458

)

 

9,778

 

10-Year Treasury Ultra(4)

 

(23,500

)

Sep-2021

 

 

 

 

 

 

 

 

 

(2,257

)

 

2,513

 

TBA

 

(400,000

)

Aug-2021

 

 

 

 

 

 

 

 

 

(7,602

)

 

12,413

 

Swaptions

 

(244,350

)

May-2022

 

 

 

 

 

 

 

 

 

(6,190

)

 

7,573

 

Yield Curve Spread Floor

 

(150,000

)

Feb-2023

 

 

 

 

 

 

 

 

 

n/a

 

 

n/a

 

Hedge Total

$

(2,491,850

)

 

 

 

 

 

 

 

 

 

$

(60,892

)

$

69,662

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

$

(22,685

)

$

(5,238

)

(1)

Amounts in the tables above include assets with a fair value of approximately $260.4 million purchased in July 2021, which settle in August 2021.

(2)

Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.

(3)

Five-year Treasury futures contracts were valued at prices of $124.45 at July 31, 2021. The market value of the short position was $334.8 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $150.25 at July 31, 2021. The market value of the short position was $35.3 million.

 

 

RMBS Assets by Agency

 

 

 

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

 

 

 

($ in thousands)

 

 

 

 

 

Percentage

 

 

 

 

 

 

 

Percentage

 

Fair

 

of

 

 

 

 

 

Fair

 

of

Asset Category

Value(1)

 

Portfolio

 

 

 

Asset Category

 

Value(1)

 

Portfolio

As of July 31, 2021

 

 

 

As of July 31, 2021

 

 

Fannie Mae

$

4,175,983

 

 

83.0

%

 

 

 

Non-Whole Pool Assets

 

$

335,968

 

 

6.7

%

Freddie Mac

 

857,992

 

 

17.0

%

 

 

 

Whole Pool Assets

 

 

4,698,007

 

 

93.3

%

Total Mortgage Assets

$

5,033,975

 

 

100.0

%

 

 

 

Total Mortgage Assets

 

$

5,033,975

 

 

100.0

%

(1)

Amounts in the tables above include assets with a fair value of approximately $260.4 million purchased in July 2021, which settle in August 2021.

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

Weighted

 

 

 

 

 

% of

 

Average

 

Average

 

 

 

Total

 

Total

 

Repo

 

Maturity

 

Longest

As of July 31, 2021

Borrowings(1)

 

Debt

 

Rate

 

in Days

 

Maturity

Mirae Asset Securities (USA) Inc.

$

384,095

 

8.4

%

 

0.13

%

38

 

10/26/2021

Wells Fargo Bank, N.A.

 

358,877

 

 

7.9

%

 

0.11

%

37

 

10/12/2021

J.P. Morgan Securities LLC

 

342,321

 

 

7.5

%

 

0.17

%

35

 

9/7/2021

ASL Capital Markets Inc.

 

336,552

 

 

7.4

%

 

0.12

%

31

 

10/15/2021

ABN AMRO Bank N.V.

 

322,087

 

 

7.1

%

 

0.11

%

32

 

10/14/2021

RBC Capital Markets, LLC

 

312,055

 

 

6.8

%

 

0.11

%

30

 

10/14/2021

Mitsubishi UFJ Securities (USA), Inc.

 

293,635

 

 

6.4

%

 

0.23

%

48

 

10/12/2021

Cantor Fitzgerald & Co.

 

273,321

 

 

6.0

%

 

0.11

%

29

 

10/25/2021

ING Financial Markets LLC

 

203,629

 

 

4.5

%

 

0.11

%

36

 

9/10/2021

Nomura Securities International, Inc.

 

198,532

 

 

4.4

%

 

0.12

%

34

 

10/12/2021

ED&F Man Capital Markets Inc.

 

198,138

 

 

4.3

%

 

0.14

%

60

 

10/26/2021

Citigroup Global Markets Inc.

 

187,545

 

 

4.1

%

 

0.12

%

11

 

8/11/2021

Santander Bank, N.A.

 

157,774

 

 

3.5

%

 

0.13

%

61

 

10/14/2021

Goldman Sachs & Co. LLC

 

150,079

 

 

3.3

%

 

0.13

%

72

 

10/29/2021

Barclays Capital Inc.

 

148,532

 

 

3.3

%

 

0.12

%

12

 

8/12/2021

BMO Capital Markets Corp.

 

138,923

 

 

3.0

%

 

0.11

%

59

 

10/12/2021

Merrill Lynch, Pierce, Fenner & Smith

 

133,886

 

 

2.9

%

 

0.14

%

73

 

10/14/2021

Daiwa Capital Markets America, Inc.

 

121,652

 

 

2.7

%

 

0.12

%

11

 

8/13/2021

Austin Atlantic Asset Management Co.

 

101,540

 

 

2.2

%

 

0.14

%

5

 

8/5/2021

South Street Securities, LLC

 

98,634

 

 

2.2

%

 

0.14

%

35

 

10/8/2021

Lucid Cash Fund USG, LLC

 

51,473

 

 

1.1

%

 

0.12

%

12

 

8/12/2021

J.V.B. Financial Group, LLC

 

31,605

 

 

0.7

%

 

0.12

%

84

 

10/25/2021

Lucid Prime Fund, LLC

 

12,952

 

 

0.3

%

 

0.23

%

12

 

8/12/2021

Total Borrowings

$

4,557,838

 

 

100.0

%

 

0.13

%

37

 

10/29/2021

(1)

In July 2021, the Company purchased assets with a fair value of approximately $260.4 million, which settle in August 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

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