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

09/16/2021
  • September 2021 Monthly Dividend of $0.065 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of August 31, 2021
  • Next Dividend Announcement Expected October 13, 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 September 2021. The dividend of $0.065 per share will be paid October 27, 2021, to holders of record of the Company’s common stock on September 30, 2021, with an ex-dividend date of September 29, 2021. The Company plans on announcing its next common stock dividend on October 12, 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 September 16, 2021, the Company had 138,055,140 shares of common stock outstanding. As of August 31, 2021, the Company had 129,280,140 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 August 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

 

 

 

 

 

 

 

 

 

 

 

Aug 2021

Jun - Aug

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 Sep)

in Sep)

(-50 BPS)(2)

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

225,732

 

$

238,943

4.55

%

$

105.85

2.50

%

2.87

%

8

167

5.8

%

7.5

%

$

3,342

 

$

(4,109

)

15yr 4.0

 

578

 

 

621

0.01

%

 

107.38

4.00

%

4.51

%

40

117

9.7

%

9.2

%

 

6

 

 

(7

)

15yr Total

 

226,310

 

 

239,564

4.56

%

 

105.86

2.50

%

2.88

%

9

167

5.8

%

7.5

%

 

3,348

 

 

(4,116

)

20yr 2.0

 

150,000

 

 

154,236

2.94

%

 

102.82

2.00

%

2.86

%

-

239

n/a

 

n/a

 

 

2,295

 

 

(3,197

)

20yr Total

 

150,000

 

 

154,236

2.94

%

 

102.82

2.00

%

2.86

%

-

239

n/a

 

n/a

 

 

2,295

 

 

(3,197

)

30yr 2.5

 

628,233

 

 

654,656

12.46

%

 

104.21

2.50

%

3.40

%

7

350

12.1

%

14.9

%

 

6,577

 

 

(12,877

)

30yr 3.0

 

3,360,545

 

 

3,618,576

68.88

%

 

107.68

3.00

%

3.48

%

6

352

7.5

%

7.7

%

 

46,504

 

 

(74,854

)

30yr 3.5

 

326,189

 

 

359,127

6.84

%

 

110.10

3.50

%

4.01

%

19

334

19.8

%

19.6

%

 

4,351

 

 

(6,198

)

30yr 4.0

 

46,457

 

 

51,781

0.99

%

 

111.46

4.00

%

4.63

%

62

292

23.7

%

24.6

%

 

841

 

 

(938

)

30yr 4.5

 

49,944

 

 

56,292

1.07

%

 

112.71

4.50

%

4.97

%

26

328

18.3

%

23.7

%

 

448

 

 

(720

)

30yr Total

 

4,411,368

 

 

4,740,432

90.24

%

 

107.46

2.99

%

3.54

%

8

350

9.4

%

10.2

%

 

58,721

 

 

(95,587

)

Total Pass Through RMBS

 

4,787,678

 

 

5,134,232

97.73

%

 

107.24

2.94

%

3.49

%

8

338

9.2

%

10.0

%

 

64,364

 

 

(102,900

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

190,169

 

 

17,486

0.33

%

 

9.20

3.00

%

3.68

%

58

177

33.5

%

n/a

 

 

(2,341

)

 

1,732

 

IO 20yr 4.0

 

15,043

 

 

1,881

0.04

%

 

12.50

4.00

%

4.58

%

116

117

19.7

%

20.4

%

 

(47

)

 

31

 

IO 30yr 3.0

 

100,294

 

 

13,598

0.26

%

 

13.56

3.00

%

3.66

%

48

304

17.5

%

18.9

%

 

(1,738

)

 

1,323

 

IO 30yr 3.5

 

342,576

 

 

56,272

1.07

%

 

16.43

3.50

%

4.01

%

46

305

17.6

%

20.5

%

 

(5,907

)

 

4,469

 

IO 30yr 4.0

 

203,357

 

 

25,530

0.49

%

 

12.55

4.00

%

4.56

%

65

287

31.4

%

34.9

%

 

(2,487

)

 

2,547

 

IO 30yr 4.5

 

5,313

 

 

846

0.02

%

 

15.92

4.50

%

4.99

%

134

213

27.0

%

26.3

%

 

(92

)

 

81

 

IO 30yr 5.0

 

3,087

 

 

506

0.01

%

 

16.39

5.00

%

5.37

%

134

214

46.1

%

38.8

%

 

(41

)

 

41

 

IO Total

 

859,839

 

 

116,119

2.21

%

 

13.50

3.47

%

4.05

%

55

268

24.6

%

25.4

%

 

(12,653

)

 

10,224

 

IIO 30yr 4.0

 

53,077

 

 

3,043

0.06

%

 

