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Orchid Island Capital Announces Estimated Second Quarter 2021 Results, July 2021 Monthly Dividend and June 30, 2021 RMBS Portfolio Characteristics

July 14, 2021 GMT

VERO BEACH, Fla.--(BUSINESS WIRE)--Jul 14, 2021--

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 July 2021. The dividend of $0.065 per share will be paid August 27, 2021 to holders of record of the Company’s common stock on July 30, 2021, with an ex-dividend date of July 29, 2021. The Company plans on announcing its next common stock dividend on August 18, 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.

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As of July 14, 2021, the Company had 120,000,013 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding. As of March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

Estimated June 30, 2021 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2021 was $4.71. The Company computes book value per share by dividing total stockholders’ equity by the total number of outstanding shares of common stock. At June 30, 2021, the Company’s preliminary estimated total stockholders’ equity was approximately $553.8 million with 117,500,013 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

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The Company estimates it generated a net loss per share of $0.17, which includes $0.41 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended June 30, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net loss per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net loss. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended June 30, 2021 was (0.7)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $(0.035) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.23 from March 31, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 2021 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended June 30, 2021, are subject to review by the Company’s independent registered public accounting firm.

  • 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jun 2021

 

Apr - Jun

 

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 Jul)

 

in Jul)

 

(-50 BPS) (1)

 

(+50 BPS) (1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

231,274

 

$

244,657

 

5.24

%

 

$

105.79

 

2.50

%

 

2.87

%

 

6

 

170

 

8.1

%

 

5.3

%

 

$

3,840

 

 

$

(4,584

)

15yr 4.0

 

595

 

 

649

 

0.01

%

 

 

109.07

 

4.00

%

 

4.50

%

 

38

 

118

 

8.8

%

 

8.4

%

 

 

7

 

 

 

(8

)

15yr Total

 

231,869

 

 

245,306

 

5.25

%

 

 

105.80

 

2.50

%

 

2.88

%

 

7

 

170

 

8.1

%

 

5.3

%

 

 

3,847

 

 

 

(4,592

)

20yr 2.0

 

146,240

 

 

149,604

 

3.20

%

 

 

102.30

 

2.00

%

 

2.87

%

 

6

 

234

 

7.3

%

 

4.7

%

 

 

2,182

 

 

 

(3,200

)

20yr Total

 

146,240

 

 

149,604

 

3.20

%

 

 

102.30

 

2.00

%

 

2.87

%

 

6

 

234

 

7.3

%

 

4.7

%

 

 

2,182

 

 

 

(3,200

)

30yr 2.5

 

669,504

 

 

695,293

 

14.88

%

 

 

103.85

 

2.50

%

 

3.46

%

 

8

 

349

 

14.1

%

 

11.0

%

 

 

11,282

 

 

 

(16,980

)

30yr 3.0

 

2,546,031

 

 

2,723,790

 

58.31

%

 

 

106.98

 

3.00

%

 

3.49

%

 

6

 

353

 

7.9

%

 

8.1

%

 

 

51,339

 

 

 

(69,082

)

30yr 3.5

 

567,315

 

 

617,793

 

13.23

%

 

 

108.90

 

3.50

%

 

4.00

%

 

19

 

335

 

22.2

%

 

20.3

%

 

 

9,792

 

 

 

(13,470

)

30yr 4.0

 

49,002

 

 

54,286

 

1.16

%

 

 

110.78

 

4.00

%

 

4.63

%

 

61

 

294

 

22.9

%

 

22.7

%

 

 

1,032

 

 

 

(1,134

)

30yr 4.5

 

79,385

 

 

88,466

 

1.89

%

 

 

111.44

 

4.50

%

 

5.00

%

 

25

 

330

 

27.9

%

 

30.2

%

 

 

1,088

 

 

 

(1,449

)

30yr Total

 

3,911,237

 

 

4,179,628

 

89.48

%

 

 

106.86

 

3.03

%

 

3.60

%

 

9

 

348

 

11.6

%

 

11.5

%

 

 

74,533

 

 

 

(102,115

)

Total Pass Through RMBS

 

4,289,346

 

 

4,574,538

 

97.93

%

 

 

106.65

 

2.97

%

 

3.54

%

 

9

 

335

 

11.3

%

 

10.9

%

 

 

80,562

 

 

 

(109,907

)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

612,075

 

 

92,710

 

1.98

%

 

 

15.15

 

3.63

%

 

4.19

%

 

58

 

290

 

26.7

%

 

29.4

%

 

 

(6,609

)

 

 

5,507

 

Inverse Interest-Only Securities

 

55,822

 

 

3,991

 

0.09

%

 

 

7.15

 

3.79

%

 

4.40

%

 

46

 

307

 

20.5

%

 

32.9

%

 

 

(222

)

 

 

(165

)

Total Structured RMBS

 

667,897

 

 

96,701

 

2.07

%

 

 

14.48

 

3.64

%

 

4.21

%

 

57

 

291

 

26.2

%

 

29.9

%

 

 

(6,831

)

 

 

5,342

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

4,957,243

 

$

4,671,239

 

100.00

%

 

 

 

3.06

%

 

3.63

%

 

15

 

329

 

13.3

%

 

12.9

%

 

$

73,731

 

 

$

(104,565

)

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

$

(125

)

$

125

 

Swaps

 

(1,355,000

)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(35,506

)

 

