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Orchid Island Capital Announces Estimated First Quarter 2021 Results, April 2021 Monthly Dividend and March 31, 2021 RMBS Portfolio Characteristics

Nachrichtenquelle: Business Wire (engl.)
14.04.2021, 23:20  |  253   |   |   

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 April 2021. The dividend of $0.065 per share will be paid May 26, 2021 to holders of record on April 30, 2021, with an ex-dividend date of April 29, 2021. The Company plans on announcing its next dividend after the Board’s meeting on May 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 April 14, 2021 and March 31, 2021, the Company had 94,410,960 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding.

Estimated March 31, 2021 Book Value Per Share

The Company’s estimated book value per share as of March 31, 2021 was $4.94. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2021, the Company's preliminary estimated total stockholders' equity was approximately $466.2 million with 94,410,960 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

The Company estimates it generated a net loss per share of $0.34, which includes $0.60 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 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 March 31, 2021 was (6.0)%. 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 $(0.325) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.52 from December 31, 2020.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 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 March 31, 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 the 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mar 2021

Jan - Mar

 

 

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 Apr)

in Apr)

 

 

(-50 BPS)(2)

 

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

236,589

 

$

249,068

5.74%

 

$

105.27

2.50%

2.87%

3

173

2.49%

2.58%

 

$

4,298

 

$

(4,917)

15yr 4.0

 

620

 

 

668

0.02%

 

 

107.72

4.00%

4.50%

35

121

8.23%

13.69%

 

 

8

 

 

(9)

15yr Total

 

237,209

 

 

249,736

5.76%

 

 

105.28

2.50%

2.88%

4

173

2.51%

2.61%

 

 

4,306

 

 

(4,926)

20yr 2.0

 

148,817

 

 

151,037

3.48%

 

 

101.49

2.00%

2.87%

3

237

2.72%

1.60%

 

 

2,645

 

 

(3,469)

20yr Total

 

148,817

 

 

151,037

3.48%

 

 

101.49

2.00%

2.87%

3

237

2.72%

1.60%

 

 

2,645

 

 

(3,469)

30yr 2.5

 

1,075,521

 

 

1,107,883

25.54%

 

 

103.01

2.50%

3.36%

5

353

7.48%

5.08%

 

 

20,906

 

 

(28,734)

30yr 3.0

 

1,731,780

 

 

1,847,507

42.58%

 

 

106.68

3.00%

3.51%

4

355

5.88%

7.23%

 

 

37,904

 

 

(47,815)

30yr 3.5

 

594,616

 

 

648,660

14.95%

 

 

109.09

3.50%

4.00%

16

338

25.60%

20.87%

 

 

9,711

 

 

(13,677)

30yr 4.0

 

173,450

 

 

193,855

4.47%

 

 

111.76

4.00%

4.51%

31

321

23.10%

20.19%

 

 

3,603

 

 

(4,090)

30yr 4.5

 

87,902

 

 

99,054

2.28%

 

 

112.69

4.50%

5.00%

22

334

31.30%

29.77%

 

 

961

 

 

(1,467)

30yr Total

 

3,663,269

 

 

3,896,959

89.82%

 

 

106.38

3.02%

3.63%

8

349

11.27%

10.91%

 

 

73,085

 

 

(95,783)

Total Pass Through RMBS

 

4,049,295

 

 

4,297,732

99.06%

 

 

106.14

2.95%

3.56%

8

335

10.40%

9.95%

 

 

80,036

 

 

(104,178)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

228,272

 

 

35,521

0.82%

 

 

15.34

3.98%

4.57%

81

264

45.08%

40.28%

 

 

(4,784)

 

 

4,207

Inverse Interest-Only Securities

 

66,732

 

 

5,283

0.12%

 

 

7.91

3.77%

4.40%

43

311

40.37%

n/a

 

 

(293)

 

 

(316)

Total Structured RMBS

 

295,004

 

 

40,804

0.94%

 

 

13.83

3.93%

4.53%

72

275

44.02%

40.28%

 

 

(5,077)

 

 

3,891

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

4,344,299

 

$

4,338,536

100.00%

 

 

 

3.02%

3.62%

12

331

12.79%

12.05%

 

$

74,959

 

$

(100,287)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

$

(188)

 

$

188

Swaps

 

(1,355,000)

 

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

 

 

(39,062)

 

 

39,062

5-Year Treasury Future

 

(69,000)

 

 

Jun-2021(3)

 

 

 

 

 

 

 

 

 

 

 

 

(2,525)

 

 

