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

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  • ORC
  • 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., November 09, 2021--(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

View source version on businesswire.com: https://www.businesswire.com/news/home/20211109006587/en/

Contacts

Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400