Orchid Island Capital Announces May 2021 Monthly Dividend and April 30, 2021 RMBS Portfolio Characteristics

·9 min read
  • May 2021 Monthly Dividend of $0.065 Per Share of Common Stock

  • RMBS Portfolio Characteristics as of April 30, 2021

  • Next Dividend Announcement Expected June 15, 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 May 2021. The dividend of $0.065 per share will be paid June 28, 2021, to holders of record of the Company’s common stock on May 28, 2021, with an ex-dividend date of May 27, 2021. The Company plans on announcing its next common stock dividend on June 15, 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 May 12, 2021, the Company had 95,262,758 shares of common stock outstanding. As of April 30, 2021 and March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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 the 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

Apr 2021

Feb - Apr

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 May)

in May)

(-50 BPS)(2)

(+50 BPS)(2)

Pass Through RMBS

15yr 2.5

$

234,989

$

248,468

5.85

%

$

105.74

2.50

%

2.87

%

4

172

4.64

%

3.19

%

$

3,689

$

(4,483

)

15yr 4.0

612

659

0.02

%

107.76

4.00

%

4.50

%

36

120

8.21

%

8.16

%

7

(8

)

15yr Total

235,601

249,127

5.87

%

105.74

2.50

%

2.88

%

5

172

4.65

%

3.20

%

3,696

(4,491

)

20yr 2.0

148,010

151,177

3.56

%

102.14

2.00

%

2.87

%

4

236

3.17

%

2.38

%

1,979

(3,032

)

20yr Total

148,010

151,177

3.56

%

102.14

2.00

%

2.87

%

4

236

3.17

%

2.38

%

1,979

(3,032

)

30yr 2.5

682,916

710,585

16.74

%

104.05

2.50

%

3.46

%

6

351

7.92

%

6.27

%

8,831

(15,510

)

30yr 3.0

1,971,077

2,111,209

49.74

%

107.11

3.00

%

3.50

%

5

354

6.94

%

8.09

%

32,952

(47,461

)

30yr 3.5

590,509

647,413

15.25

%

109.64

3.50

%

4.00

%

17

338

21.10

%

22.63

%

6,623

(11,345

)

30yr 4.0

178,573

200,433

4.72

%

112.24

4.00

%

4.51

%

31

322

20.27

%

19.98

%

3,279

(3,861

)

30yr 4.5

84,955

95,643

2.25

%

112.58

4.50

%

5.00

%

23

333

34.25

%

32.75

%

574

(1,040

)

30yr Total

3,508,030

3,765,283

88.71

%

107.33

3.07

%

3.66

%

9

349

10.85

%

12.90

%

52,259

(79,217

)

Total Pass Through RMBS

3,891,641

4,165,587

98.14

%

107.04

3.00

%

3.59

%

8

334

10.18

%

11.49

%

57,934

(86,740

)

Structured RMBS

Interest-Only Securities

496,943

74,334

1.75

%

14.97

3.61

%

4.19

%

60

288

29.31

%

39.71

%

(7,132

)

6,392

Inverse Interest-Only Securities

62,791

4,619

0.11

%

7.36

3.79

%

4.40

%

44

310

55.23

%

42.17

%

(475

)

(81

)

Total Structured RMBS

559,734

78,953

1.86

%

14.11

3.63

%

4.21

%

58

291

32.77

%

40.26

%

(7,607

)

6,311

Total Mortgage Assets

$

4,451,375

$

4,244,540

100.00

%

3.08

%

3.67

%

15

328

12.62

%

14.15

%

$

50,327

$

(80,429

)

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

$

(188

)

$

188

Swaps

(1,355,000

)

Dec-2026

(39,176

)

39,176

5-Year Treasury Future

(269,000

)

Jun-2021(3)

(9,888

)

7,355

10-Year Treasury Ultra

(23,500

)

Jun-2021(4)

(2,449

)

2,098

TBA

(548,000

)

May-2021

(4,356

)

8,776

Swaptions

(244,350

)

Jun-2022

(6,754

)

6,217

Yield Curve Spread Floor

(150,000

)

Feb-2023

n/a

n/a

Hedge Total

$

(2,639,850

)

$

(62,811

)

$

63,810

Rate Shock Grand Total

$

(12,484

)

$

(16,619

)

(1)

Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 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 $123.94 at April 30, 2021. The market value of the short position was $333.4 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at April 30, 2021. The market value of the short position was $34.2 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 April 30, 2021

As of April 30, 2021

Fannie Mae

$

3,340,240

78.7

%

Non-Whole Pool Assets

$

322,417

7.6

%

Freddie Mac

904,300

21.3

%

Whole Pool Assets

3,922,123

92.4

%

Total Mortgage Assets

$

4,244,540

100.0

%

Total Mortgage Assets

$

4,244,540

100.0

%

(1)

Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 2021.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of April 30, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

379,037

9.4

%

0.12

%

54

7/12/2021

Mirae Asset Securities (USA) Inc.

370,908

9.1

%

0.17

%

59

8/5/2021

ASL Capital Markets Inc.

345,921

8.5

%

0.13

%

50

7/16/2021

J.P. Morgan Securities LLC

345,447

8.5

%

0.18

%

122

9/7/2021

Mitsubishi UFJ Securities (USA), Inc

329,683

8.1

%

0.17

%

49

7/12/2021

RBC Capital Markets, LLC

277,217

6.8

%

0.16

%

32

7/19/2021

ABN AMRO Bank N.V.

224,818

5.5

%

0.15

%

61

7/12/2021

Cantor Fitzgerald & Co

216,315

5.3

%

0.15

%

33

7/8/2021

Citigroup Global Markets Inc

206,872

5.1

%

0.18

%

12

5/12/2021

Nomura Securities International, Inc.

205,089

5.0

%

0.12

%

28

6/18/2021

ED&F Man Capital Markets Inc

204,081

5.0

%

0.15

%

85

8/19/2021

Barclays Capital Inc

152,630

3.8

%

0.17

%

12

5/12/2021

ING Financial Markets LLC

145,001

3.6

%

0.13

%

69

7/8/2021

Merrill Lynch, Pierce, Fenner & Smith Inc.

141,877

3.5

%

0.15

%

73

7/14/2021

South Street Securities, LLC

103,724

2.5

%

0.23

%

79

10/8/2021

Goldman, Sachs & Co. LLC

100,655

2.5

%

0.17

%

31

7/12/2021

Daiwa Capital Markets America Inc.

98,119

2.4

%

0.16

%

11

5/12/2021

BMO Capital Markets Corp.

89,396

2.2

%

0.13

%

75

7/14/2021

Lucid Cash Fund USG LLC

49,242

1.2

%

0.17

%

13

5/13/2021

Austin Atlantic Asset Management Co.

49,157

1.2

%

0.19

%

6

5/6/2021

J.V.B. Financial Group, LLC

32,945

0.8

%

0.11

%

85

7/26/2021

Total Borrowings

$

4,068,134

100.0

%

0.15

%

54

10/8/2021

(1)

In April 2021, the Company purchased assets with a fair value of approximately $15.8 million, which settle in May 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

View source version on businesswire.com: https://www.businesswire.com/news/home/20210512006043/en/

Contacts

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

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