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.
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RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
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Realized |
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Feb 2021 |
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Dec – Feb |
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Modeled |
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Modeled |
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Net |
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Weighted |
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CPR |
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2021 CPR |
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Interest |
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Interest |
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% |
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Weighted |
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Average |
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(1-Month) |
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(3-Month) |
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Rate |
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Rate |
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Current |
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Fair |
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of |
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Current |
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Average |
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Maturity |
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(Reported |
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(Reported |
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Sensitivity |
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Sensitivity |
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Type |
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Face |
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Value |
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Portfolio |
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Price |
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Coupon |
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GWAC |
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Age |
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(Months) |
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in Mar) |
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in Mar) |
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(-50 BPS)(1) |
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(+50 BPS)(1) |
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Pass Through RMBS |
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15yr 2.5 |
$ |
238,175 |
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$ |
253,790 |
6.55 |
% |
$ |
106.56 |
2.50 |
% |
2.87 |
% |
2 |
174 |
2.41 |
% |
n/a |
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$ |
4,295 |
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$ |
(4,998 |
) |
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15yr 4.0 |
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629 |
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|
676 |
0.02 |
% |
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107.58 |
4.00 |
% |
4.50 |
% |
34 |
122 |
8.05 |
% |
18.57 |
% |
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8 |
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(9 |
) |
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15yr Total |
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238,804 |
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254,466 |
6.56 |
% |
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106.56 |
2.50 |
% |
2.88 |
% |
3 |
174 |
2.43 |
% |
18.57 |
% |
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4,303 |
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(5,007 |
) |
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20yr 2.0 |
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395,950 |
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407,705 |
10.52 |
% |
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102.97 |
2.00 |
% |
2.86 |
% |
3 |
237 |
3.26 |
% |
3.22 |
% |
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6,322 |
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(8,905 |
) |
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20yr Total |
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395,950 |
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407,705 |
10.52 |
% |
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102.97 |
2.00 |
% |
2.86 |
% |
3 |
237 |
3.26 |
% |
3.22 |
% |
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6,322 |
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(8,905 |
) |
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30yr 2.5 |
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1,231,466 |
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1,287,446 |
33.21 |
% |
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104.55 |
2.50 |
% |
3.31 |
% |
4 |
354 |
4.52 |
% |
4.19 |
% |
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25,433 |
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(34,380 |
) |
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30yr 3.0 |
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846,209 |
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919,714 |
23.72 |
% |
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108.69 |
3.00 |
% |
3.48 |
% |
6 |
353 |
6.67 |
% |
7.14 |
% |
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21,029 |
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(24,742 |
) |
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30yr 3.5 |
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607,218 |
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668,872 |
17.25 |
% |
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110.15 |
3.50 |
% |
4.00 |
% |
15 |
339 |
19.91 |
% |
19.18 |
% |
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10,390 |
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(14,645 |
) |
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30yr 4.0 |
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176,155 |
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198,298 |
5.11 |
% |
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112.57 |
4.00 |
% |
4.51 |
% |
30 |
322 |
15.26 |
% |
19.26 |
% |
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3,839 |
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(4,375 |
) |
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30yr 4.5 |
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90,796 |
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102,649 |
2.65 |
% |
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113.05 |
4.50 |
% |
5.00 |
% |
21 |
335 |
30.97 |
% |
29.10 |
% |
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1,142 |
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(1,622 |
) |
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30yr Total |
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2,951,844 |
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3,176,979 |
81.94 |
% |
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107.63 |
3.00 |
% |
3.62 |
% |
9 |
348 |
9.76 |
% |
10.92 |
% |
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61,833 |
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(79,764 |
) |
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Total Pass Through RMBS |
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3,586,598 |
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3,839,150 |
99.02 |
% |
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107.04 |
2.86 |
% |
3.49 |
% |
8 |
324 |
8.55 |
% |
10.20 |
% |
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72,458 |
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(93,676 |
) |
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Structured RMBS |
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Interest-Only Securities |
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238,355 |
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33,354 |
0.86 |
% |
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13.99 |
3.98 |
% |
4.57 |
% |
80 |
265 |
35.64 |
% |
40.44 |
% |
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(3,881 |
) |
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3,642 |
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Inverse Interest-Only Securities |
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69,363 |
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4,644 |
0.12 |
% |
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6.69 |
3.74 |
% |
4.40 |
% |
42 |
312 |
27.54 |
% |
n/a |
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(214 |
) |
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(264 |
) |
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Total Structured RMBS |
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307,718 |
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37,998 |
0.98 |
% |
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12.35 |
3.93 |
% |
4.53 |
% |
71 |
276 |
33.81 |
% |
40.44 |
% |
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(4,095 |
) |
|
3,378 |
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Total Mortgage Assets |
$ |
3,894,316 |
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$ |
3,877,148 |
100.00 |
% |
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|
2.94 |
% |
3.57 |
% |
13 |
320 |
10.55 |
% |
12.71 |
% |
$ |
68,363 |
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$ |
(90,298 |
) |
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Interest |
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Interest |
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Average |
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Hedge |
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Rate |
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Rate |
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Notional |
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Period |
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Sensitivity |
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Sensitivity |
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Hedge |
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Balance |
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End |
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(-50 BPS)(1) |
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(+50 BPS)(1) |
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Eurodollar Futures |
$ |
(50,000 |
) |
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Dec-2021 |
|
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$ |
(250 |
) |
$ |
250 |
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Swaps |
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(855,000 |
) |
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Apr-2026 |
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(22,245 |
) |
|
22,245 |
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5-Year Treasury Future |
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(69,000 |
) |
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Mar-2021(2) |
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(2,200 |
) |
|
2,226 |
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TBA |
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(828,000 |
) |
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Feb-2021 |
|
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|
|
(11,826 |
) |
|
17,986 |
|
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Swaptions |
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(725,350 |
) |
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Feb-2022 |
|
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|
|
|
|
(5,564 |
) |
|
8,405 |
|
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Yield Curve Spread Floor |
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(150,000 |
) |
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Feb-2023 |
|
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n/a |
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n/a |
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Hedge Total |
$ |
(1,226,650 |
) |
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$ |
(42,085 |
) |
$ |
51,112 |
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Rate Shock Grand Total |
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|
|
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|
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|
$ |
26,278 |
|
$ |
(39,186 |
) |
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(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. |
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(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 $85.5 million. |
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RMBS Assets by Agency |
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Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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($ in thousands) |
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Percentage |
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Percentage |
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Fair |
of |
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Fair |
of |
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Asset Category |
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Value |
Portfolio |
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Asset Category |
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Value |
Portfolio |
|
As of February 28, 2021 |
|
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As of February 28, 2021 |
|
|
|
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Fannie Mae |
$ |
3,074,228 |
79.3% |
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Non-Whole Pool Assets |
$ |
541,319 |
14.0% |
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Freddie Mac |
|
802,920 |
20.7% |
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Whole Pool Assets |
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3,335,829 |
86.0% |
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Total Mortgage Assets |
$ |
3,877,148 |
100.0% |
|
Total Mortgage Assets |
$ |
3,877,148 |
100.0% |
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Borrowings By Counterparty |
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($ in thousands) |
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Weighted |
Weighted |
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% of |
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Average |
Average |
|
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Total |
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Total |
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Repo |
Maturity |
Longest |
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As of February 28, 2021 |
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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