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Orchid Island Capital Announces February 2021 Monthly Dividend and January 31, 2021 RMBS Portfolio Characteristics

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  • February 2021 Monthly Dividend of $0.065 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of January 31, 2021
  • Next Dividend Announcement Expected March 17, 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 February 2021. The dividend of $0.065 per share will be paid March 29, 2021, to holders of record of the Company's common stock on February 26, 2021, with an ex-dividend date of February 25, 2021. The Company plans on announcing its next common stock dividend on March 17, 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 February 10, 2021 and January 31, 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 January 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 and the expected funding of purchased assets and anticipated borrowings. 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, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan 2021

Nov - Jan

 

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 Feb)

in Feb)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed Rate CMO

$

72,203

$

76,982

1.73%

$

106.62

4.00%

4.40%

41

313

28.80%

32.06%

$

(201)

$

(346)

15yr 2.5

 

239,845

 

257,515

5.78%

 

107.37

2.50%

2.87%

1

176

2.83%

n/a

 

3,026

 

(4,597)

15yr 4.0

 

647

 

697

0.02%

 

107.67

4.00%

4.50%

33

122

23.80%

22.91%

 

5

 

(9)

15yr Total

 

240,492

 

258,212

5.79%

 

107.37

2.50%

2.88%

2

176

2.88%

22.91%

 

3,031

 

(4,606)

20yr 2.0

 

397,839

 

413,008

9.26%

 

103.81

2.00%

2.86%

2

238

2.63%

2.73%

 

3,109

 

(6,803)

20yr Total

 

397,839

 

413,008

9.26%

 

103.81

2.00%

2.86%

2

238

2.63%

2.73%

 

3,109

 

(6,803)

30yr 2.5

 

1,236,221

 

1,315,433

29.50%

 

106.41

2.50%

3.31%

3

355

2.58%

4.36%

 

13,390

 

(26,285)

30yr 3.0

 

809,658

 

891,249

19.99%

 

110.08

3.00%

3.48%

5

354

6.41%

6.90%

 

14,818

 

(21,213)

30yr 3.5

 

617,482

 

683,643

15.33%

 

110.71

3.50%

4.00%

14

340

16.22%

18.60%

 

5,280

 

(11,056)

30yr 4.0

 

180,120

 

203,249

4.56%

 

112.84

4.00%

4.51%

29

324

21.94%

19.18%

 

2,929

 

(4,179)

30yr 4.5

 

93,291

 

105,442

2.37%

 

113.02

4.50%

5.00%

20

336

26.50%

25.98%

 

588

 

(1,301)

30yr Total

 

2,936,772

 

3,199,016

71.75%

 

108.93

3.00%

3.63%

8

349

8.45%

11.64%

 

37,005

 

(64,034)

Total Pass Through RMBS

 

3,647,306

 

3,947,218

88.53%

 

108.22

2.88%

3.51%

8

325

7.92%

11.91%

 

42,944

 

(75,789)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

249,787

 

29,573

0.66%

 

11.84

3.98%

4.57%

79

267

38.55%

42.56%

 

(3,926)

 

3,629

Total Structured RMBS

 

249,787

 

29,573

0.66%

 

11.84

3.98%

4.57%

79

267

38.55%

42.56%

 

(3,926)

 

3,629

Long TBA Positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FNCL 2.0 TBA

 

365,000

 

376,349

8.44%

 

103.11

2.00%

 

 

 

 

 

 

4,983

 

(8,295)

FNCL 2.5 TBA

 

100,000

 

105,234

2.36%

 

105.23

2.50%

 

 

 

 

 

 

636

 

(1,700)

Total Long TBA

 

465,000

 

481,583

10.80%

 

103.57

2.11%

 

 

 

 

 

 

5,619

 

(9,995)

Total Mortgage Assets

$

4,362,093

$

4,458,374

100.00%

 

 

2.86%

3.58%

12

321

9.90%

14.87%

$

44,637

$

(82,155)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

$

(250)

$

250

Swaps

 

(855,000)

 

Apr-2026

 

 

 

 

 

 

 

 

 

 

(10,103)

 