35,506

 

5-Year Treasury Future (2)

 

(269,000

)

 

Sep-2021

 

 

 

 

 

 

 

 

 

 

(8,746

)

 

8,277

 

10-Year Treasury Ultra (3)

 

(23,500

)

 

Sep-2021

 

 

 

 

 

 

 

 

 

 

(2,343

)

 

2,257

 

TBA

 

(400,000

)

 

Jul-2021

 

 

 

 

 

 

 

 

 

 

(2,947

)

 

6,032

 

Swaptions

 

(244,350

)

 

May-2022

 

 

 

 

 

 

 

 

 

 

(6,762

)

 

7,554

 

Yield Curve Spread Floor

 

(150,000

)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

 

n/a

 

Hedge Total

$

(2,491,850

)

 

 

 

 

 

 

 

 

 

 

 

$

(56,429

)

$

59,751

 

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

$

17,302

 

$

(44,814

)

(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 $123.43 at June 30, 2021. The market value of the short position was $332.0 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $147.20 at June 30, 2021. The market value of the short position was $34.6 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 June 30, 2021

 

 

 

As of June 30, 2021

 

 

Fannie Mae

$

3,773,957

80.8

%

 

Non-Whole Pool Assets

$

334,781

7.2

%

Freddie Mac

 

897,282

19.2

%

 

Whole Pool Assets

 

4,336,458

92.8

%

Total Mortgage Assets

$

4,671,239

100.0

%

 

Total Mortgage Assets

$

4,671,239

100.0

%

 
 

Borrowings By Counterparty

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

Weighted

 

 

 

 

 

% of

 

Average

 

Average

 

 

 

Total

 

Total

 

Repo

 

Maturity

 

Longest

As of June 30, 2021

Borrowings

 

Debt

 

Rate

 

in Days

 

Maturity

Mirae Asset Securities (USA) Inc.

$

393,954

 

8.7

%

 

0.14

%

 

34

 

9/14/2021

Wells Fargo Bank, N.A.

 

378,394

 

8.4

%

 

0.12

%

 

14

 

7/23/2021

Mitsubishi UFJ Securities (USA), Inc

 

355,357

 

7.9

%

 

0.20

%

 

20

 

7/28/2021

J.P. Morgan Securities LLC

 

345,476

 

7.7

%

 

0.18

%

 

62

 

9/7/2021

ASL Capital Markets Inc.

 

342,467

 

7.6

%

 

0.11

%

 

19

 

8/26/2021

RBC Capital Markets, LLC

 

295,929

 

6.6

%

 

0.11

%

 

33

 

8/12/2021

Cantor Fitzgerald & Co

 

276,727

 

6.1

%

 

0.11

%

 

35

 

9/13/2021

ABN AMRO Bank N.V.

 

222,136

 

4.9

%

 

0.12

%

 

23

 

8/11/2021

ED&F Man Capital Markets Inc.

 

204,081

 

4.5

%

 

0.15

%

 

24

 

8/19/2021

ING Financial Markets LLC

 

201,506

 

4.5

%

 

0.12

%

 

21

 

9/10/2021

Nomura Securities International, Inc.

 

201,196

 

4.5

%

 

0.11

%

 

27

 

8/17/2021

Citigroup Global Markets Inc.

 

197,170

 

4.4

%

 

0.12

%

 

12

 

7/12/2021

Barclays Capital Inc.

 

150,511

 

3.3

%

 

0.12

%

 

12

 

7/12/2021

Goldman, Sachs & Co.

 

147,558

 

3.3

%

 

0.11

%

 

42

 

9/27/2021

Merrill Lynch, Pierce, Fenner & Smith

 

141,275

 

3.1

%

 

0.14

%

 

14

 

7/14/2021

BMO Capital Markets Corp.

 

140,261

 

3.1

%

 

0.12

%

 

27

 

9/14/2021

Daiwa Securities America Inc.

 

121,577

 

2.7

%

 

0.12

%

 

39

 

8/13/2021

Santander Bank, N.A.

 

101,468

 

2.2

%

 

0.13

%

 

85

 

9/23/2021

Austin Atlantic Asset Management Co.

 

101,075

 

2.2

%

 

0.14

%

 

1

 

7/1/2021

South Street Securities, LLC

 

98,634

 

2.2

%

 

0.14

%

 

66

 

10/8/2021

Lucid Cash Fund USG LLC

 

51,605

 

1.1

%

 

0.10

%

 

15

 

7/15/2021

J.V.B. Financial Group, LLC

 

32,945

 

0.7

%

 

0.11

%

 

24

 

7/26/2021

Lucid Prime Fund, LLC

 

13,402

 

0.3

%

 

0.23

%

 

15

 

7/15/2021

Total Borrowings

$

4,514,704

 

100.0

%

 

0.13

%

 

29

 

10/8/2021

 

View source version on businesswire.com:https://www.businesswire.com/news/home/20210714005911/en/

CONTACT: Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

KEYWORD: UNITED STATES NORTH AMERICA FLORIDA

INDUSTRY KEYWORD: REIT FINANCE PROFESSIONAL SERVICES RESIDENTIAL BUILDING & REAL ESTATE CONSTRUCTION & PROPERTY

SOURCE: Orchid Island Capital, Inc.

Copyright Business Wire 2021.

PUB: 07/14/2021 05:13 PM/DISC: 07/14/2021 05:13 PM

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