Orchid Island Capital Announces March 2021 Monthly Dividend and February 28, 2021 RMBS Portfolio Characteristics

  • March 2021 Monthly Dividend of $0.065 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of February 28, 2021
  • Next Dividend Announcement Expected April 14, 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 March 2021. The dividend of $0.065 per share will be paid April 28, 2021, to holders of record of the Company’s common stock on March 31, 2021, with an ex-dividend date of March 30, 2021. The Company plans on announcing its next common stock dividend on April 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 March 17, 2021, the Company had 94,321,365 shares of common stock outstanding. As of February 28, 2021, the Company had 85,121,365 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Feb 2021

 

Dec – Feb

 

 

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 Mar)

 

in Mar)

 

 

(-50 BPS)(1)

 

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

 

$

238,175

 

 

$

253,790

 

6.55

%

 

$

106.56

 

2.50

%

 

2.87

%

 

2

 

174

 

2.41

%

 

n/a

 

 

$

4,295

 

 

$

(4,998

)

15yr 4.0

 

 

629

 

 

 

676

 

0.02

%

 

 

107.58

 

4.00

%

 

4.50

%

 

34

 

122

 

8.05

%

 

18.57

%

 

 

8

 

 

 

(9

)

15yr Total

 

 

238,804

 

 

 

254,466

 

6.56

%

 

 

106.56

 

2.50

%

 

2.88

%

 

3

 

174

 

2.43

%

 

18.57

%

 

 

4,303

 

 

 

(5,007

)

20yr 2.0

 

 

395,950

 

 

 

407,705

 

10.52

%

 

 

102.97

 

2.00

%

 

2.86

%

 

3

 

237

 

3.26

%

 

3.22

%

 

 

6,322

 

 

 

(8,905

)

20yr Total

 

 

395,950

 

 

 

407,705

 

10.52

%

 

 

102.97

 

2.00

%

 

2.86

%

 

3

 

237

 

3.26

%

 

3.22

%

 

 

6,322

 

 

 

(8,905

)

30yr 2.5

 

 

1,231,466

 

 

 

1,287,446

 

33.21

%

 

 

104.55

 

2.50

%

 

3.31

%

 

4

 

354

 

4.52

%

 

4.19

%

 

 

25,433

 

 

 

(34,380

)

30yr 3.0

 

 

846,209

 

 

 

919,714

 

23.72

%

 

 

108.69

 

3.00

%

 

3.48

%

 

6

 

353

 

6.67

%

 

7.14

%

 

 

21,029

 

 

 

(24,742

)

30yr 3.5

 

 

607,218

 

 

 

668,872

 

17.25

%

 

 

110.15

 

3.50

%

 

4.00

%

 

15

 

339

 

19.91

%

 

19.18

%

 

 

10,390

 

 

 

(14,645

)

30yr 4.0

 

 

176,155

 

 

 

198,298

 

5.11

%

 

 

112.57

 

4.00

%

 

4.51

%

 

30

 

322

 

15.26

%

 

19.26

%

 

 

3,839

 

 

 

(4,375

)

30yr 4.5

 

 

90,796

 

 

 

102,649

 

2.65

%

 

 

113.05

 

4.50

%

 

5.00

%

 

21

 

335

 

30.97

%

 

29.10

%

 

 

1,142

 

 

 

(1,622

)

30yr Total

 

 

2,951,844

 

 

 

3,176,979

 

81.94

%

 

 

107.63

 

3.00

%

 

3.62

%

 

9

 

348

 

9.76

%

 

10.92

%

 

 

61,833

 

 

 

(79,764

)

Total Pass Through RMBS

 

 

3,586,598

 

 

 

3,839,150

 

99.02

%

 

 

107.04

 

2.86

%

 

3.49

%

 

8

 

324

 

8.55

%

 

10.20

%

 

 

72,458

 

 

 

(93,676

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

 

238,355

 

 

 

33,354

 

0.86

%

 

 

13.99

 

3.98

%

 

4.57

%

 

80

 

265

 

35.64

%

 

40.44

%

 

 

(3,881

)

 

 

3,642

 

Inverse Interest-Only Securities

 

 

69,363

 

 

 

4,644

 

0.12

%

 

 

6.69

 

3.74

%

 

4.40

%

 

42

 

312

 

