Orchid Island Capital Announces Estimated Third Quarter 2021 Results, October 2021 Monthly Dividend and September 30, 2021 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (ORC) declared a monthly cash dividend of $0.065 per share for October 2021, payable on November 26, 2021. The estimated book value per share as of September 30, 2021, is $4.77, with a net income of $0.20 per share reported for the quarter. This includes $0.02 in realized and unrealized losses on RMBS and derivatives. The company estimates a 5.4% total return on equity for the quarter. These figures are preliminary and subject to review by the independent accounting firm.

Positive

• Declared a monthly cash dividend of $0.065 per share.
• Estimated book value per share of $4.77 as of September 30, 2021.
• Estimated net income of $0.20 per share for Q3 2021.
• Comprehensive total return on equity of 5.4% for the quarter.

Negative

• Reported $0.02 per share in net realized and unrealized losses on RMBS and derivative instruments.
• No established minimum distribution payment level, raising future dividend concerns.

• October 2021 Monthly Dividend of $0.065 Per Share of Common Stock
• Estimated Book Value Per Share as of September 30, 2021 of $4.77
• Estimated GAAP net income of $0.20 per share for the quarter ended September 30, 2021, including an estimated $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments
• Estimated 5.4% total return on equity for the quarter
• Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
• RMBS Portfolio Characteristics as of September 30, 2021
• Next Dividend Announcement Expected November 9, 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 October 2021. The dividend of $0.065 per share will be paid November 26, 2021 to holders of record of the Company’s common stock on October 29, 2021, with an ex-dividend date of October 28, 2021. The Company plans on announcing its next common stock dividend on November 9, 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 October 12, 2021, the Company had 153,831,978 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

Estimated September 30, 2021 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2021 was $4.77. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $730.6 million with 153,318,351 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net income per share of $0.20, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended September 30, 2021 was 5.4%. 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 $0.255 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.06 from June 30, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 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 September 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 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.

RMBS Valuation Characteristics
($ in thousands)
																									Realized			Realized
																									Sep 2021			Jul - Sep			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 Oct)			in Oct)			(-50 BPS)(2)				(+50 BPS)(2)
Pass Through RMBS
15yr 2.5		$	223,524			$	235,988		4.21	%		$	105.58		2.50	%		2.87	%		9		166		10.5	%		8.3	%		$	3,620			$	(4,307	)
15yr 4.0			569				610		0.01	%			107.25		4.00	%		4.51	%		41		117		10.0	%		9.6	%			6				(8	)
15yr Total			224,093				236,598		4.22	%			105.58		2.50	%		2.88	%		10		166		10.5	%		8.3	%			3,626				(4,315	)
30yr 2.5			755,961				782,574		13.97	%			103.52		2.50	%		3.39	%		7		351		9.2	%		15.6	%			10,688				(17,923	)
30yr 3.0			3,685,738				3,955,954		70.63	%			107.33		3.00	%		3.48	%		7		352		6.7	%		7.6	%			62,963				(92,337	)
30yr 3.5			329,487				362,129		6.47	%			109.91		3.50	%		4.02	%		19		334		22.0	%		20.2	%			5,210				(7,144	)
30yr 4.0			81,269				89,089		1.59	%			109.62		4.00	%		4.72	%		36		321		19.0	%		28.5	%			996				(1,220	)
30yr 4.5			28,342				32,218		0.58	%			113.68		4.50	%		4.91	%		23		329		18.4	%		17.6	%			509				(611	)
30yr Total			4,880,797				5,221,964		93.23	%			106.99		2.98	%		3.53	%		8		350		8.3	%		9.9	%			80,366				(119,235	)
Total Pass Through RMBS			5,104,890				5,458,562		97.45	%			106.93		2.96	%		3.50	%		8		342		8.4	%		9.8	%			83,992				(123,550	)
Structured RMBS
IO 20yr 3.0			363,225				37,650		0.67	%			10.37		3.00	%		3.68	%		61		173		31.2	%		33.5	%			(4,077	)			2,526
IO 20yr 4.0			14,677				1,857		0.03	%			12.65		4.00	%		4.58	%		117		116		22.5	%		20.0	%			(39	)			21
IO 30yr 3.0			98,485				13,883		0.25	%			14.10		3.00	%		3.66	%		49		303		24.8	%		20.2	%			(1,430	)			992
IO 30yr 3.5			336,401				57,119		1.02	%			16.98		3.50	%		4.01	%		47		304		20.7	%		19.4	%			(4,818	)			3,301
IO 30yr 4.0			195,862				28,170		0.50	%			14.38		4.00	%		4.56	%		66		286		32.6	%		34.0	%			(2,552	)			2,292
IO 30yr 4.5			5,166				799		0.01	%			15.47		4.50	%		4.99	%		135		212		24.2	%		26.2	%			(77	)			59
IO 30yr 5.0			2,924				465		0.01	%			15.90		5.00	%		5.36	%		135		213		25.7	%		41.9	%			(37	)			32
IO Total			1,016,740				139,943		2.50	%			13.76		3.39	%		3.98	%		58		250		27.2	%		24.9	%			(13,031	)			9,224
IIO 30yr 4.0			49,645				2,783		0.05	%			5.61		3.75	%		4.41	%		48		304		27.4	%		28.0	%			(285	)			(96	)
Total Structured RMBS			1,066,385				142,726		2.55	%			13.38		3.40	%		4.00	%		57		253		27.2	%		25.1	%			(13,316	)			9,128
Total Mortgage Assets		$	6,171,275			$	5,601,288		100.00	%					3.04	%		3.59	%		17		326		11.8	%		12.4	%		$	70,676			$	(114,422	)
																															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																									$	(125	)		$	125
Swaps			(1,355,000	)		Dec-2026																										(35,820	)			35,820
5-Year Treasury Future(3)			(269,000	)		Dec-2021																										(9,532	)			7,254
10-Year Treasury Ultra(4)			(23,500	)		Dec-2021																										(2,560	)			1,837
Swaptions			(244,350	)		May-2022																										(7,654	)			(7,654	)
Yield Curve Spread Floor			(150,000	)		Feb-2023																										n/a				n/a
Hedge Total		$	(2,091,850	)																											$	(55,691	)		$	37,382
Rate Shock Grand Total																															$	14,985			$	(77,040	)

