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     114  0 Kommentare Orchid Island Capital Announces September 2021 Monthly Dividend and August 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 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 Announces September 2021 Monthly Dividend and August 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 September 2021. The dividend of $0.065 per share will be paid October 27, 2021, to …