22,356

5-Year Treasury Futures

 

(69,000)

 

Mar-2021(3)

 

 

 

 

 

 

 

 

 

 

(2,217)

 

2,340

TBA

 

(528,000)

 

Feb-2021

 

 

 

 

 

 

 

 

 

 

(2,478)

 

6,912

Swaptions

 

(733,450)

 

Feb-2022

 

 

 

 

 

 

 

 

 

 

(5,848)

 

6,329

Hedge Total

$

(2,235,450)

 

 

 

 

 

 

 

 

 

 

 

$

(20,896)

$

38,187

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

23,741

$

(43,968)

(1)

Amounts in the tables above include assets with a fair value of approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 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 $125.88 at January 31, 2021. The market value of the short position was $86.9 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)(2)

Portfolio

 

Asset Category

 

Value(1)(2)

Portfolio

As of January 31, 2021

 

 

 

 

As of January 31, 2021

 

 

 

Fannie Mae

$

3,087,564

77.6%

 

Non-Whole Pool Assets

$

569,507

14.3%

Freddie Mac

 

889,228

22.4%

 

Whole Pool Assets

 

3,407,285

85.7%

Total Mortgage Assets

$

3,976,792

100.0%

 

Total Mortgage Assets

$

3,976,792

100.0%

(1)

Amounts in the tables above include assets with a fair value of approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 2021.

(2)

Amounts in the tables above exclude long TBA positions with a market value of approximately $481.6 million.

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of January 31, 2021

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

411,276

 

10.8%

 

0.21%

44

4/19/2021

Mirae Asset Securities (USA) Inc.

 

395,393

 

10.3%

 

0.23%

49

7/26/2021

J.P. Morgan Securities LLC

 

382,267

 

10.0%

 

0.24%

56

7/21/2021

Mitsubishi UFJ Securities (USA), Inc

 

334,442

 

8.7%

 

0.21%

76

4/26/2021

ASL Capital Markets Inc.

 

269,629

 

7.0%

 

0.20%

21

4/26/2021

Cantor Fitzgerald & Co.

 

236,033

 

6.1%

 

0.21%

18

4/22/2021

RBC Capital Markets, LLC

 

230,058

 

6.0%

 

0.20%

22

4/19/2021

Citigroup Global Markets Inc

 

213,413

 

5.6%

 

0.20%

11

2/11/2021

Nomura Securities International, Inc.

 

211,464

 

5.5%

 

0.20%

35

4/19/2021

ED&F Man Capital Markets Inc

 

162,935

 

4.2%

 

0.20%

94

7/26/2021

Barclays Capital Inc.

 

156,684

 

4.1%

 

0.21%

12

2/12/2021

Merrill Lynch, Pierce, Fenner & Smith

 

149,500

 

3.9%

 

0.21%

11

3/2/2021

ING Financial Markets LLC

 

123,519

 

3.2%

 

0.21%

73

4/14/2021

ABN AMRO Bank N.V.

 

104,121

 

2.7%

 

0.20%

12

2/12/2021

Daiwa Securities America Inc.

 

101,630

 

2.6%

 

0.23%

16

3/4/2021

South Street Securities, LLC

 

79,298

 

2.1%

 

0.28%

71

5/13/2021

Goldman, Sachs & Co.

 

77,823

 

2.0%

 

0.22%

16

2/16/2021

Bank of Montreal

 

65,845

 

1.7%

 

0.22%

11

2/11/2021

Austin Atlantic Asset Management Co.

 

51,189

 

1.3%

 

0.23%

5

2/5/2021

Lucid Cash Fund USG LLC

 

51,028

 

1.3%

 

0.25%

11

2/11/2021

J.V.B. Financial Group, LLC

 

34,319

 

0.9%

 

0.20%

83

4/26/2021

Total Borrowings

$

3,841,866

 

100.0%

 

0.21%

 

7/26/2021

(1)

In January 2021, the Company sold assets with a fair value of approximately $80.5 million, which settle in February 2021 that collateralize approximately $83.0 million of repurchase agreements included in the table above. In January 2021, the Company purchased assets with a fair value of approximately $46.7 million, which settle in February 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

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