Orchid Island Capital Announces August 2021 Monthly Dividend and July 31, 2021 RMBS Portfolio Characteristics
Orchid Island Capital, Inc. (NYSE: ORC) declared a cash dividend of $0.065 per share for August 2021, payable on September 28, 2021, to shareholders on record as of August 31, 2021. The ex-dividend date is set for August 30, 2021. To comply with REIT regulations, the Company must distribute at least 90% of its taxable income. While the Company aims to provide regular distributions, there is no guaranteed minimum level of payment, and future distributions are not assured. As of August 18, 2021, there are 123,860,013 shares outstanding.
- Monthly cash dividend of $0.065 enhances shareholder income.
- Company's commitment to regular monthly distributions indicates confidence.
- No minimum distribution level established raises sustainability concerns.
- Uncertainty about future dividend payments may affect investor confidence.
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 August 2021. The dividend of
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
As of August 18, 2021, the Company had 123,860,013 shares of common stock outstanding. As of July 31, 2021, the Company had 123,060,013 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of July 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 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.
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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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Jul 2021 |
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May - Jul |
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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 |
Face |
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Value(1) |
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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 Aug) |
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in Aug) |
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(-50 BPS)(2) |
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(+50 BPS)(2) |
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Pass Through RMBS |
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15yr 2.5 |
$ |
228,551 |
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$ |
242,466 |
|
4.82 |
% |
$ |
106.09 |
2.50 |
% |
2.87 |
% |
7 |
|
168 |
8.7 |
% |
6.6 |
% |
$ |
3,281 |
|
$ |
(4,050 |
) |
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15yr 4.0 |
|
587 |
|
|
630 |
|
0.01 |
% |
|
107.42 |
|
4.00 |
% |
4.50 |
% |
39 |
|
118 |
9.1 |
% |
8.7 |
% |
|
6 |
|
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(7 |
) |
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15yr Total |
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229,138 |
|
|
243,096 |
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4.83 |
% |
|
106.09 |
|
2.50 |
% |
2.88 |
% |
8 |
|
168 |
8.7 |
% |
6.6 |
% |
|
3,287 |
|
|
(4,057 |
) |
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20yr 2.0 |
|
144,854 |
|
|
149,148 |
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2.96 |
% |
|
102.96 |
|
2.00 |
% |
2.87 |
% |
7 |
|
233 |
8.4 |
% |
6.5 |
% |
|
1,134 |
|
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(2,235 |
) |
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20yr Total |
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144,854 |
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|
149,148 |
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2.96 |
% |
|
102.96 |
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2.00 |
% |
2.87 |
% |
7 |
|
233 |
8.4 |
% |
6.5 |
% |
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1,134 |
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(2,235 |
) |
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30yr 2.5 |
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909,495 |
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|
950,505 |
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18.88 |
% |
|
104.51 |
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2.50 |
% |
3.41 |
% |
6 |
|
351 |
19.3 |
% |
14.7 |
% |
|
6,906 |
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(14,996 |
