Orchid Island Capital Announces Estimated Second Quarter 2021 Results, July 2021 Monthly Dividend and June 30, 2021 RMBS Portfolio Characteristics
Orchid Island Capital (NYSE:ORC) declared a monthly cash dividend of $0.065 per share for July 2021, to be paid on August 27, 2021. Shareholders of record by July 30, 2021 will receive it, with an ex-dividend date of July 29, 2021. The estimated book value per share as of June 30, 2021, is $4.71. For Q2 2021, the company reported a net loss per share of $0.17, largely due to $0.41 of losses on RMBS and derivatives. Additionally, the estimated total return on equity was (0.7)%.
- Declared a monthly cash dividend of $0.065 per share.
- Estimated book value per share of $4.71 as of June 30, 2021.
- Reported a net loss per share of $0.17 due to $0.41 losses on RMBS and derivatives.
- Estimated total return on equity of (0.7)% for Q2 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 July 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 July 14, 2021, the Company had 120,000,013 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding. As of March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.
Estimated June 30, 2021 Book Value Per Share
The Company’s estimated book value per share as of June 30, 2021 was
Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net loss per share of
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter ended June 30, 2021 was (0.7)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of June 30, 2021 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended June 30, 2021, are subject to review by the Company’s independent registered public accounting firm.
- 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 |
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($ in thousands) |
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Realized |
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Realized |
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Jun 2021 |
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Apr - Jun |
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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 |
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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 Jul) |
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in Jul) |
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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 |
$ |
231,274 |
|
$ |
244,657 |
|
5.24 |
% |
|
$ |
105.79 |
|
2.50 |
% |
|
2.87 |
% |
|
6 |
|
170 |
|
8.1 |
% |
|
5.3 |
% |
|
$ |
3,840 |
|
|
$ |
(4,584 |
) |
|
15yr 4.0 |
|
595 |
|
|
649 |
|
0.01 |
% |
|
|
109.07 |
|
4.00 |
% |
|
4.50 |
% |
|
38 |
|
118 |
|
8.8 |
% |
|
8.4 |
% |
|
|
7 |
|
|
|
(8 |
) |
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15yr Total |
|
231,869 |
|
|
245,306 |
|
5.25 |
% |
|
|
105.80 |
|
2.50 |
% |
|
2.88 |
% |
|
7 |
|
170 |
|
8.1 |
% |
|
5.3 |
% |
|
|
3,847 |
|
|
|
(4,592 |
) |
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20yr 2.0 |
|
146,240 |
|
|
149,604 |
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3.20 |
% |
|
|
102.30 |
|
2.00 |
% |
|
2.87 |
% |
|
6 |
|
234 |
|
7.3 |
% |
|
4.7 |
% |
|
|
2,182 |
|
|
|
(3,200 |
) |
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20yr Total |
|
146,240 |
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|
149,604 |
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3.20 |
% |
|
|
102.30 |
|
2.00 |
% |
|
2.87 |
% |
|
6 |
|
234 |
|
7.3 |
% |
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4.7 |
% |
|
|
2,182 |
|
|
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(3,200 |
) |
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30yr 2.5 |
|
669,504 |
|
|
695,293 |
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14.88 |
% |
|
|
103.85 |
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2.50 |
% |
|
3.46 |
% |
|
8 |
|
349 |
|
14.1 |
% |
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11.0 |
% |
|
|
11,282 |
|
|
|
(16,980 |
) |
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30yr 3.0 |
|
2,546,031 |
|
|
2,723,790 |
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58.31 |
% |
|
|
106.98 |
|
3.00 |
% |
|
3.49 |
% |
|
6 |
|
353 |
|
7.9 |
% |
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8.1 |
% |
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51,339 |
|
|
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(69,082 |
) |
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30yr 3.5 |
