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Orchid Island Capital Announces Estimated Third Quarter 2021 Results, October 2021 Monthly Dividend and September 30, 2021 RMBS Portfolio Characteristics

10/12/2021
  • October 2021 Monthly Dividend of $0.065 Per Share of Common Stock
  • Estimated Book Value Per Share as of September 30, 2021 of $4.77
  • Estimated GAAP net income of $0.20 per share for the quarter ended September 30, 2021, including an estimated $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated 5.4% 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 September 30, 2021
  • Next Dividend Announcement Expected November 9, 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 October 2021. The dividend of $0.065 per share will be paid November 26, 2021 to holders of record of the Company’s common stock on October 29, 2021, with an ex-dividend date of October 28, 2021. The Company plans on announcing its next common stock dividend on November 9, 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 October 12, 2021, the Company had 153,831,978 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

Estimated September 30, 2021 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2021 was $4.77. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $730.6 million with 153,318,351 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net income per share of $0.20, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended September 30, 2021 was 5.4%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $0.255 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.06 from June 30, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2021 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 September 30, 2021, 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 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sep 2021

 

Jul - Sep

 

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 Oct)

 

in Oct)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

223,524

 

$

235,988

4.21

%

$

105.58

2.50

%

2.87

%

9

166

10.5

%

 

8.3

%

$

3,620

 

$

(4,307

)

15yr 4.0

 

569

 

 

610

0.01

%

 

107.25

4.00

%

4.51

%

41

117

10.0

%

 

9.6

%

 

6

 

 

(8

)

15yr Total

 

224,093

 

 

236,598

4.22

%

 

105.58

2.50

%

2.88

%

10

166

10.5

%

 

8.3

%

 

3,626

 

 

(4,315

)

30yr 2.5

 

755,961

 

 

782,574

13.97

%

 

103.52

2.50

%

3.39

%

7

351

9.2

%

 

15.6

%

 

10,688

 

 

(17,923

)

30yr 3.0

 

3,685,738

 

 

3,955,954

70.63

%

 

107.33

3.00

%

3.48

%

7

352

6.7

%

 

7.6

%

 

62,963

 

 

(92,337

)

30yr 3.5

 

329,487

 

 

362,129

6.47

%

 

109.91

3.50

%

4.02

%

19

334

22.0

%

 

20.2

%

 

5,210

 

 

(7,144

)

30yr 4.0

 

81,269

 

 

89,089

1.59

%

 

109.62

4.00

%

4.72

%

36

321

19.0

%

 

28.5

%

 

996

 

 

(1,220

)

30yr 4.5

 

28,342

 

 

32,218

0.58

%

 

113.68

4.50

%

4.91

%

23

329

18.4

%

 

17.6

%

 

509

 

 

(611

)

30yr Total

 

4,880,797

 

 

5,221,964

93.23

%

 

106.99

2.98

%

3.53

%

8

350

8.3

%

 

9.9

%

 

80,366

 

 

(119,235

)

Total Pass Through RMBS

 

5,104,890

 

 

5,458,562

97.45

%

 

106.93

2.96

%

3.50

%

8

342

8.4

%

 

9.8

%

 

83,992

 

 

(123,550

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

363,225

 

 

37,650

0.67

%

 

10.37

3.00

%

3.68

%

61

173

31.2

%

 

33.5

%

 

(4,077

)

 

2,526

 

IO 20yr 4.0

 

14,677

 

 

1,857

0.03

%

 

12.65

4.00

%

4.58

%

117

116

22.5

%

 

20.0

%

 

(39

)

 

21

 

IO 30yr 3.0

 

98,485

 

 

13,883

0.25

%

 

14.10

3.00

%

3.66

%

49

303

24.8

%

 

20.2

%

 

(1,430

)

 

992

 

IO 30yr 3.5

 

336,401

 

 

57,119

1.02

%

 

16.98

3.50

%

4.01

%

47

304

20.7

%

 

19.4

%

 

(4,818

)

 

3,301

 

IO 30yr 4.0

 

195,862

 

 

28,170

0.50

%

 

14.38

4.00

%

4.56

%

66

286

32.6

%

 

34.0

%

 

(2,552

)

 

2,292

 

IO 30yr 4.5

 

5,166

 

 

799

0.01

%

 

15.47

4.50

%

4.99

%

135

212

24.2

%

 

26.2

%

 

(77

)

 

59

 

IO 30yr 5.0

 

2,924

 

 

465

0.01

%

 

15.90

5.00

%

5.36

%

135

213

25.7

%

 

41.9

%

 

(37

)

 

32

 

IO Total

 

1,016,740

 

 

139,943

2.50

%

 

13.76

3.39

%

3.98

%

58

250

27.2

%

 

24.9

%

 

(13,031

)

 

9,224

 

IIO 30yr 4.0

 

49,645

 

 

2,783

0.05

%

 

5.61

3.75

%

4.41

%

48

304

27.4

%

 