) |
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30yr 3.0 |
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2,882,330 |
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3,108,869 |
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61.76 |
% |
|
107.86 |
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3.00 |
% |
3.50 |
% |
6 |
|
352 |
6.9 |
% |
8.0 |
% |
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32,847 |
|
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(56,164 |
) |
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30yr 3.5 |
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332,791 |
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|
366,663 |
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7.28 |
% |
|
110.18 |
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3.50 |
% |
4.02 |
% |
18 |
|
336 |
17.7 |
% |
18.6 |
% |
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4,198 |
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(5,820 |
) |
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30yr 4.0 |
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47,827 |
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53,202 |
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1.06 |
% |
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111.24 |
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4.00 |
% |
4.63 |
% |
62 |
|
293 |
27.3 |
% |
23.2 |
% |
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843 |
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(938 |
) |
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30yr 4.5 |
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51,122 |
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57,500 |
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1.14 |
% |
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112.48 |
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4.50 |
% |
4.97 |
% |
25 |
|
329 |
23.1 |
% |
26.6 |
% |
|
460 |
|
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(660 |
) |
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30yr Total |
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4,223,565 |
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4,536,739 |
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90.12 |
% |
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107.41 |
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2.96 |
% |
3.55 |
% |
8 |
|
350 |
10.3 |
% |
11.0 |
% |
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45,254 |
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(78,578 |
) |
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Total Pass Through RMBS |
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4,597,557 |
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4,928,983 |
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97.91 |
% |
|
107.21 |
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2.91 |
% |
3.50 |
% |
8 |
|
337 |
10.2 |
% |
10.5 |
% |
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49,675 |
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(84,870 |
) |
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Structured RMBS |
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IO 20yr 3.0 |
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65,486 |
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5,658 |
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0.11 |
% |
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8.64 |
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3.00 |
% |
3.64 |
% |
55 |
|
180 |
33.1 |
% |
n/a |
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(785 |
) |
|
717 |
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IO 20yr 4.0 |
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15,393 |
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|
1,947 |
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0.04 |
% |
|
12.65 |
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4.00 |
% |
4.58 |
% |
115 |
|
117 |
17.6 |
% |
19.1 |
% |
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(48 |
) |
|
37 |
|
