ORCHID ISLAND CAPITAL ANNOUNCES
AUGUST 2021 MONTHLY DIVIDEND AND
JULY 31, 2021 RMBS PORTFOLIO CHARACTERISTICS
· 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., August 18, 2021 - 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.
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RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
Realized |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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% |
#VALUE! |
|
(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) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400