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

Rhea-AI Summary

Orchid Island Capital announced a monthly cash dividend of $0.065 per share for February 2021, payable on March 29, 2021, to stockholders of record as of February 26, 2021. The ex-dividend date is February 25, 2021. This distribution aligns with the company's goal of qualifying as a real estate investment trust (REIT), which mandates a distribution of at least 90% of its taxable income. As of early February 2021, the company had 85,121,365 shares outstanding.

Positive

• Regular monthly cash distributions signal confidence in financial stability.
• Dividend payment provides income to shareholders.

Negative

• No minimum distribution payment level established, indicating potential uncertainty in future distributions.
• Company may incur income tax on unreleased taxable income.

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.

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20210210005972/en/

FAQ

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

The dividend amount is $0.065 per share.

When will the dividend for Orchid Island Capital be paid?

The dividend will be paid on March 29, 2021.

What is the ex-dividend date for Orchid Island Capital?

The ex-dividend date is February 25, 2021.

How often does Orchid Island Capital declare dividends?

Orchid Island Capital intends to make regular monthly cash distributions.

What are the dividend qualification requirements for Orchid Island Capital?

As a REIT, the company must distribute at least 90% of its taxable income annually.