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IO 30yr 3.0 |
|
102,171 |
|
|
13,595 |
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0.27 |
% |
|
13.31 |
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3.00 |
% |
3.66 |
% |
47 |
|
305 |
17.8 |
% |
18.9 |
% |
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(1,813 |
) |
|
1,483 |
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IO 30yr 3.5 |
|
349,645 |
|
|
54,187 |
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1.08 |
% |
|
15.50 |
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3.50 |
% |
4.01 |
% |
45 |
|
306 |
19.9 |
% |
20.4 |
% |
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(5,841 |
) |
|
4,773 |
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IO 30yr 4.0 |
|
212,841 |
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|
25,004 |
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0.50 |
% |
|
11.75 |
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4.00 |
% |
4.57 |
% |
65 |
|
288 |
36.9 |
% |
35.3 |
% |
|
(2,325 |
) |
|
2,688 |
|
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IO 30yr 4.5 |
|
5,481 |
|
|
839 |
|
0.02 |
% |
|
15.31 |
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4.50 |
% |
4.99 |
% |
133 |
|
214 |
27.4 |
% |
27.9 |
% |
|
(87 |
) |
|
87 |
|
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IO 30yr 5.0 |
|
3,285 |
|
|
522 |
|
0.01 |
% |
|
15.90 |
|
5.00 |
% |
5.37 |
% |
133 |
|
214 |
50.9 |
% |
37.4 |
% |
|
(40 |
) |
|
45 |
|
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IO Total |
|
754,302 |
|
|
101,752 |
|
2.02 |
% |
|
13.49 |
|
3.55 |
% |
4.11 |
% |
54 |
|
285 |
25.7 |
% |
22.7 |
% |
|
(10,939 |
) |
|
9,830 |
|
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IIO 30yr 4.0 |
|
54,145 |
|
|
3,240 |
|
0.06 |
% |
|
5.98 |
|
3.76 |
% |
4.40 |
% |
47 |
|
306 |
12.8 |
% |
16.3 |
% |
|
(529 |
) |
|
140 |
|
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Total Structured RMBS |
|
808,447 |
|
|
104,992 |
|
2.09 |
% |
|
12.99 |
|
3.57 |
% |
4.13 |
% |
53 |
|
286 |
24.8 |
% |
22.3 |
% |
|
(11,468 |
) |
|
9,970 |
|
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Total Mortgage Assets |
$ |
5,406,004 |
|
$ |
5,033,975 |
|
100.00 |
% |
|
3.01 |
% |
3.59 |
% |
15 |
|
330 |
12.4 |
% |
12.3 |
% |
$ |
38,207 |
|
$ |
(74,900 |
) |
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Interest |
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Interest |
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Average |
|
Hedge |
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Rate |
|
Rate |
||||||||||||||||
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Notional |
|
Period |
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Sensitivity |
|
Sensitivity |
||||||||||||||||
Hedge |
Balance |
|
End |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(-50 BPS)(2) |
|
(+50 BPS)(2) |
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Eurodollar Futures |
$ |
(50,000 |
) |
Dec-2021 |
|
|
|
|
|
|
|
|
$ |
(125 |
) |
$ |
125 |
|
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Swaps |
|
(1,355,000 |
) |
Dec-2026 |
|
|
|
|
|
|
|
|
|
(37,260 |
) |
|
37,260 |
|
|||||||||||||||||||||
5-Year Treasury Future(3) |
|
(269,000 |
) |
Sep-2021 |
|
|
|
|
|
|
|
|
|
(7,458 |
) |
|
9,778 |
|
|||||||||||||||||||||
10-Year Treasury Ultra(4) |
|
(23,500 |
) |
Sep-2021 |
|
|
|
|
|
|
|
|
|
(2,257 |
) |
|
2,513 |
|
|||||||||||||||||||||
TBA |
|
(400,000 |
) |
Aug-2021 |
|
|
|
|
|
|
|
|
|
(7,602 |
) |
|
12,413 |
|
|||||||||||||||||||||
Swaptions |
|
(244,350 |
) |
May-2022 |
|
|
|
|
|
|
|
|
|
(6,190 |
) |
|
7,573 |
|
|||||||||||||||||||||
Yield Curve Spread Floor |
|
(150,000 |
) |
Feb-2023 |
|
|
|
|
|
|
|
|
|
n/a |
|
|
n/a |
|
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Hedge Total |
$ |
(2,491,850 |
) |
|
|
|
|
|
|
|
|
|
$ |
(60,892 |
) |
$ |
69,662 |
|
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Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
$ |
(22,685 |
) |
$ |
(5,238 |
) |
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(1) |
Amounts in the tables above include assets with a fair value of approximately |
(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 |
(4) |
