Orchid Island Capital Announces March 2021 Monthly Dividend and February 28, 2021 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (NYSE:ORC) has declared a monthly cash dividend of $0.065 per share for March 2021, payable on April 28, 2021. Stockholders on record as of March 31, 2021 will qualify, with an ex-dividend date of March 30, 2021. The Company emphasizes its commitment to regular monthly distributions in order to maintain its status as a Real Estate Investment Trust (REIT), which requires at least 90% distribution of taxable income annually. As of March 17, 2021, it has 94,321,365 shares outstanding.

Positive

• Monthly cash dividend of $0.065 per share announced.
• Dividend payment date set for April 28, 2021.
• Commitment to regular monthly distributions to maintain REIT status.

Negative

• No established minimum distribution payment level.
• Future distribution ability is uncertain.

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 March 2021. The dividend of $0.065 per share will be paid April 28, 2021, to holders of record of the Company’s common stock on March 31, 2021, with an ex-dividend date of March 30, 2021. The Company plans on announcing its next common stock dividend on April 14, 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 March 17, 2021, the Company had 94,321,365 shares of common stock outstanding. As of February 28, 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 February 28, 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. 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
																									Feb 2021			Dec - Feb				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		Portfolio				Price		Coupon			GWAC			Age		(Months)		in Mar)			in Mar)				(-50 BPS)(1)				(+50 BPS)(1)
Pass Through RMBS
15yr 2.5		$	238,175			$	253,790		6.55	%		$	106.56		2.50	%		2.87	%		2		174		2.41	%		n/a			$	4,295			$	(4,998	)
15yr 4.0			629				676		0.02	%			107.58		4.00	%		4.50	%		34		122		8.05	%		18.57	%			8				(9	)
15yr Total			238,804				254,466		6.56	%			106.56		2.50	%		2.88	%		3		174		2.43	%		18.57	%			4,303				(5,007	)
20yr 2.0			395,950				407,705		10.52	%			102.97		2.00	%		2.86	%		3		237		3.26	%		3.22	%			6,322				(8,905	)
20yr Total			395,950				407,705		10.52	%			102.97		2.00	%		2.86	%		3		237		3.26	%		3.22	%			6,322				(8,905	)
30yr 2.5			1,231,466				1,287,446		33.21	%			104.55		2.50	%		3.31	%		4		354		4.52	%		4.19	%			25,433				(34,380	)
30yr 3.0			846,209				919,714		23.72	%			108.69		3.00	%		3.48	%		6		353		6.67	%		7.14	%			21,029				(24,742	)
30yr 3.5			607,218				668,872		17.25	%			110.15		3.50	%		4.00	%		15		339		19.91	%		19.18	%			10,390				(14,645	)
30yr 4.0			176,155				198,298		5.11	%			112.57		4.00	%		4.51	%		30		322		15.26	%		19.26	%			3,839				(4,375	)
30yr 4.5			90,796				102,649		2.65	%			113.05		4.50	%		5.00	%		21		335		30.97	%		29.10	%			1,142				(1,622	)
30yr Total			2,951,844				3,176,979		81.94	%			107.63		3.00	%		3.62	%		9		348		9.76	%		10.92	%			61,833				(79,764	)
Total Pass Through RMBS			3,586,598				3,839,150		99.02	%			107.04		2.86	%		3.49	%		8		324		8.55	%		10.20	%			72,458				(93,676	)
Structured RMBS
Interest-Only Securities			238,355				33,354		0.86	%			13.99		3.98	%		4.57	%		80		265		35.64	%		40.44	%			(3,881	)			3,642
Inverse Interest-Only Securities			69,363				4,644		0.12	%			6.69		3.74	%		4.40	%		42		312		27.54	%		n/a				(214	)			(264	)
Total Structured RMBS			307,718				37,998		0.98	%			12.35		3.93	%		4.53	%		71		276		33.81	%		40.44	%			(4,095	)			3,378
Total Mortgage Assets		$	3,894,316			$	3,877,148		100.00	%					2.94	%		3.57	%		13		320		10.55	%		12.71	%		$	68,363			$	(90,298	)
																																Interest				Interest
			Average				Hedge																									Rate				Rate
			Notional				Period																									Sensitivity				Sensitivity
Hedge			Balance				End																									(-50 BPS)(1)				(+50 BPS)(1)
Eurodollar Futures		$	(50,000	)			Dec-2021																								$	(250	)		$	250
Swaps			(855,000	)			Apr-2026																									(22,245	)			22,245
5-Year Treasury Future			(69,000	)			Mar-2021(2)																									(2,200	)			2,226
TBA			(828,000	)			Feb-2021																									(11,826	)			17,986
Swaptions			(725,350	)			Feb-2022																									(5,564	)			8,405
Yield Curve Spread Floor			(150,000	)			Feb-2023																									n/a				n/a
Hedge Total		$	(1,226,650	)																											$	(42,085	)		$	51,112
Rate Shock Grand Total																															$	26,278			$	(39,186	)

