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 October 2021. The dividend of $0.065 per share will be paid November 26, 2021 to holders of record of the Company’s common stock on October 29, 2021, with an ex-dividend date of October 28, 2021. The Company plans on announcing its next common stock dividend on November 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 October 12, 2021, the Company had 153,831,978 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.
Estimated September 30, 2021 Book Value Per Share
The Company’s estimated book value per share as of September 30, 2021 was $4.77. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $730.6 million with 153,318,351 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 Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated net income per share of $0.20, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income 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 income. 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 September 30, 2021 was 5.4%. 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 $0.255 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.06 from June 30, 2021.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of September 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 September 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 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 |
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($ in thousands) |
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Realized |
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Realized |
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Sep 2021 |
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Jul - Sep |
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Modeled |
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Modeled |
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Net |
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Weighted |
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CPR |
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2021 CPR |
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Interest |
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Interest |
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% |
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Weighted |
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Average |
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(1-Month) |
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(3-Month) |
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Rate |
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Rate |
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Current |
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Fair |
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of |
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Current |
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Average |
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Maturity |
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(Reported |
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(Reported |
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Sensitivity |
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Sensitivity |
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Type |
Face |
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Value(1) |
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Portfolio |
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Price |
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Coupon |
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GWAC |
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Age |
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(Months) |
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in Oct) |
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in Oct) |
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(-50 BPS)(2) |
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(+50 BPS)(2) |
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Pass Through RMBS |
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15yr 2.5 |
$ |
223,524 |
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$ |
235,988 |
4.21 |
% |
$ |
105.58 |
2.50 |
% |
2.87 |
% |
9 |
166 |
10.5 |
% |
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8.3 |
% |
$ |
3,620 |
|
$ |
(4,307 |
) |
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15yr 4.0 |
|
569 |
|
|
610 |
0.01 |
% |
|
107.25 |
4.00 |
% |
4.51 |
% |
41 |
117 |
10.0 |
% |
|
9.6 |
% |
|
6 |
|
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(8 |
) |
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15yr Total |
|
224,093 |
|
|
236,598 |
4.22 |
% |
|
105.58 |
2.50 |
% |
2.88 |
% |
10 |
166 |
10.5 |
% |
|
8.3 |
% |
|
3,626 |
|
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(4,315 |
) |
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30yr 2.5 |
|
755,961 |
|
|
782,574 |
13.97 |
% |
|
103.52 |
2.50 |
% |
3.39 |
% |
7 |
351 |
9.2 |
% |
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15.6 |
% |
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10,688 |
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(17,923 |
) |
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30yr 3.0 |
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3,685,738 |
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3,955,954 |
70.63 |
% |
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107.33 |
3.00 |
% |
3.48 |
% |
7 |
352 |
6.7 |
% |
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7.6 |
% |
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62,963 |
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(92,337 |
) |
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30yr 3.5 |
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329,487 |
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362,129 |
6.47 |
% |
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109.91 |
3.50 |
% |
4.02 |
% |
19 |
334 |
22.0 |
% |