Ten-year Treasury Ultra futures contracts were valued at prices of |
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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 |
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of |
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Fair |
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of |
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Asset Category |
Value(1) |
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Portfolio |
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Asset Category |
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Value(1) |
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Portfolio |
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As of July 31, 2021 |
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As of July 31, 2021 |
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Fannie Mae |
$ |
4,175,983 |
|
|
83.0 |
% |
|
|
|
Non-Whole Pool Assets |
|
$ |
335,968 |
|
|
6.7 |
% |
|
Freddie Mac |
|
857,992 |
|
|
17.0 |
% |
|
|
|
Whole Pool Assets |
|
|
4,698,007 |
|
|
93.3 |
% |
|
Total Mortgage Assets |
$ |
5,033,975 |
|
|
100.0 |
% |
|
|
|
Total Mortgage Assets |
|
$ |
5,033,975 |
|
|
100.0 |
% |
|
(1) |
Amounts in the tables above include assets with a fair value of approximately |
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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 |
|
Repo |
|
Maturity |
|
Longest |
|||||
As of July 31, 2021 |
Borrowings(1) |
|
Debt |
|
Rate |
|
in Days |
|
Maturity |
|||||
Mirae Asset Securities (USA) Inc. |
$ |
384,095 |
|
8.4 |
% |
|
0.13 |
% |
38 |
|
10/26/2021 |
|||
Wells Fargo Bank, N.A. |
|
358,877 |
|
|
7.9 |
% |
|
0.11 |
% |
37 |
|
10/12/2021 |
||
J.P. Morgan Securities LLC |
|
342,321 |
|
|
7.5 |
% |
|
0.17 |
% |
35 |
|
9/7/2021 |
||
ASL Capital Markets Inc. |
|
336,552 |
|
|
7.4 |
% |
|
0.12 |
% |
31 |
|
10/15/2021 |
||
ABN AMRO Bank N.V. |
|
322,087 |
|
|
7.1 |
% |
|
0.11 |
% |
32 |
|
10/14/2021 |
||
RBC Capital Markets, LLC |
|
312,055 |
|
|
6.8 |
% |
|
0.11 |
% |
30 |
|
10/14/2021 |
||
Mitsubishi UFJ Securities (USA), Inc. |
|
293,635 |
|
|
6.4 |
% |
|
0.23 |
% |
48 |
|
10/12/2021 |
||
Cantor Fitzgerald & Co. |
|
273,321 |
|
|
6.0 |
% |
|
0.11 |
% |
29 |
|
10/25/2021 |
||
ING Financial Markets LLC |
|
203,629 |
|
|
4.5 |
% |
|
0.11 |
% |
36 |
|
9/10/2021 |
||
Nomura Securities International, Inc. |
|
198,532 |
|
|
4.4 |
% |
|
0.12 |
% |
34 |
|
10/12/2021 |
||
ED&F Man Capital Markets Inc. |
|
198,138 |
|
|
4.3 |
% |
|
0.14 |
% |
60 |
|
10/26/2021 |
||
Citigroup Global Markets Inc. |
|
187,545 |
|
|
4.1 |
% |
|
0.12 |
% |
11 |
|
8/11/2021 |
||
Santander Bank, N.A. |
|
157,774 |
|
|
3.5 |
% |
|
0.13 |
% |
61 |
|
10/14/2021 |
||
Goldman Sachs & Co. LLC |
|
150,079 |
|
|
3.3 |
% |
|
0.13 |
% |
72 |
|
10/29/2021 |
||
Barclays Capital Inc. |
|
148,532 |
|
|
3.3 |
% |
|
0.12 |
% |
12 |
|
8/12/2021 |
||
BMO Capital Markets Corp. |
|
138,923 |
|
|
3.0 |
% |
|
0.11 |
% |
59 |
|
10/12/2021 |
||
Merrill Lynch, Pierce, Fenner & Smith |
|
133,886 |
|
|
2.9 |
% |
|
0.14 |
% |
73 |
|
10/14/2021 |
||
Daiwa Capital Markets America, Inc. |
|
121,652 |
|
|
2.7 |
% |
|
0.12 |
% |
11 |
|
8/13/2021 |
||
Austin Atlantic Asset Management Co. |
|
101,540 |
|
|
2.2 |
% |
|
0.14 |
% |
5 |
|
8/5/2021 |
||
South Street Securities, LLC |
|
98,634 |
|
|
2.2 |
% |
|
0.14 |
% |
35 |
|
10/8/2021 |
||
Lucid Cash Fund USG, LLC |
|
51,473 |
|
|
1.1 |
% |
|
0.12 |
% |
12 |
|
8/12/2021 |
||
J.V.B. Financial Group, LLC |
|
31,605 |
|
|
0.7 |
% |
|
0.12 |
% |
84 |
|
10/25/2021 |
||
Lucid Prime Fund, LLC |
|
12,952 |
|
|
0.3 |
% |
|
0.23 |
% |
12 |
|
8/12/2021 |
||
Total Borrowings |
$ |
4,557,838 |
|
|
100.0 |
% |
|
0.13 |
% |
37 |
|
10/29/2021 |
||
(1) |
In July 2021, the Company purchased assets with a fair value of approximately |
View source version on businesswire.com: https://www.businesswire.com/news/home/20210818005797/en/
FAQ
What is the dividend amount declared by Orchid Island Capital for August 2021?
When will the dividend be paid to shareholders?
What is the ex-dividend date for the August 2021 payment?
How often does Orchid Island Capital pay dividends?
Is there a guaranteed minimum for future dividends?
