Orchid Island Capital Announces November 2019 Monthly Dividend and October 31, 2019 RMBS Portfolio Characteristics

Wednesday, 13. November 2019 23:10
  • November 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2019
  • Next Dividend Announcement Expected December 12, 2019

VERO BEACH, Fla., Nov. 13, 2019 (GLOBE NEWSWIRE) -- 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 November 2019. The dividend of $0.08 per share will be paid December 31, 2019, to holders of record on November 29, 2019, with an ex-dividend date of November 27, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on December 12, 2019.

The Company intends to make regular monthly cash distributions to its stockholders. 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 November 13, 2019, the Company had 63,058,209 shares outstanding. At September 30, 2019, the Company also had 63,058,209 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 2019 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 issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. Orchid 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 Form 10-K for the year ended December 31, 2018.

 
RMBS Valuation Characteristics
($ in thousands)                 
            RealizedRealized    
            Oct 2019Aug - Oct Modeled Modeled
        Net  WeightedCPR2019 CPR Interest Interest
     %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face Value(1)Portfolio PriceCouponGWACAge(Months)in Nov)in Nov) (-50 BPS)(2) (+50 BPS)(2)
Pass Through RMBS                 
Post Reset ARM$1,111 $1,1790.03%$106.114.46%4.91%18217963.90%38.50%$7 $(7)
Fixed Rate CMO 312,979  325,8228.88% 104.104.22%4.58%2433325.32%23.05% 1,070  (1,841)
15yr 4.0 19,710  20,7970.57% 105.514.00%4.45%1715624.05%16.25% 240  (284)
15yr Total 19,710  20,7970.57% 105.514.00%4.45%1715624.05%16.25% 240  (284)
20yr 4.0 81,774  87,9972.40% 107.614.00%4.48%272089.58%12.00% 1,697  (1,805)
20yr Total 81,774  87,9972.40% 107.614.00%4.48%272089.58%12.00% 1,697  (1,805)
30yr 3.0 160,678  164,2294.47% 102.213.00%3.95%43555.95%3.83% 2,803  (3,875)
30yr 3.5 641,434  671,90218.30% 104.753.50%4.16%53535.28%6.47% 10,813  (14,480)
30yr 4.0 979,684  1,043,82628.44% 106.554.00%4.60%1534220.35%18.60% 13,132  (17,943)
30yr 4.5 419,876  454,97012.39% 108.364.50%5.05%1034914.42%12.44% 4,082  (5,920)
30yr 5.0 722,673  795,80021.68% 110.125.00%5.52%1734120.69%17.59% 7,260  (9,592)
30yr Total 2,924,345  3,130,72785.29% 107.064.15%4.76%1234615.49%14.56% 38,090  (51,810)
Total Pass Through RMBS 3,339,919  3,566,52297.16% 106.784.16%4.74%1334016.33%15.45% 41,104  (55,747)
Structured RMBS                 
Interest-Only Securities 697,753  79,1242.16% 11.343.76%4.34%7024725.35%22.56% (9,369) 10,599 
Inverse Interest-Only Securities 194,607  25,0620.68% 12.883.21%4.86%6428616.08%14.84% 1,088  (1,840)
Total Structured RMBS 892,360  104,1862.84% 11.683.64%4.46%6925523.32%20.88% (8,281) 8,759 
Total Mortgage Assets$4,232,279 $3,670,708100.00%  4.05%4.68%2532217.80%16.75%$32,823 $(46,988)
                  
               Interest Interest
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance End          (-50 BPS)(2) (+50 BPS)(2)
Eurodollar Futures$(500,000) Dec-2020          (3,125) 3,125 
Fed Funds Futures (400,000) Mar-2020          (833) 833 
Swaps (2,120,000) May-2022          (26,072) 26,072 
5-Year Treasury Future (140,000) Dec-2019(3)          (2,154) 5,670 
TBA Long                 
Hedge Total$(3,160,000)           $(32,184)$35,700 
Rate Shock Grand Total             $639 $(11,288)

(1) Amounts in the tables above exclude assets with a fair value of approximately $366.6 million sold in October 2019, which settle in November 2019.
(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 $119.20 at October 31, 2019.  The notional contract value of the short position was $166.9 million.

      
RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category Value(1)Portfolio Asset Category Value(1)Portfolio
As of October 31, 2019    As of October 31, 2019   
Fannie Mae$2,892,79478.8% Non-Whole Pool Assets$600,89116.4%
Freddie Mac 775,63021.1% Whole Pool Assets 3,069,81783.6%
Ginnie Mae 2,2840.1% Total Mortgage Assets$3,670,708100.0%
Total Mortgage Assets$3,670,708100.0%     

(1)   Amounts in the tables above exclude assets with a fair value of approximately $366.6 million sold in October 2019, which settle in November 2019.

         
         
Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of October 31, 2019 Borrowings Debt Ratein DaysMaturity
J.P. Morgan Securities LLC $453,414 11.8% 2.40%2612/12/2019
Mirae Asset Securities (USA) Inc.  400,193 10.4% 2.12%372/13/2020
Wells Fargo Bank, N.A.  372,162 9.7% 2.08%291/21/2020
RBC Capital Markets, LLC  337,504 8.8% 2.14%591/13/2020
Cantor Fitzgerald & Co  324,690 8.5% 2.13%1311/18/2019
Citigroup Global Markets Inc  224,212 5.8% 2.11%721/14/2020
ASL Capital Markets Inc.  217,044 5.7% 2.05%621/29/2020
ABN AMRO Bank N.V.  207,186 5.4% 2.14%911/15/2019
ED&F Man Capital Markets Inc  203,773 5.3% 2.11%522/10/2020
South Street Securities, LLC  174,188 4.5% 2.49%1144/9/2020
Mitsubishi UFJ Securities (USA), Inc  165,296 4.3% 2.44%291/28/2020
ING Financial Markets LLC  159,970 4.2% 2.04%781/27/2020
Daiwa Securities America Inc.  111,101 2.9% 2.16%711/12/2019
ICBC Financial Services LLC  101,593 2.6% 2.11%1411/14/2019
Guggenheim Securities, LLC  90,155 2.4% 2.07%441/30/2020
FHLB-Cincinnati  78,926 2.1% 1.85%111/1/2019
Lucid Cash Fund USG LLC  53,854 1.4% 2.14%1411/14/2019
Nomura Securities International, Inc.  48,554 1.3% 2.10%1411/14/2019
Bank of Montreal  40,767 1.1% 2.15%1611/27/2019
J.V.B. Financial Group, LLC  28,245 0.7% 2.19%571/6/2020
Merrill Lynch, Pierce, Fenner & Smith  26,271 0.7% 2.29%911/12/2019
Lucid Prime Fund, LLC  13,395 0.3% 2.18%1411/14/2019
Mizuho Securities USA, Inc  3,190 0.1% 2.47%1511/15/2019
Total Borrowings$3,835,683 100.0% 2.17%394/9/2020
           
(1) In October 2019, the Company sold assets with a fair value of approximately $366.6 million, which settle in November 2019 that collateralize approximately $363.7 million of repurchase agreements included in the table above.
 

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400 

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