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

Thursday May 13, 2021. 12:01 AM , from Digital Pro Sound
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

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 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

 

 

 

 

 
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