Orchid Island Capital Announces November 2021 Monthly Dividend and October 31, 2021 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital announced a monthly cash dividend of $0.065 per common share for November 2021, payable on December 29, 2021. Holders of record will be those on November 30, 2021, with an ex-dividend date of November 29, 2021. The company intends to maintain regular monthly distributions while adhering to REIT regulations, which require distributing at least 90% of taxable income. As of November 9, 2021, there are 169,162,849 shares outstanding, reflecting an increase from previous months.

Positive

• Monthly cash dividend of $0.065 per share reflects ongoing income for shareholders.
• Commitment to regular monthly cash distributions indicates company confidence.

Negative

• No established minimum distribution payment level raises concerns about sustainability.
• The company may face income tax liabilities on undistributed taxable income.

• November 2021 Monthly Dividend of $0.065 Per Share of Common Stock
• RMBS Portfolio Characteristics as of October 31, 2021
• Next Dividend Announcement Expected December 9, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company (the “Board”) declared a monthly cash dividend for the month of November 2021. The dividend of $0.065 per share will be paid December 29, 2021, to holders of record of the Company’s common stock on November 30, 2021, with an ex-dividend date of November 29, 2021. The Company plans on announcing its next common stock dividend on December 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 November 9, 2021, the Company had 169,162,849 shares of common stock outstanding. As of October 31, 2021, the Company had 161,157,349 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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. 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
																								Oct 2021			Aug - Oct			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 Nov)			in Nov)			(-50 BPS)(1)				(+50 BPS)(1)
Pass Through RMBS
15yr 2.5		$	220,381		$	231,511		3.70	%		$	105.05		2.50	%		2.87	%		10		165		8.4	%		8.2	%		$	3,638			$	(4,204	)
15yr 4.0			560			601		0.01	%			107.22		4.00	%		4.51	%		42		116		94.7	%		65.1	%			7				(9	)
15yr Total			220,941			232,112		3.71	%			105.06		2.50	%		2.88	%		11		165		8.6	%		8.4	%			3,645				(4,213	)
30yr 2.5			1,099,648			1,131,713		18.07	%			102.92		2.50	%		3.32	%		6		353		6.3	%		10.0	%			17,903				(26,303	)
30yr 3.0			4,058,659			4,317,668		68.94	%			106.38		3.00	%		3.47	%		7		351		8.5	%		8.3	%			74,245				(100,993	)
30yr 3.5			322,110			350,689		5.60	%			108.87		3.50	%		4.01	%		20		333		22.5	%		21.5	%			5,248				(6,833	)
30yr 4.0			79,496			87,231		1.39	%			109.73		4.00	%		4.72	%		36		321		8.8	%		25.2	%			969				(1,155	)
30yr Total			5,559,913			5,887,301		94.00	%			105.89		2.94	%		3.49	%		8		350		8.9	%		9.8	%			98,365				(135,284	)
Total Pass Through RMBS			5,780,854			6,119,413		97.71	%			105.86		2.93	%		3.47	%		8		343		8.9	%		9.7	%			102,010				(139,497	)
Structured RMBS
IO 20yr 3.0			403,730			42,491		0.68	%			10.52		3.00	%		3.69	%		64		170		31.5	%		32.2	%			(4,150	)			2,829
IO 20yr 4.0			14,297			1,789		0.03	%			12.51		4.00	%		4.58	%		118		114		16.1	%		19.5	%			(34	)			20
IO 30yr 3.0			95,960			13,536		0.22	%			14.11		3.00	%		3.65	%		50		302		22.4	%		21.9	%			(1,347	)			1,002
IO 30yr 3.5			329,337			56,290		0.90	%			17.09		3.50	%		4.01	%		48		303		21.6	%		20.1	%			(4,670	)			3,477
IO 30yr 4.0			188,371			25,426		0.41	%			13.50		4.00	%		4.56	%		67		286		31.7	%		32.1	%			(2,221	)			2,113
IO 30yr 4.5			5,040			846		0.01	%			16.79		4.50	%		4.99	%		136		211		22.3	%		24.5	%			(79	)			65
IO 30yr 5.0			2,844			495		0.01	%			17.39		5.00	%		5.36	%		136		212		25.7	%		33.2	%			(38	)			35
IO Total			1,039,579			140,873		2.25	%			13.55		3.37	%		3.97	%		59		245		27.3	%		25.8	%			(12,539	)			9,541
IIO 30yr 4.0			47,560			2,577		0.04	%			5.42		3.75	%		4.41	%		49		303		20.9	%		30.3	%			(169	)			(80	)
Total Structured RMBS			1,087,139			143,450		2.29	%			13.20		3.38	%		3.99	%		59		247		27.0	%		26.0	%			(12,708	)			9,461
Total Mortgage Assets		$	6,867,993		$	6,262,863		100.00	%					3.00	%		3.55	%		16		328		11.8	%		12.4	%		$	89,302			$	(130,036	)

