Orchid Island Capital Announces September 2021 Monthly Dividend and August 31, 2021 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (NYSE: ORC) announced a monthly cash dividend of $0.065 per share for September 2021, payable on October 27, 2021. The record date is September 30, 2021, with an ex-dividend date of September 29, 2021. The company must distribute at least 90% of its REIT taxable income annually to avoid income tax issues. As of September 16, 2021, there are 138,055,140 shares of common stock outstanding, up from 129,280,140 as of August 31, 2021.

Positive

• Monthly dividend of $0.065 enhances shareholder income.
• Regular monthly distributions indicate company confidence in cash flow.

Negative

• Company has not established minimum distribution levels.
• There is no assurance of future dividend payments.

• September 2021 Monthly Dividend of $0.065 Per Share of Common Stock
• RMBS Portfolio Characteristics as of August 31, 2021
• Next Dividend Announcement Expected October 13, 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 September 2021. The dividend of $0.065 per share will be paid October 27, 2021, to holders of record of the Company’s common stock on September 30, 2021, with an ex-dividend date of September 29, 2021. The Company plans on announcing its next common stock dividend on October 12, 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 September 16, 2021, the Company had 138,055,140 shares of common stock outstanding. As of August 31, 2021, the Company had 129,280,140 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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 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
																Aug 2021		Jun - Aug		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 Sep)		in Sep)		(-50 BPS)(2)			(+50 BPS)(2)
Pass Through RMBS
15yr 2.5	$	225,732		$	238,943	4.55	%	$	105.85	2.50	%	2.87	%	8	167	5.8	%	7.5	%	$	3,342		$	(4,109	)
15yr 4.0		578			621	0.01	%		107.38	4.00	%	4.51	%	40	117	9.7	%	9.2	%		6			(7	)
15yr Total		226,310			239,564	4.56	%		105.86	2.50	%	2.88	%	9	167	5.8	%	7.5	%		3,348			(4,116	)
20yr 2.0		150,000			154,236	2.94	%		102.82	2.00	%	2.86	%	-	239	n/a		n/a			2,295			(3,197	)
20yr Total		150,000			154,236	2.94	%		102.82	2.00	%	2.86	%	-	239	n/a		n/a			2,295			(3,197	)
30yr 2.5		628,233			654,656	12.46	%		104.21	2.50	%	3.40	%	7	350	12.1	%	14.9	%		6,577			(12,877	)
30yr 3.0		3,360,545			3,618,576	68.88	%		107.68	3.00	%	3.48	%	6	352	7.5	%	7.7	%		46,504			(74,854	)
30yr 3.5		326,189			359,127	6.84	%		110.10	3.50	%	4.01	%	19	334	19.8	%	19.6	%		4,351			(6,198	)
30yr 4.0		46,457			51,781	0.99	%		111.46	4.00	%	4.63	%	62	292	23.7	%	24.6	%		841			(938	)
30yr 4.5		49,944			56,292	1.07	%		112.71	4.50	%	4.97	%	26	328	18.3	%	23.7	%		448			(720	)
30yr Total		4,411,368			4,740,432	90.24	%		107.46	2.99	%	3.54	%	8	350	9.4	%	10.2	%		58,721			(95,587	)
Total Pass Through RMBS		4,787,678			5,134,232	97.73	%		107.24	2.94	%	3.49	%	8	338	9.2	%	10.0	%		64,364			(102,900	)
Structured RMBS
IO 20yr 3.0		190,169			17,486	0.33	%		9.20	3.00	%	3.68	%	58	177	33.5	%	n/a			(2,341	)		1,732
IO 20yr 4.0		15,043			1,881	0.04	%		12.50	4.00	%	4.58	%	116	117	19.7	%	20.4	%		(47	)		31
IO 30yr 3.0		100,294			13,598	0.26	%		13.56	3.00	%	3.66	%	48	304	17.5	%	18.9	%		(1,738	)		1,323
IO 30yr 3.5		342,576			56,272	1.07	%		16.43	3.50	%	4.01	%	46	305	17.6	%	20.5	%		(5,907	)		4,469
IO 30yr 4.0		203,357			25,530	0.49	%		12.55	4.00	%	4.56	%	65	287	31.4	%	34.9	%		(2,487	)		2,547
IO 30yr 4.5		5,313			846	0.02	%		15.92	4.50	%	4.99	%	134	213	27.0	%	26.3	%		(92	)		81
IO 30yr 5.0		3,087			506	0.01	%		16.39	5.00	%	5.37	%	134	214	46.1	%	38.8	%		(41	)		41
IO Total		859,839			116,119	2.21	%		13.50	3.47	%	4.05	%	55	268	24.6	%	25.4	%		(12,653	)		10,224
IIO 30yr 4.0		53,077			3,043	0.06	%		5.73	3.75	%	4.40	%	48	304	41.0	%	25.8	%		(459	)		31
Total Structured RMBS		912,916			119,162	2.27	%		13.05	3.49	%	4.07	%	55	270	25.6	%	25.5	%		(13,112	)		10,255
Total Mortgage Assets	$	5,700,594		$	5,253,394	100.00	%			3.03	%	3.58	%	15	327	12.0	%	12.4	%	$	51,252		$	(92,645	)
																				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																	(37,214	)		37,214
5-Year Treasury Future(3)		(269,000	)	Dec-2021																	(8,500	)		8,490
10-Year Treasury Ultra(4)		(23,500	)	Dec-2021																	(2,415	)		2,136
Swaptions		(244,350	)	May-2022																	(7,190	)		9,047
Yield Curve Spread Floor		(150,000	)	Feb-2023																	n/a			n/a
Hedge Total	$	(2,091,850	)																	$	(55,444	)	$	57,012
Rate Shock Grand Total																				$	(4,192	)	$	(35,633	)