(1)		Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 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 $122.74 at September 30, 2021. The market value of the short position was $330.2 million.
(4)		Ten-year Treasury Ultra futures contracts were valued at prices of $145.25 at September 30, 2021. The market value of the short position was $34.1 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)			Portfolio				Asset Category		Value(1)			Portfolio
As of September 30, 2021									As of September 30, 2021
Fannie Mae		$	4,314,966		77.0	%			Non-Whole Pool Assets		$	325,421		5.8	%
Freddie Mac			1,286,322		23.0	%			Whole Pool Assets			5,275,867		94.2	%
Total Mortgage Assets		$	5,601,288		100.0	%			Total Mortgage Assets		$	5,601,288		100.0	%

(1)

Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021.

Borrowings By Counterparty
($ in thousands)
							Weighted		Weighted
					% of		Average		Average
		Total			Total		Repo		Maturity		Longest
As of September 30, 2021		Borrowings(1)			Debt		Rate		in Days		Maturity
ABN AMRO Bank N.V.		$	421,280		8.3%		0.12%		30		11/12/2021
Mirae Asset Securities (USA) Inc.			396,039		7.6%		0.12%		74		9/14/2022
Wells Fargo Bank, N.A.			357,656		6.9%		0.11%		14		10/22/2021
RBC Capital Markets, LLC			356,691		6.8%		0.12%		31		11/10/2021
J.P. Morgan Securities LLC			334,245		6.4%		0.12%		41		11/22/2021
Goldman, Sachs & Co.			323,521		6.2%		0.12%		40		12/27/2021
ASL Capital Markets Inc.			321,542		6.2%		0.12%		15		10/19/2021
Cantor Fitzgerald & Co			268,272		5.1%		0.12%		24		11/15/2021
Citigroup Global Markets Inc			263,278		5.0%		0.11%		13		10/14/2021
Mitsubishi UFJ Securities (USA), Inc			259,581		5.0%		0.24%		23		11/29/2021
Santander Bank, N.A.			210,831		4.0%		0.11%		29		11/15/2021
ED&F Man Capital Markets Inc			199,744		3.8%		0.12%		32		12/8/2021
ING Financial Markets LLC			199,544		3.8%		0.12%		37		11/10/2021
Nomura Securities International, Inc.			199,411		3.8%		0.11%		41		11/22/2021
South Street Securities, LLC			173,977		3.3%		0.12%		42		11/23/2021
BMO Capital Markets Corp.			169,909		3.3%		0.13%		14		10/22/2021
Daiwa Securities America Inc.			167,813		3.2%		0.11%		16		11/8/2021
Barclays Capital Inc			145,516		2.8%		0.11%		13		10/13/2021
Merrill Lynch, Pierce, Fenner & Smith			141,192		2.7%		0.17%		15		10/29/2021
Austin Atlantic Asset Management Co.			99,395		1.9%		0.14%		7		10/7/2021
Lucid Price Fund, LLC			85,283		1.6%		0.18%		14		10/14/2021
Lucid Cash Fund USG, LLC			60,503		1.2%		0.12%		14		10/14/2021
J.V.B. Financial Group, LLC			58,647		1.1%		0.12%		22		10/25/2021
Total Borrowings		$	5,213,869		100.0%		0.13%		30		9/14/2022

(1)

In September 2021, the Company purchased assets with a fair value of approximately $180.8 million, which settle in October 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

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Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

Source: Orchid Island Capital, Inc.

FAQ

What is the dividend amount for Orchid Island Capital in October 2021?

The dividend amount for Orchid Island Capital in October 2021 is $0.065 per share.

When will the dividend for October 2021 be paid?

The dividend for October 2021 will be paid on November 26, 2021.

What is the estimated book value per share of Orchid Island Capital?

The estimated book value per share of Orchid Island Capital as of September 30, 2021, is $4.77.

What is the estimated net income per share for the quarter ended September 30, 2021?

The estimated net income per share for the quarter ended September 30, 2021, is $0.20.

What factors influence Orchid Island Capital's dividend sustainability?

Orchid Island Capital must distribute at least 90% of its REIT taxable income to avoid income tax, influencing its dividend sustainability.