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567,315 |
|
|
617,793 |
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13.23 |
% |
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|
108.90 |
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3.50 |
% |
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4.00 |
% |
|
19 |
|
335 |
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22.2 |
% |
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20.3 |
% |
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9,792 |
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(13,470 |
) |
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30yr 4.0 |
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49,002 |
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54,286 |
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1.16 |
% |
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|
110.78 |
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4.00 |
% |
|
4.63 |
% |
|
61 |
|
294 |
|
22.9 |
% |
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22.7 |
% |
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|
1,032 |
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(1,134 |
) |
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30yr 4.5 |
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79,385 |
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|
88,466 |
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1.89 |
% |
|
|
111.44 |
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4.50 |
% |
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5.00 |
% |
|
25 |
|
330 |
|
27.9 |
% |
|
30.2 |
% |
|
|
1,088 |
|
|
|
(1,449 |
) |
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30yr Total |
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3,911,237 |
|
|
4,179,628 |
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89.48 |
% |
|
|
106.86 |
|
3.03 |
% |
|
3.60 |
% |
|
9 |
|
348 |
|
11.6 |
% |
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11.5 |
% |
|
|
74,533 |
|
|
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(102,115 |
) |
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Total Pass Through RMBS |
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4,289,346 |
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4,574,538 |
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97.93 |
% |
|
|
106.65 |
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2.97 |
% |
|
3.54 |
% |
|
9 |
|
335 |
|
11.3 |
% |
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10.9 |
% |
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|
80,562 |
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(109,907 |
) |
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Structured RMBS |
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Interest-Only Securities |
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612,075 |
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|
92,710 |
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1.98 |
% |
|
|
15.15 |
|
3.63 |
% |
|
4.19 |
% |
|
58 |
|
290 |
|
26.7 |
% |
|
29.4 |
% |
|
|
(6,609 |
) |
|
|
5,507 |
|
|
Inverse Interest-Only Securities |
|
55,822 |
|
|
3,991 |
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0.09 |
% |
|
|
7.15 |
|
3.79 |
% |
|
4.40 |
% |
|
46 |
|
307 |
|
20.5 |
% |
|
32.9 |
% |
|
|
(222 |
) |
|
|
(165 |
) |
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Total Structured RMBS |
|
667,897 |
|
|
96,701 |
|
2.07 |
% |
|
|
14.48 |
|
3.64 |
% |
|
4.21 |
% |
|
57 |
|
291 |
|
26.2 |
% |
|
29.9 |
% |
|
|
(6,831 |
) |
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|
5,342 |
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Total Mortgage Assets |
$ |
4,957,243 |
|
$ |
4,671,239 |
|
100.00 |
% |
|
|
|
3.06 |
% |
|
3.63 |
% |
|
15 |
|
329 |
|
13.3 |
% |
|
12.9 |
% |
|
$ |
73,731 |
|
|
$ |
(104,565 |
) |
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Interest |
|
Interest |
|||||||
|
Average |
|
Hedge |
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|
|
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|
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|
Rate |
|
Rate |
|||||||
|
Notional |
|
Period |
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Sensitivity |
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Sensitivity |
|||||||
Hedge |
Balance |
|
End |
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(-50 BPS)(1) |