(1)		Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 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 $123.72 at August 31, 2021. The market value of the short position was $332.8 million.
(4)		Ten-year Treasury Ultra futures contracts were valued at prices of $148.02 at August 31, 2021. The market value of the short position was $34.8 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(1)		Portfolio			Asset Category	Value(1)		Portfolio
As of August 31, 2021						As of August 31, 2021
Fannie Mae	$	4,202,486	80.0	%		Non-Whole Pool Assets	$	359,155	6.8	%
Freddie Mac		1,050,908	20.0	%		Whole Pool Assets		4,894,239	93.2	%
Total Mortgage Assets	$	5,253,394	100.0	%		Total Mortgage Assets	$	5,253,394	100.0	%
(1) Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.

Borrowings By Counterparty
($ in thousands)
					Weighted		Weighted
			% of		Average		Average
	Total		Total		Repo		Maturity	Longest
As of August 31, 2021	Borrowings(1)		Debt		Rate		in Days	Maturity
ABN AMRO Bank N.V.	$	421,280	9.1	%	0.12	%	60	11/12/2021
Mirae Asset Securities (USA) Inc.		369,891	7.8	%	0.12	%	60	11/15/2021
Wells Fargo Bank, N.A.		356,357	7.6	%	0.12	%	36	10/22/2021
J.P. Morgan Securities LLC		342,010	7.3	%	0.17	%	18	11/22/2021
ASL Capital Markets Inc.		321,928	6.8	%	0.12	%	44	10/19/2021
RBC Capital Markets, LLC		296,331	6.3	%	0.12	%	64	11/10/2021
Cantor Fitzgerald & Co.		271,407	5.8	%	0.12	%	32	10/25/2021
Goldman Sachs & Co.		254,010	5.4	%	0.13	%	59	11/30/2021
Mitsubishi UFJ Securities (USA), Inc.		216,404	4.6	%	0.27	%	36	10/12/2021
ING Financial Markets LLC		203,609	4.3	%	0.12	%	15	10/12/2021
ED&F Man Capital Markets Inc.		199,989	4.2	%	0.12	%	51	11/19/2021
Nomura Securities International, Inc.		199,411	4.2	%	0.11	%	71	11/22/2021
Citigroup Global Markets Inc.		186,516	4.0	%	0.12	%	42	10/12/2021
Santander Bank, N.A.		157,774	3.3	%	0.13	%	30	10/14/2021
Barclays Capital Inc.		146,858	3.1	%	0.12	%	13	9/13/2021
BMO Capital Markets Corp.		138,151	2.9	%	0.11	%	39	10/22/2021
Merrill Lynch, Pierce, Fenner & Smith		133,749	2.8	%	0.14	%	43	10/14/2021
South Street Securities, LLC		124,623	2.6	%	0.14	%	57	11/23/2021
Daiwa Securities America Inc.		118,737	2.5	%	0.11	%	12	9/13/2021
Austin Atlantic Asset Management Co.		100,586	2.1	%	0.14	%	2	9/2/2021
Lucid Prime Fund, LLC		70,247	1.5	%	0.19	%	9	9/9/2021
Lucid Cash Fund USG, LLC		51,238	1.1	%	0.12	%	9	9/9/2021
J.V.B. Financial Group, LLC		32,897	0.7	%	0.12	%	53	10/25/2021
Total Borrowings	$	4,714,003	100.0	%	0.13	%	42	11/30/2021

(1)

In August 2021, the Company purchased assets with a fair value of approximately $317.3 million, which settle in September 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 declared by Orchid Island Capital for September 2021?

The dividend amount is $0.065 per share.

When will the September 2021 dividend be paid?

The dividend will be paid on October 27, 2021.

What is the record date for the dividend?

The record date is September 30, 2021.

What are the potential risks regarding dividends for Orchid Island Capital?

The company has not established minimum distribution levels and is not assured of future dividend payments.

How many shares of common stock are outstanding as of September 16, 2021?

There are 138,055,140 shares of common stock outstanding.