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20.2 |
% |
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5,210 |
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(7,144 |
) |
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30yr 4.0 |
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81,269 |
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89,089 |
1.59 |
% |
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109.62 |
4.00 |
% |
4.72 |
% |
36 |
321 |
19.0 |
% |
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28.5 |
% |
|
996 |
|
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(1,220 |
) |
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30yr 4.5 |
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28,342 |
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32,218 |
0.58 |
% |
|
113.68 |
4.50 |
% |
4.91 |
% |
23 |
329 |
18.4 |
% |
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17.6 |
% |
|
509 |
|
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(611 |
) |
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30yr Total |
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4,880,797 |
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5,221,964 |
93.23 |
% |
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106.99 |
2.98 |
% |
3.53 |
% |
8 |
350 |
8.3 |
% |
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9.9 |
% |
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80,366 |
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(119,235 |
) |
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Total Pass Through RMBS |
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5,104,890 |
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5,458,562 |
97.45 |
% |
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106.93 |
2.96 |
% |
3.50 |
% |
8 |
342 |
8.4 |
% |
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9.8 |
% |
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83,992 |
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(123,550 |
) |
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Structured RMBS |
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IO 20yr 3.0 |
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363,225 |
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37,650 |
0.67 |
% |
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10.37 |
3.00 |
% |
3.68 |
% |
61 |
173 |
31.2 |
% |
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33.5 |
% |
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(4,077 |
) |
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2,526 |
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IO 20yr 4.0 |
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14,677 |
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|
1,857 |
0.03 |
% |
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12.65 |
4.00 |
% |
4.58 |
% |
117 |
116 |
22.5 |
% |
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20.0 |
% |
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(39 |
) |
|
21 |
|
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IO 30yr 3.0 |
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98,485 |
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|
13,883 |
0.25 |
% |
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14.10 |
3.00 |
% |
3.66 |
% |
49 |
303 |
24.8 |
% |
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20.2 |
% |
|
(1,430 |
) |
|
992 |
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IO 30yr 3.5 |
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336,401 |
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|
57,119 |
1.02 |
% |
|
16.98 |
3.50 |
% |
4.01 |
% |
47 |
304 |
20.7 |
% |
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19.4 |
% |
|
(4,818 |
) |
|
3,301 |
|
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IO 30yr 4.0 |
|
195,862 |
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|
28,170 |
0.50 |
% |
|
14.38 |
4.00 |
% |
4.56 |
% |
66 |
286 |
32.6 |
% |
|
34.0 |
% |
|
(2,552 |
) |
|
2,292 |
|
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IO 30yr 4.5 |
|
5,166 |
|
|
799 |
0.01 |
% |
|
15.47 |
4.50 |
% |
4.99 |
% |
135 |
212 |
24.2 |
% |
|
26.2 |
% |
|
(77 |
) |
|
59 |
|
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IO 30yr 5.0 |
|
2,924 |
|
|
465 |
0.01 |
% |
|
15.90 |
5.00 |
% |
5.36 |
% |
135 |
213 |
25.7 |
% |
|
41.9 |
% |
|
(37 |
) |
|
32 |
|
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IO Total |
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1,016,740 |
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|
139,943 |
2.50 |
% |
|
13.76 |
3.39 |
% |
3.98 |
% |
58 |
250 |
27.2 |
% |
|
24.9 |
% |
|
(13,031 |
) |
|
9,224 |
|
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IIO 30yr 4.0 |
|
49,645 |
|
|
2,783 |
0.05 |
% |
|
5.61 |
3.75 |
% |
4.41 |
% |
48 |
304 |
27.4 |
% |
|
28.0 |
% |
|
(285 |
) |
|
(96 |
) |
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Total Structured RMBS |
|
1,066,385 |
|
|
142,726 |
2.55 |
% |
|
13.38 |
3.40 |
% |
4.00 |
% |
57 |
253 |
27.2 |
% |
|
25.1 |
% |
|
(13,316 |
) |
|
9,128 |
|
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Total Mortgage Assets |
$ |
6,171,275 |
|
$ |
5,601,288 |
100.00 |
% |
|
3.04 |
% |
3.59 |
% |
17 |
326 |
11.8 |
% |
|
12.4 |
% |
$ |
70,676 |
|
$ |
(114,422 |
) |
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Interest |
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Interest |
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Average |
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Hedge |
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Rate |
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Rate |
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Notional |
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Period |
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Sensitivity |
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Sensitivity |
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Hedge |
Balance |
|
End |
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|
(-50 BPS)(2) |
|
