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Orchid Island Capital Announces May 2021 Monthly Dividend and April 30, 2021 RMBS Portfolio Characteristics
jeudi 13 mai 2021, 00:01 , par Digital Pro Sound
May 2021 Monthly Dividend of $0.065 Per Share of Common Stock
RMBS Portfolio Characteristics as of April 30, 2021 Next Dividend Announcement Expected June 15, 2021 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 May 2021. The dividend of $0.065 per share will be paid June 28, 2021, to holders of record of the Company’s common stock on May 28, 2021, with an ex-dividend date of May 27, 2021. The Company plans on announcing its next common stock dividend on June 15, 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 May 12, 2021, the Company had 95,262,758 shares of common stock outstanding. As of April 30, 2021 and March 31, 2021, the Company had 94,410,960 shares of common stock outstanding. RMBS Portfolio Characteristics Details of the RMBS portfolio as of April 30, 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 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 Apr 2021 Feb – Apr 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 May) in May) (-50 BPS)(2) (+50 BPS)(2) Pass Through RMBS 15yr 2.5 $ 234,989 $ 248,468 5.85 % $ 105.74 2.50 % 2.87 % 4 172 4.64 % 3.19 % $ 3,689 $ (4,483 ) 15yr 4.0 612 659 0.02 % 107.76 4.00 % 4.50 % 36 120 8.21 % 8.16 % 7 (8 ) 15yr Total 235,601 249,127 5.87 % 105.74 2.50 % 2.88 % 5 172 4.65 % 3.20 % 3,696 (4,491 ) 20yr 2.0 148,010 151,177 3.56 % 102.14 2.00 % 2.87 % 4 236 3.17 % 2.38 % 1,979 (3,032 ) 20yr Total 148,010 151,177 3.56 % 102.14 2.00 % 2.87 % 4 236 3.17 % 2.38 % 1,979 (3,032 ) 30yr 2.5 682,916 710,585 16.74 % 104.05 2.50 % 3.46 % 6 351 7.92 % 6.27 % 8,831 (15,510 ) 30yr 3.0 1,971,077 2,111,209 49.74 % 107.11 3.00 % 3.50 % 5 354 6.94 % 8.09 % 32,952 (47,461 ) 30yr 3.5 590,509 647,413 15.25 % 109.64 3.50 % 4.00 % 17 338 21.10 % 22.63 % 6,623 (11,345 ) 30yr 4.0 178,573 200,433 4.72 % 112.24 4.00 % 4.51 % 31 322 20.27 % 19.98 % 3,279 (3,861 ) 30yr 4.5 84,955 95,643 2.25 % 112.58 4.50 % 5.00 % 23 333 34.25 % 32.75 % 574 (1,040 ) 30yr Total 3,508,030 3,765,283 88.71 % 107.33 3.07 % 3.66 % 9 349 10.85 % 12.90 % 52,259 (79,217 ) Total Pass Through RMBS 3,891,641 4,165,587 98.14 % 107.04 3.00 % 3.59 % 8 334 10.18 % 11.49 % 57,934 (86,740 ) Structured RMBS Interest-Only Securities 496,943 74,334 1.75 % 14.97 3.61 % 4.19 % 60 288 29.31 % 39.71 % (7,132 ) 6,392 Inverse Interest-Only Securities 62,791 4,619 0.11 % 7.36 3.79 % 4.40 % 44 310 55.23 % 42.17 % (475 ) (81 ) Total Structured RMBS 559,734 78,953 1.86 % 14.11 3.63 % 4.21 % 58 291 32.77 % 40.26 % (7,607 ) 6,311 Total Mortgage Assets $ 4,451,375 $ 4,244,540 100.00 % 3.08 % 3.67 % 15 328 12.62 % 14.15 % $ 50,327 $ (80,429 ) 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 (39,176 ) 39,176 5-Year Treasury Future (269,000 ) Jun-2021(3) (9,888 ) 7,355 10-Year Treasury Ultra (23,500 ) Jun-2021(4) (2,449 ) 2,098 TBA (548,000 ) May-2021 (4,356 ) 8,776 Swaptions (244,350 ) Jun-2022 (6,754 ) 6,217 Yield Curve Spread Floor (150,000 ) Feb-2023 n/a n/a Hedge Total $ (2,639,850 ) $ (62,811 ) $ 63,810 Rate Shock Grand Total $ (12,484 ) $ (16,619 ) (1) Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 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 $123.94 at April 30, 2021. The market value of the short position was $333.4 million. (4) Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at April 30, 2021. The market value of the short position was $34.2 million. RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test ($ in thousands) ($ in thousands) Percentage Percentage Fair of Fair of Asset Category Value(1) Portfolio Asset Category Value(1) Portfolio As of April 30, 2021 As of April 30, 2021 Fannie Mae $ 3,340,240 78.7 % Non-Whole Pool Assets $ 322,417 7.6 % Freddie Mac 904,300 21.3 % Whole Pool Assets 3,922,123 92.4 % Total Mortgage Assets $ 4,244,540 100.0 % Total Mortgage Assets $ 4,244,540 100.0 % (1) Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 2021. Borrowings By Counterparty
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