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Orchid Island Capital Announces June 2021 Monthly Dividend and May 31, 2021 RMBS Portfolio Characteristics

·8-min read
  • June 2021 Monthly Dividend of $0.065 Per Share of Common Stock

  • RMBS Portfolio Characteristics as of May 31, 2021

  • Next Dividend Announcement Expected July 14, 2021

VERO BEACH, Fla., Jun 15, 2021--(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 June 2021. The dividend of $0.065 per share will be paid July 28, 2021, to holders of record of the Company’s common stock on June 30, 2021, with an ex-dividend date of June 29, 2021. The Company plans on announcing its next common stock dividend on July 14, 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 June 15, 2021, the Company had 107,413,793 shares of common stock outstanding. As of May 31, 2021, the Company had 101,340,113 shares of common stock outstanding. As of March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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. 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

May 2021

Mar - May

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

Portfolio

Price

Coupon

GWAC

Age

(Months)

in Jun)

in Jun)

(-50 BPS)(1)

(+50 BPS)(1)

Pass Through RMBS

15yr 2.5

$

232,960

$

246,395

5.72

%

$

105.77

2.50

%

2.87

%

5

171

2.97

%

3.37

%

$

4,019

$

(4,735

)

15yr 4.0

603

655

0.02

%

108.59

4.00

%

4.50

%

37

119

8.06

%

8.17

%

7

(8

)

15yr Total

233,563

247,050

5.73

%

105.77

2.50

%

2.88

%

6

171

2.98

%

3.39

%

4,026

(4,743

)

20yr 2.0

147,148

150,167

3.48

%

102.05

2.00

%

2.87

%

5

235

3.55

%

3.15

%

2,439

(3,396

)

20yr Total

147,148

150,167

3.48

%

102.05

2.00

%

2.87

%

5

235

3.55

%

3.15

%

2,439

(3,396

)

30yr 2.5

677,061

703,866

16.33

%

103.96

2.50

%

3.46

%

7

350

10.58

%

8.89

%

12,401

(18,114

)

30yr 3.0

2,182,017

2,332,316

54.12

%

106.89

3.00

%

3.50

%

5

353

6.30

%

6.75

%

46,400

(60,708

)

30yr 3.5

577,397

628,169

14.57

%

108.79

3.50

%

4.00

%

18

336

16.89

%

21.74

%

10,550

(14,259

)

30yr 4.0

50,022

55,108

1.28

%

110.17

4.00

%

4.63

%

60

294

18.78

%

27.75

%

1,098

(1,201

)

30yr 4.5

81,625

90,816

2.11

%

111.26

4.50

%

5.00

%

24

332

26.63

%

31.17

%

1,181

(1,551

)

30yr Total

3,568,122

3,810,275

88.41

%

106.79

3.03

%

3.63

%

9

348

9.47

%

11.19

%

71,630

(95,833

)

Total Pass Through RMBS

3,948,833

4,207,492

97.62

%

106.55

2.96

%

3.55

%

9

334

8.86

%

10.27

%

78,095

(103,972

)

Structured RMBS

Interest-Only Securities

628,945

98,447

2.28

%

15.65

3.63

%

4.19

%

57

291

24.24

%

40.44

%

(6,964

)

5,768

Inverse Interest-Only Securities

57,112

3,975

0.09

%

6.96

3.79

%

4.40

%

45

308

15.28

%

39.07

%

(221

)

(187

)

Total Structured RMBS

686,057

102,422

2.38

%

14.93

3.64

%

4.21

%

56

292

23.49

%

40.14

%

(7,185

)

5,581

Total Mortgage Assets

$

4,634,890

$

4,309,914

100.00

%

3.06

%

3.65

%

16

328

11.03

%

12.50

%

$

70,910

$

(98,391

)

Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(1)

(+50 BPS)(1)

Eurodollar Futures

$

(50,000

)

Dec-2021

$

(125

)

$

125

Swaps

(1,355,000

)

Dec-2026

(38,961

)

38,961

5-Year Treasury Future

(269,000

)

Sep-2021(2)

(8,599

)

8,532

10-Year Treasury Ultra

(23,500

)

Sep-2021(3)

(2,509

)

1,987

TBA

(400,000

)

Jun-2021

(5,619

)

8,688

Swaptions

(244,350

)

May-2022

(7,188

)

6,301

Yield Curve Spread Floor

(150,000

)

Feb-2023

n/a

n/a

Hedge Total

$

(2,491,850

)

$

(63,001

)

$

64,594

Rate Shock Grand Total

$

7,909

$

(33,797

)

(1)

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.

(2)

Five-year Treasury futures contracts were valued at prices of $123.94 at May 31, 2021. The market value of the short position was $333.4 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at May 31, 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

Portfolio

Asset Category

Value

Portfolio

As of May 31, 2021

As of May 31, 2021

Fannie Mae

$

3,396,877

78.8

%

Non-Whole Pool Assets

$

342,197

7.9

%

Freddie Mac

913,037

21.2

%

Whole Pool Assets

3,967,717

92.1

%

Total Mortgage Assets

$

4,309,914

100.0

%

Total Mortgage Assets

$

4,309,914

100.0

%

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of May 31, 2021

Borrowings

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

379,933

9.2

%

0.11

%

34

7/12/2021

Mirae Asset Securities (USA) Inc.

368,505

8.9

%

0.14

%

61

8/13/2021

Mitsubishi UFJ Securities (USA), Inc.

353,215

8.5

%

0.18

%

44

7/26/2021

J.P. Morgan Securities LLC

345,507

8.4

%

0.18

%

91

9/7/2021

ASL Capital Markets Inc.

342,467

8.3

%

0.11

%

49

8/26/2021

RBC Capital Markets, LLC

295,929

7.2

%

0.11

%

63

8/12/2021

Cantor Fitzgerald & Co.

225,653

5.5

%

0.12

%

62

8/19/2021

ABN AMRO Bank N.V.

224,818

5.4

%

0.15

%

30

7/12/2021

ED&F Man Capital Markets Inc.

204,081

4.9

%

0.15

%

54

8/19/2021

Nomura Securities International, Inc.

201,930

4.9

%

0.11

%

41

7/23/2021

Citigroup Global Markets Inc.

197,170

4.8

%

0.12

%

42

7/12/2021

ING Financial Markets LLC

175,835

4.3

%

0.12

%

44

8/11/2021

Barclays Capital Inc.

150,511

3.6

%

0.12

%

42

7/12/2021

Merrill Lynch, Pierce, Fenner & Smith

141,669

3.4

%

0.15

%

43

7/14/2021

South Street Securities, LLC

98,634

2.4

%

0.14

%

96

10/8/2021

Goldman, Sachs & Co. LLC

96,703

2.3

%

0.10

%

47

7/19/2021

Daiwa Capital Markets America Inc.

96,139

2.3

%

0.12

%

68

8/12/2021

BMO Capital Markets Corp.

89,396

2.2

%

0.13

%

44

7/14/2021

Lucid Cash Fund USG LLC

62,469

1.5

%

0.14

%

10

6/10/2021

Austin Atlantic Asset Management Co.

48,931

1.2

%

0.16

%

3

6/3/2021

J.V.B. Financial Group, LLC

32,945

0.8

%

0.11

%

54

7/26/2021

Total Borrowings

$

4,132,440

100.0

%

0.13

%

52

10/8/2021

View source version on businesswire.com: https://www.businesswire.com/news/home/20210615006153/en/

Contacts

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

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