																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										$	(63	)		$	63
Swaps			(1,355,000	)		Dec-2026											(35,623	)			35,623
5-Year Treasury Future(2)			(269,000	)		Dec-2021											(10,605	)			5,954
10-Year Treasury Ultra(3)			(175,000	)		Dec-2021											(20,512	)			12,119
TBA			(400,000	)		Nov-2021											(4,933	)			7,517
Swaptions			(327,000	)		Oct-2022											(8,155	)			10,081
Yield Curve Spread Floor			(150,000	)		Feb-2023											n/a				n/a
Hedge Total		$	(2,726,000	)												$	(79,891	)		$	71,357
Rate Shock Grand Total																$	9,411			$	(58,679	)

(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 $121.75 at October 31, 2021. The market value of the short position was $327.5 million.
(3)		Ten-year Treasury Ultra futures contracts were valued at prices of $145.03 at October 31, 2021. The market value of the short position was $253.8 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 October 31, 2021									As of October 31, 2021
Fannie Mae		$	4,775,588		76.3	%			Non-Whole Pool Assets		$	317,823		5.1	%
Freddie Mac			1,487,275		23.7	%			Whole Pool Assets			5,945,040		94.9	%
Total Mortgage Assets		$	6,262,863		100.0	%			Total Mortgage Assets		$	6,262,863		100.0	%

Borrowings By Counterparty
($ in thousands)
								Weighted			Weighted
					% of			Average			Average
		Total			Total			Repo			Maturity		Longest
As of October 31, 2021		Borrowings			Debt			Rate			in Days		Maturity
Wells Fargo Bank, N.A.		$	449,068		7.5	%		0.11	%		29		12/21/2021
Mirae Asset Securities (USA) Inc.			440,198		7.3	%		0.12	%		49		9/14/2022
RBC Capital Markets, LLC			426,995		7.1	%		0.11	%		25		1/20/2022
ABN AMRO Bank N.V.			417,607		6.9	%		0.12	%		32		1/12/2022
Mitsubishi UFJ Securities (USA), Inc			384,618		6.4	%		0.20	%		75		3/31/2022
J.P. Morgan Securities LLC			358,401		5.9	%		0.12	%		11		11/24/2021
Citigroup Global Markets Inc			330,172		5.5	%		0.11	%		14		11/18/2021
Goldman, Sachs & Co.			321,805		5.3	%		0.13	%		25		12/27/2021
Cantor Fitzgerald & Co			314,581		5.2	%		0.12	%		48		1/24/2022
Santander Bank, N.A.			310,800		5.1	%		0.11	%		43		12/28/2021
ASL Capital Markets Inc.			309,300		5.1	%		0.11	%		15		11/19/2021
ED&F Man Capital Markets Inc			305,705		5.1	%		0.11	%		66		1/24/2022
Nomura Securities International, Inc.			298,406		4.9	%		0.11	%		22		12/13/2021
ING Financial Markets LLC			280,692		4.7	%		0.12	%		11		11/12/2021
Daiwa Capital Markets America Inc.			216,544		3.6	%		0.11	%		42		12/14/2021
Bank of Montreal			216,309		3.6	%		0.12	%		28		12/14/2021
South Street Securities, LLC			172,739		2.9	%		0.12	%		15		11/23/2021
Barclays Capital Inc			145,391		2.4	%		0.11	%		15		11/15/2021
Merrill Lynch, Pierce, Fenner & Smith			134,945		2.2	%		0.15	%		42		12/13/2021
Austin Atlantic Asset Management Co.			98,059		1.6	%		0.14	%		4		11/4/2021
Lucid Cash Fund USG, LLC			73,170		1.2	%		0.11	%		10		11/10/2021
Lucid Price Fund, LLC			19,101		0.3	%		0.38	%		10		11/10/2021
J.V.B. Financial Group, LLC			10,383		0.2	%		0.12	%		38		12/8/2021
Total Borrowings		$	6,034,989		100.0	%		0.12	%		32		9/14/2022

 

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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 November 2021?

The dividend amount for November 2021 is $0.065 per share.

When is the payment date for the November 2021 dividend?

The payment date for the November 2021 dividend is December 29, 2021.

What is the ex-dividend date for the November 2021 dividend?

The ex-dividend date for the November 2021 dividend is November 29, 2021.

What is the expected date for the next dividend announcement for Orchid Island Capital?

The next dividend announcement is expected on December 9, 2021.

How does Orchid Island Capital ensure compliance as a REIT?

The company must distribute at least 90% of its REIT taxable income to comply with REIT regulations.