1,878

TBA

 

(1,312,000)

 

 

Apr-2021

 

 

 

 

 

 

 

 

 

 

 

 

(17,275)

 

 

26,628

Swaptions

 

(244,350)

 

 

Jun-2022

 

 

 

 

 

 

 

 

 

 

 

 

(7,209)

 

 

6,377

Yield Curve Spread Floor

 

(150,000)

 

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

 

 

n/a

 

 

n/a

Hedge Total

$

(3,180,350)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(66,259)

 

$

74,133

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

8,700

 

$

(26,154)

(1)

 

Amounts in the tables above include assets with a fair value of approximately $211.4 million purchased in March 2021, which settle in April 2021, and exclude assets with a fair value of approximately $154.8 million sold in March 2021, which settle in April 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 $123.40 at March 31, 2021. The market value of the short position was $85.1 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 March 31, 2021

 

 

 

 

As of March 31, 2021

 

 

 

Fannie Mae

$

3,439,588

79.3%

 

Non-Whole Pool Assets

$

285,161

6.6%

Freddie Mac

 

898,948

20.7%

 

Whole Pool Assets

 

4,053,375

93.4%

Total Mortgage Assets

$

4,338,536

100.0%

 

Total Mortgage Assets

$

4,338,536

100.0%

(1)

 

Amounts in the tables above include assets with a fair value of approximately $211.4 million purchased in March 2021, which settle in April 2021, and exclude assets with a fair value of approximately $154.8 million sold in March 2021, which settle in April 2021.

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of March 31, 2021

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

404,494

 

9.7%

 

0.17%

14

4/23/2021

Mirae Asset Securities (USA) Inc.

 

382,677

 

9.2%

 

0.19%

62

8/5/2021

J.P. Morgan Securities LLC

 

368,853

 

8.8%

 

0.18%

152

9/7/2021

ASL Capital Markets Inc.

 

353,065

 

8.4%

 

0.15%

25

5/14/2021

Mitsubishi UFJ Securities (USA), Inc.

 

338,980

 

8.1%

 

0.22%

18

4/26/2021

RBC Capital Markets, LLC

 

279,377

 

6.7%

 

0.17%

37

5/24/2021

ABN AMRO Bank N.V.

 

226,566

 

5.4%

 

0.15%

35

6/11/2021

Cantor Fitzgerald & Co.

 

223,019

 

5.3%

 

0.18%

28

5/13/2021

Citigroup Global Markets Inc

 

213,195

 

5.1%

 

0.18%

42

5/12/2021

Nomura Securities International, Inc.

 

209,661

 

5.0%

 

0.18%

27

5/13/2021

ED&F Man Capital Markets Inc.

 

209,572

 

5.0%

 

0.20%

59

8/19/2021

Barclays Capital Inc.

 

152,630

 

3.6%

 

0.17%

42

5/12/2021

ING Financial Markets LLC

 

148,152

 

3.5%

 

0.20%

13

4/14/2021

Merrill Lynch, Pierce, Fenner & Smith Inc.

 

144,398

 

3.5%

 

0.17%

14

4/14/2021

South Street Securities, LLC

 

104,768

 

2.5%

 

0.24%

64

9/13/2021

Goldman Sachs & Co. LLC

 

100,860

 

2.4%

 

0.17%

38

5/17/2021

Daiwa Capital Markets America Inc.

 

98,315

 

2.4%

 

0.16%

37

5/12/2021

BMO Capital Markets Corp.

 

90,021

 

2.2%

 

0.15%

14

4/14/2021

Austin Atlantic Asset Management Co.

 

49,470

 

1.2%

 

0.19%

1

4/1/2021

Lucid Cash Fund USG LLC

 

49,289

 

1.2%

 

0.22%

15

4/15/2021

J.V.B. Financial Group, LLC

 

34,319

 

0.8%

 

0.20%

24

4/26/2021

Total Borrowings

$

4,181,680

 

100.0%

 

0.18%

43

9/13/2021

(1)

 

 

In March 2021, the Company sold assets with a fair value of approximately $154.8 million, which settle in April 2021 that collateralize approximately $149.1 million of repurchase agreements included in the table above. In March 2021, the Company purchased assets with a fair value of approximately $211.4 million, which settle in April 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

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Disclaimer

Orchid Island Capital Announces Estimated First Quarter 2021 Results, April 2021 Monthly Dividend and March 31, 2021 RMBS Portfolio Characteristics 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 April 2021. The dividend of $0.065 per share will be paid May 26, 2021 to holders of …

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