27.54

%

 

n/a

 

 

 

(214

)

 

 

(264

)

Total Structured RMBS

 

 

307,718

 

 

 

37,998

 

0.98

%

 

 

12.35

 

3.93

%

 

4.53

%

 

71

 

276

 

33.81

%

 

40.44

%

 

 

(4,095

)

 

 

3,378

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

 

$

3,894,316

 

 

$

3,877,148

 

100.00

%

 

 

 

 

2.94

%

 

3.57

%

 

13

 

320

 

10.55

%

 

12.71

%

 

$

68,363

 

 

$

(90,298

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(250

)

 

$

250

 

Swaps

 

 

(855,000

)

 

 

Apr-2026

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(22,245

)

 

 

22,245

 

5-Year Treasury Future

 

 

(69,000

)

 

 

Mar-2021(2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(2,200

)

 

 

2,226

 

TBA

 

 

(828,000

)

 

 

Feb-2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(11,826

)

 

 

17,986

 

Swaptions

 

 

(725,350

)

 

 

Feb-2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(5,564

)

 

 

8,405

 

Yield Curve Spread Floor

 

 

(150,000

)

 

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

n/a

 

 

 

n/a

 

Hedge Total

 

$

(1,226,650

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(42,085

)

 

$

51,112

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

26,278

 

 

$

(39,186

)

(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 $123.97 at February 28, 2021. The market value of the short position was $85.5 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 February 28, 2021

 

 

 

 

As of February 28, 2021

 

 

 

Fannie Mae

$

3,074,228

79.3%

 

Non-Whole Pool Assets

$

541,319

14.0%

Freddie Mac

 

802,920

20.7%

 

Whole Pool Assets

 

3,335,829

86.0%

Total Mortgage Assets

$

3,877,148

100.0%

 

Total Mortgage Assets

$

3,877,148

100.0%

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of February 28, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

383,034

 

10.3%

 

0.19%

93

8/5/2021

J.P. Morgan Securities LLC

 

382,688

 

10.2%

 

0.24%

28

7/21/2021

Mitsubishi UFJ Securities (USA), Inc

 

337,701

 

9.0%

 

0.22%

48

4/26/2021

Wells Fargo Bank, N.A.

 

335,569

 

8.9%

 

0.20%

36

4/23/2021

ASL Capital Markets Inc.

 

256,287

 

6.8%

 

0.18%

31

4/26/2021

RBC Capital Markets, LLC

 

227,580

 

6.1%

 

0.18%

74

5/24/2021

Cantor Fitzgerald & Co

 

223,019

 

5.9%

 

0.18%

59

5/13/2021

Citigroup Global Markets Inc

 

213,195

 

5.7%

 

0.18%

73

5/12/2021

Nomura Securities International, Inc.

 

209,661

 

5.6%

 

0.18%

58

5/13/2021

ED&F Man Capital Markets Inc

 

209,572

 

5.6%

 

0.20%

90

8/19/2021

Barclays Capital Inc

 

156,183

 

4.2%

 

0.18%

12

3/12/2021

Merrill Lynch, Pierce, Fenner & Smith

 

146,184

 

3.9%

 

0.19%

11

3/11/2021

ING Financial Markets LLC

 

123,519

 

3.3%

 

0.21%

45

4/14/2021

Daiwa Securities America Inc.

 

100,971

 

2.7%

 

0.19%

13

3/16/2021

ABN AMRO Bank N.V.

 

89,213

 

2.4%

 

0.18%

12

3/12/2021

South Street Securities, LLC

 

79,132

 

2.1%

 

0.26%

63

5/13/2021

Goldman, Sachs & Co.

 

75,447

 

2.0%

 

0.18%

78

5/17/2021

Bank of Montreal

 

65,733

 

1.8%

 

0.18%

11

3/11/2021

Lucid Cash Fund USG LLC

 

50,423

 

1.3%

 

0.23%

11

3/11/2021

Austin Atlantic Asset Management Co.

 

50,386

 

1.3%

 

0.21%

5

3/5/2021

J.V.B. Financial Group, LLC

 

34,319

 

0.9%

 

0.20%

55

4/26/2021

Total Borrowings

$

3,749,816

 

100.0%

 

0.20%

49

8/19/2021

 

Contacts

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

IT Business Net
error: Content is protected !!