(+50 BPS)(2) |
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Eurodollar Futures |
$ |
(50,000 |
) |
Dec-2021 |
|
|
|
|
|
|
|
|
$ |
(125 |
) |
$ |
125 |
|
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Swaps |
|
(1,355,000 |
) |
Dec-2026 |
|
|
|
|
|
|
|
|
|
(35,820 |
) |
|
35,820 |
|
|||||||||||||||||||
5-Year Treasury Future(3) |
|
(269,000 |
) |
Dec-2021 |
|
|
|
|
|
|
|
|
|
(9,532 |
) |
|
7,254 |
|
|||||||||||||||||||
10-Year Treasury Ultra(4) |
|
(23,500 |
) |
Dec-2021 |
|
|
|
|
|
|
|
|
|
(2,560 |
) |
|
1,837 |
|
|||||||||||||||||||
Swaptions |
|
(244,350 |
) |
May-2022 |
|
|
|
|
|
|
|
|
|
(7,654 |
) |
|
(7,654 |
) |
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Yield Curve Spread Floor |
|
(150,000 |
) |
Feb-2023 |
|
|
|
|
|
|
|
|
|
n/a |
|
|
n/a |
|
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Hedge Total |
$ |
(2,091,850 |
) |
|
|
|
|
|
|
|
|
|
$ |
(55,691 |
) |
$ |
37,382 |
|
|||||||||||||||||||
Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
$ |
14,985 |
|
$ |
(77,040 |
) |
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| (1) | Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021. |
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| (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 $122.74 at September 30, 2021. The market value of the short position was $330.2 million. |
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| (4) | Ten-year Treasury Ultra futures contracts were valued at prices of $145.25 at September 30, 2021. The market value of the short position was $34.1 million. |
RMBS Assets by Agency |
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Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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($ in thousands) |
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Percentage |
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Percentage |
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Fair |
of |
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Fair |
of |
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Asset Category |
Value(1) |
Portfolio |
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Asset Category |
Value(1) |
Portfolio |
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As of September 30, 2021 |
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|
As of September 30, 2021 |
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Fannie Mae |
$ |
4,314,966 |
77.0 |
% |
|
Non-Whole Pool Assets |
$ |
325,421 |
5.8 |
% |
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Freddie Mac |
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1,286,322 |
23.0 |
% |
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Whole Pool Assets |
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5,275,867 |
94.2 |
% |
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Total Mortgage Assets |
$ |
5,601,288 |
100.0 |
% |
|
Total Mortgage Assets |
$ |
5,601,288 |
100.0 |
% |
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| (1) | Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021. |
Borrowings By Counterparty |
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($ in thousands) |
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Weighted |
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Weighted |
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% of |
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Average |
|
Average |
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Total |
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Total |
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Repo |
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Maturity |
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Longest |
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As of September 30, 2021 |
Borrowings(1) |
|
Debt |
|
Rate |
|
in Days |
|
Maturity |
||
ABN AMRO Bank N.V. |
$ |
421,280 |
|
8.3% |
|
0.12% |
30 |
11/12/2021 |
|||
Mirae Asset Securities (USA) Inc. |
|
396,039 |
|
7.6% |
|
0.12% |
74 |
9/14/2022 |
|||
Wells Fargo Bank, N.A. |
|
357,656 |
|
6.9% |
|
0.11% |
14 |
10/22/2021 |
|||
RBC Capital Markets, LLC |
|
356,691 |
|
6.8% |
|
0.12% |
31 |
11/10/2021 |
|||
J.P. Morgan Securities LLC |
|
334,245 |
|
6.4% |
|
0.12% |
41 |
11/22/2021 |
|||
Goldman, Sachs & Co. |
|
323,521 |
|
6.2% |
|
0.12% |
40 |
12/27/2021 |
|||
ASL Capital Markets Inc. |
|
321,542 |
|
6.2% |
|
0.12% |
15 |
10/19/2021 |
|||
Cantor Fitzgerald & Co |
|
268,272 |
|
5.1% |
|
0.12% |
24 |
11/15/2021 |
|||
Citigroup Global Markets Inc |
|
263,278 |
|
5.0% |
|
0.11% |
13 |
10/14/2021 |
|||
Mitsubishi UFJ Securities (USA), Inc |
|
259,581 |
|
5.0% |
|
0.24% |
23 |
11/29/2021 |
|||
Santander Bank, N.A. |
|
210,831 |
|
4.0% |
|
0.11% |
29 |
11/15/2021 |
|||
ED&F Man Capital Markets Inc |
|
199,744 |
|
3.8% |
|
0.12% |
32 |
12/8/2021 |
|||
ING Financial Markets LLC |
|
199,544 |
|
3.8% |
|
0.12% |
37 |
11/10/2021 |
|||
Nomura Securities International, Inc. |
|
199,411 |
|
3.8% |
|
0.11% |
41 |
11/22/2021 |
|||
South Street Securities, LLC |
|
173,977 |
|
3.3% |
|
0.12% |
42 |
11/23/2021 |
|||
BMO Capital Markets Corp. |
|
169,909 |
|
3.3% |
|
0.13% |
14 |
10/22/2021 |
|||
Daiwa Securities America Inc. |
|
167,813 |
|
3.2% |
|
0.11% |
16 |
11/8/2021 |
|||
Barclays Capital Inc |
|
145,516 |
|
2.8% |
|
0.11% |
13 |
10/13/2021 |
|||
Merrill Lynch, Pierce, Fenner & Smith |
|
141,192 |
|
2.7% |
|
0.17% |
15 |
10/29/2021 |
|||
Austin Atlantic Asset Management Co. |
|
99,395 |
|
1.9% |
|
0.14% |
7 |
10/7/2021 |
|||
Lucid Price Fund, LLC |
|
85,283 |
|
1.6% |
|
0.18% |
14 |
10/14/2021 |
|||
Lucid Cash Fund USG, LLC |
|
60,503 |
|
1.2% |
|
0.12% |
14 |
10/14/2021 |
|||
J.V.B. Financial Group, LLC |
|
58,647 |
|
1.1% |
|
0.12% |
22 |
10/25/2021 |
|||
Total Borrowings |
$ |
5,213,869 |
|
100.0% |
|
0.13% |
30 |
9/14/2022 |
|||
| (1) | In September 2021, the Company purchased assets with a fair value of approximately $180.8 million, which settle in October 2021 that are expected to be funded substantially by repurchase agreements not included in the table above. |