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(+50 BPS)(1) |
|||||||
Eurodollar Futures |
$ |
(50,000 |
) |
|
Dec-2021 |
|
|
|
|
|
|
|
|
|
$ |
(125 |
) |
$ |
125 |
|
||
Swaps |
|
(1,355,000 |
) |
|
Dec-2026 |
|
|
|
|
|
|
|
|
|
|
(35,506 |
) |
|
35,506 |
|
||
5-Year Treasury Future(2) |
|
(269,000 |
) |
|
Sep-2021 |
|
|
|
|
|
|
|
|
|
|
(8,746 |
) |
|
8,277 |
|
||
10-Year Treasury Ultra(3) |
|
(23,500 |
) |
|
Sep-2021 |
|
|
|
|
|
|
|
|
|
|
(2,343 |
) |
|
2,257 |
|
||
TBA |
|
(400,000 |
) |
|
Jul-2021 |
|
|
|
|
|
|
|
|
|
|
(2,947 |
) |
|
6,032 |
|
||
Swaptions |
|
(244,350 |
) |
|
May-2022 |
|
|
|
|
|
|
|
|
|
|
(6,762 |
) |
|
7,554 |
|
||
Yield Curve Spread Floor |
|
(150,000 |
) |
|
Feb-2023 |
|
|
|
|
|
|
|
|
|
|
n/a |
|
|
n/a |
|
||
Hedge Total |
$ |
(2,491,850 |
) |
|
|
|
|
|
|
|
|
|
|
|
$ |
(56,429 |
) |
$ |
59,751 |
|
||
Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
17,302 |
|
$ |
(44,814 |
) |
||||
(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 |
(3) |
Ten-year Treasury Ultra futures contracts were valued at prices of |
RMBS Assets by Agency |
|
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 |
|
of |
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Asset Category |
Value |
|
Portfolio |
|
Asset Category |
Value |
|
Portfolio |
||||||||
As of June 30, 2021 |
|
|
|
As of June 30, 2021 |
|
|
||||||||||
Fannie Mae |
$ |
3,773,957 |
80.8 |
% |
|
Non-Whole Pool Assets |
$ |
334,781 |
7.2 |
% |
||||||
Freddie Mac |
|
897,282 |
19.2 |
% |
|
Whole Pool Assets |
|
4,336,458 |
92.8 |
% |
||||||
Total Mortgage Assets |
$ |
4,671,239 |
100.0 |
% |
|
Total Mortgage Assets |
$ |
4,671,239 |
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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|
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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 June 30, 2021 |
Borrowings |
|
Debt |
|
Rate |
|
in Days |
|
Maturity |
||||
Mirae Asset Securities (USA) Inc. |
$ |
393,954 |
|
8.7 |
% |
|
0.14 |
% |
|
34 |
|
9/14/2021 |
|
Wells Fargo Bank, N.A. |
|
378,394 |
|
8.4 |
% |
|
0.12 |
% |
|
14 |
|
7/23/2021 |
|
Mitsubishi UFJ Securities (USA), Inc |
|
355,357 |
|
7.9 |
% |
|
0.20 |
% |
|
20 |
|
7/28/2021 |
|
J.P. Morgan Securities LLC |
|
345,476 |
|
7.7 |
% |
|
0.18 |
% |
|
62 |
|
9/7/2021 |
|
ASL Capital Markets Inc. |
|
342,467 |
|
7.6 |
% |
|
0.11 |
% |
|
19 |
|
8/26/2021 |
|
RBC Capital Markets, LLC |
|
295,929 |
|
6.6 |
% |
|
0.11 |
% |
|
33 |
|
8/12/2021 |
|
Cantor Fitzgerald & Co |
|
276,727 |
|
6.1 |
% |
|
0.11 |
% |
|
35 |
|
9/13/2021 |
|
ABN AMRO Bank N.V. |
|
222,136 |
|
4.9 |
% |
|
0.12 |
% |
|
23 |
|
8/11/2021 |
|
ED&F Man Capital Markets Inc. |
|
204,081 |
|
4.5 |
% |
|
0.15 |
% |
|
24 |
|
8/19/2021 |
|
ING Financial Markets LLC |
|
201,506 |
|
4.5 |
% |
|
0.12 |
% |
|
21 |
|
9/10/2021 |
|
Nomura Securities International, Inc. |
|
201,196 |
|
4.5 |
% |
|
0.11 |
% |
|
27 |
|
8/17/2021 |
|
Citigroup Global Markets Inc. |
|
197,170 |
|
4.4 |
% |
|
0.12 |
% |
|
12 |
|
7/12/2021 |
|
Barclays Capital Inc. |
|
150,511 |
|
3.3 |
% |
|
0.12 |
% |
|
12 |
|
7/12/2021 |
|
Goldman, Sachs & Co. |
|
147,558 |
|
3.3 |
% |
|
0.11 |
% |
|
42 |
|
9/27/2021 |
|
Merrill Lynch, Pierce, Fenner & Smith |
|
141,275 |
|
3.1 |
% |
|
0.14 |
% |
|
14 |
|
7/14/2021 |
|
BMO Capital Markets Corp. |
|
140,261 |
|
3.1 |
% |
|
0.12 |
% |
|
27 |
|
9/14/2021 |
|
Daiwa Securities America Inc. |
|
121,577 |
|
2.7 |
% |
|
0.12 |
% |
|
39 |
|
8/13/2021 |
|
Santander Bank, N.A. |
|
101,468 |
|
2.2 |
% |
|
0.13 |
% |
|
85 |
|
9/23/2021 |
|
Austin Atlantic Asset Management Co. |
|
101,075 |
|
2.2 |
% |
|
0.14 |
% |
|
1 |
|
7/1/2021 |
|
South Street Securities, LLC |
|
98,634 |
|
2.2 |
% |
|
0.14 |
% |
|
66 |
|
10/8/2021 |
|
Lucid Cash Fund USG LLC |
|
51,605 |
|
1.1 |
% |
|
0.10 |
% |
|
15 |
|
7/15/2021 |
|
J.V.B. Financial Group, LLC |
|
32,945 |
|
0.7 |
% |
|
0.11 |
% |
|
24 |
|
7/26/2021 |
|
Lucid Prime Fund, LLC |
|
13,402 |
|
0.3 |
% |
|
0.23 |
% |
|
15 |
|
7/15/2021 |
|
Total Borrowings |
$ |
4,514,704 |
|
100.0 |
% |
|
0.13 |
% |
|
29 |
|
10/8/2021 |
|
View source version on businesswire.com: https://www.businesswire.com/news/home/20210714005911/en/
FAQ
What is the dividend amount declared by Orchid Island Capital for July 2021?
When will the dividend for July 2021 be paid?
What is the ex-dividend date for the July 2021 dividend?
What was Orchid Island Capital's estimated book value per share as of June 30, 2021?
What was the net loss per share reported by Orchid Island Capital for Q2 2021?