5.73

3.75

%

4.40

%

48

304

41.0

%

25.8

%

 

(459

)

 

31

 

Total Structured RMBS

 

912,916

 

 

119,162

2.27

%

 

13.05

3.49

%

4.07

%

55

270

25.6

%

25.5

%

 

(13,112

)

 

10,255

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,700,594

 

$

5,253,394

100.00

%

 

3.03

%

3.58

%

15

327

12.0

%

12.4

%

$

51,252

 

$

(92,645

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

(37,214

)

 

37,214

 

5-Year Treasury Future(3)

 

(269,000

)

Dec-2021

 

 

 

 

 

 

 

 

 

(8,500

)

 

8,490

 

10-Year Treasury Ultra(4)

 

(23,500

)

Dec-2021

 

 

 

 

 

 

 

 

 

(2,415

)

 

2,136

 

Swaptions

 

(244,350

)

May-2022

 

 

 

 

 

 

 

 

 

(7,190

)

 

9,047

 

Yield Curve Spread Floor

 

(150,000

)

Feb-2023

 

 

 

 

 

 

 

 

 

n/a

 

 

n/a

 

Hedge Total

$

(2,091,850

)

 

 

 

 

 

 

 

 

 

$

(55,444

)

$

57,012

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

$

(4,192

)

$

(35,633

)

(1)

Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 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 $123.72 at August 31, 2021. The market value of the short position was $332.8 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $148.02 at August 31, 2021. The market value of the short position was $34.8 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 August 31, 2021

 

 

As of August 31, 2021

 

 

Fannie Mae

$

4,202,486

80.0

%

Non-Whole Pool Assets

$

359,155

6.8

%

Freddie Mac

 

1,050,908

20.0

%

Whole Pool Assets

 

4,894,239

93.2

%

Total Mortgage Assets

$

5,253,394

100.0

%

Total Mortgage Assets

$

5,253,394

100.0

%

 

(1) Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.

Borrowings By Counterparty

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

% of

Average

Average

 

 

Total

Total

Repo

Maturity

Longest

As of August 31, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

ABN AMRO Bank N.V.

$

421,280

9.1

%

0.12

%

60

11/12/2021

Mirae Asset Securities (USA) Inc.

 

369,891

7.8

%

0.12

%

60

11/15/2021

Wells Fargo Bank, N.A.

 

356,357

7.6

%

0.12

%

36

10/22/2021

J.P. Morgan Securities LLC

 

342,010

7.3

%

0.17

%

18

11/22/2021

ASL Capital Markets Inc.

 

321,928

6.8

%

0.12

%

44

10/19/2021

RBC Capital Markets, LLC

 

296,331

6.3

%

0.12

%

64

11/10/2021

Cantor Fitzgerald & Co.

 

271,407

5.8

%

0.12

%

32

10/25/2021

Goldman Sachs & Co.

 

254,010

5.4

%

0.13

%

59

11/30/2021

Mitsubishi UFJ Securities (USA), Inc.

 

216,404

4.6

%

0.27

%

36

10/12/2021

ING Financial Markets LLC

 

203,609

4.3

%

0.12

%

15

10/12/2021

ED&F Man Capital Markets Inc.

 

199,989

4.2

%

0.12

%

51

11/19/2021

Nomura Securities International, Inc.

 

199,411

4.2

%

0.11

%

71

11/22/2021

Citigroup Global Markets Inc.

 

186,516

4.0

%

0.12

%

42

10/12/2021

Santander Bank, N.A.

 

157,774

3.3

%

0.13

%

30

10/14/2021

Barclays Capital Inc.

 

146,858

3.1

%

0.12

%

13

9/13/2021

BMO Capital Markets Corp.

 

138,151

2.9

%

0.11

%

39

10/22/2021

Merrill Lynch, Pierce, Fenner & Smith

 

133,749

2.8

%

0.14

%

43

10/14/2021

South Street Securities, LLC

 

124,623

2.6

%

0.14

%

57

11/23/2021

Daiwa Securities America Inc.

 

118,737

2.5

%

0.11

%

12

9/13/2021

Austin Atlantic Asset Management Co.

 

100,586

2.1

%

0.14

%

2

9/2/2021

Lucid Prime Fund, LLC

 

70,247

1.5

%

0.19

%

9

9/9/2021

Lucid Cash Fund USG, LLC

 

51,238

1.1

%

0.12

%

9

9/9/2021

J.V.B. Financial Group, LLC

 

32,897

0.7

%

0.12

%

53

10/25/2021

Total Borrowings

$

4,714,003

100.0

%

0.13

%

42

11/30/2021

(1)

In August 2021, the Company purchased assets with a fair value of approximately $317.3 million, which settle in September 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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