28.0

%

 

(285

)

 

(96

)

Total Structured RMBS

 

1,066,385

 

 

142,726

2.55

%

 

13.38

3.40

%

4.00

%

57

253

27.2

%

 

25.1

%

 

(13,316

)

 

9,128

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

6,171,275

 

$

5,601,288

100.00

%

 

3.04

%

3.59

%

17

326

11.8

%

 

12.4

%

$

70,676

 

$

(114,422

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

(35,820

)

 

35,820

 

5-Year Treasury Future(3)

 

(269,000

)

Dec-2021

 

 

 

 

 

 

 

 

 

(9,532

)

 

7,254

 

10-Year Treasury Ultra(4)

 

(23,500

)

Dec-2021

 

 

 

 

 

 

 

 

 

(2,560

)

 

1,837

 

Swaptions

 

(244,350

)

May-2022

 

 

 

 

 

 

 

 

 

(7,654

)

 

(7,654

)

Yield Curve Spread Floor

 

(150,000

)

Feb-2023

 

 

 

 

 

 

 

 

 

n/a

 

 

n/a

 

Hedge Total

$

(2,091,850

)

 

 

 

 

 

 

 

 

 

$

(55,691

)

$

37,382

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

$

14,985

 

$

(77,040

)

(1)

Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 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 $122.74 at September 30, 2021. The market value of the short position was $330.2 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $145.25 at September 30, 2021. The market value of the short position was $34.1 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 September 30, 2021

 

 

 

As of September 30, 2021

 

 

Fannie Mae

$

4,314,966

77.0

%

 

Non-Whole Pool Assets

$

325,421

5.8

%

Freddie Mac

 

1,286,322

23.0

%

 

Whole Pool Assets

 

5,275,867

94.2

%

Total Mortgage Assets

$

5,601,288

100.0

%

 

Total Mortgage Assets

$

5,601,288

100.0

%

(1)

Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021.

Borrowings By Counterparty

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

Weighted

 

 

 

 

 

% of

 

Average

 

Average

 

 

 

Total

 

Total

 

Repo

 

Maturity

 

Longest

As of September 30, 2021

Borrowings(1)

 

Debt

 

Rate

 

in Days

 

Maturity

ABN AMRO Bank N.V.

$

421,280

 

8.3%

 

0.12%

30

11/12/2021

Mirae Asset Securities (USA) Inc.

 

396,039

 

7.6%

 

0.12%

74

9/14/2022

Wells Fargo Bank, N.A.

 

357,656

 

6.9%

 

0.11%

14

10/22/2021

RBC Capital Markets, LLC

 

356,691

 

6.8%

 

0.12%

31

11/10/2021

J.P. Morgan Securities LLC

 

334,245

 

6.4%

 

0.12%

41

11/22/2021

Goldman, Sachs & Co.

 

323,521

 

6.2%

 

0.12%

40

12/27/2021

ASL Capital Markets Inc.

 

321,542

 

6.2%

 

0.12%

15

10/19/2021

Cantor Fitzgerald & Co

 

268,272

 

5.1%

 

0.12%

24

11/15/2021

Citigroup Global Markets Inc

 

263,278

 

5.0%

 

0.11%

13

10/14/2021

Mitsubishi UFJ Securities (USA), Inc

 

259,581

 

5.0%

 

0.24%

23

11/29/2021

Santander Bank, N.A.

 

210,831

 

4.0%

 

0.11%

29

11/15/2021

ED&F Man Capital Markets Inc

 

199,744

 

3.8%

 

0.12%

32

12/8/2021

ING Financial Markets LLC

 

199,544

 

3.8%

 

0.12%

37

11/10/2021

Nomura Securities International, Inc.

 

199,411

 

3.8%

 

0.11%

41

11/22/2021

South Street Securities, LLC

 

173,977

 

3.3%

 

0.12%

42

11/23/2021

BMO Capital Markets Corp.

 

169,909

 

3.3%

 

0.13%

14

10/22/2021

Daiwa Securities America Inc.

 

167,813

 

3.2%

 

0.11%

16

11/8/2021

Barclays Capital Inc

 

145,516

 

2.8%

 

0.11%

13

10/13/2021

Merrill Lynch, Pierce, Fenner & Smith

 

141,192

 

2.7%

 

0.17%

15

10/29/2021

Austin Atlantic Asset Management Co.

 

99,395

 

1.9%

 

0.14%

7

10/7/2021

Lucid Price Fund, LLC

 

85,283

 

1.6%

 

0.18%

14

10/14/2021

Lucid Cash Fund USG, LLC

 

60,503

 

1.2%

 

0.12%

14

10/14/2021

J.V.B. Financial Group, LLC

 

58,647

 

1.1%

 

0.12%

22

10/25/2021

Total Borrowings

$

5,213,869

 

100.0%

 

0.13%

30

9/14/2022

(1)

In September 2021, the Company purchased assets with a fair value of approximately $180.8 million, which settle in October 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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