	(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 $123.97 at February 28, 2021. The market value of the short position was $85.5 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	Portfolio		Asset Category		Value	Portfolio
As of February 28, 2021					As of February 28, 2021
Fannie Mae	$	3,074,228	79.3%		Non-Whole Pool Assets	$	541,319	14.0%
Freddie Mac		802,920	20.7%		Whole Pool Assets		3,335,829	86.0%
Total Mortgage Assets	$	3,877,148	100.0%		Total Mortgage Assets	$	3,877,148	100.0%

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of February 28, 2021		Borrowings		Debt		Rate	in Days	Maturity
Mirae Asset Securities (USA) Inc.	$	383,034		10.3%		0.19%	93	8/5/2021
J.P. Morgan Securities LLC		382,688		10.2%		0.24%	28	7/21/2021
Mitsubishi UFJ Securities (USA), Inc		337,701		9.0%		0.22%	48	4/26/2021
Wells Fargo Bank, N.A.		335,569		8.9%		0.20%	36	4/23/2021
ASL Capital Markets Inc.		256,287		6.8%		0.18%	31	4/26/2021
RBC Capital Markets, LLC		227,580		6.1%		0.18%	74	5/24/2021
Cantor Fitzgerald & Co		223,019		5.9%		0.18%	59	5/13/2021
Citigroup Global Markets Inc		213,195		5.7%		0.18%	73	5/12/2021
Nomura Securities International, Inc.		209,661		5.6%		0.18%	58	5/13/2021
ED&F Man Capital Markets Inc		209,572		5.6%		0.20%	90	8/19/2021
Barclays Capital Inc		156,183		4.2%		0.18%	12	3/12/2021
Merrill Lynch, Pierce, Fenner & Smith		146,184		3.9%		0.19%	11	3/11/2021
ING Financial Markets LLC		123,519		3.3%		0.21%	45	4/14/2021
Daiwa Securities America Inc.		100,971		2.7%		0.19%	13	3/16/2021
ABN AMRO Bank N.V.		89,213		2.4%		0.18%	12	3/12/2021
South Street Securities, LLC		79,132		2.1%		0.26%	63	5/13/2021
Goldman, Sachs & Co.		75,447		2.0%		0.18%	78	5/17/2021
Bank of Montreal		65,733		1.8%		0.18%	11	3/11/2021
Lucid Cash Fund USG LLC		50,423		1.3%		0.23%	11	3/11/2021
Austin Atlantic Asset Management Co.		50,386		1.3%		0.21%	5	3/5/2021
J.V.B. Financial Group, LLC		34,319		0.9%		0.20%	55	4/26/2021
Total Borrowings	$	3,749,816		100.0%		0.20%	49	8/19/2021

 

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FAQ

What is the dividend amount declared by Orchid Island Capital for March 2021?

The dividend declared is $0.065 per share.

When will the dividend for Orchid Island Capital be paid?

The dividend will be paid on April 28, 2021.

What is the ex-dividend date for Orchid Island Capital's March 2021 dividend?

The ex-dividend date is March 30, 2021.

How many shares of common stock does Orchid Island Capital have outstanding?

As of March 17, 2021, the company has 94,321,365 shares outstanding.

What is required for Orchid Island Capital to maintain its REIT status?

The company must distribute at least 90% of its REIT taxable income annually.