Orchid Island Capital Announces December 2019 Monthly Dividend and November 30, 2019 RMBS Portfolio Characteristics

Thursday, 12. December 2019 22:30
  • December 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of November 30, 2019
  • Next Dividend Announcement Expected January 16, 2020

VERO BEACH, Fla., Dec. 12, 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 December 2019. The dividend of $0.08 per share will be paid January 31, 2020, to holders of record on December 31, 2019, with an ex-dividend date of December 30, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on January 16, 2020.

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 December 12, 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 November 30, 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 and the expected funding of purchased assets and anticipated borrowings. 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    
            Nov 2019Sep - Nov 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 Dec)in Dec) (-50 BPS)(2) (+50 BPS)(2)
Pass Through RMBS                 
Post Reset ARM$967 $9930.03%$102.754.51%4.96% 184 1770.00%36.17%$3 $(3)
Fixed Rate CMO 298,581  310,8398.21% 104.114.21%4.57% 25 33220.99%23.81% 1,264  (2,140)
15yr 4.0 19,118  20,0540.53% 104.894.00%4.45% 18 15412.34%19.48% 247  (289)
15yr Total 19,118  20,0540.53% 104.894.00%4.45% 18 15412.34%19.48% 247  (289)
20yr 4.0 80,829  86,8782.29% 107.484.00%4.48% 28 2077.50%10.14% 1,703  (1,802)
20yr Total 80,829  86,8782.29% 107.484.00%4.48% 28 2077.50%10.14% 1,703  (1,802)
30yr 3.0 201,243  205,4585.43% 102.093.00%3.91% 5 3554.83%5.21% 3,812  (5,083)
30yr 3.5 705,146  737,73919.48% 104.623.50%4.15% 5 3525.73%7.20% 12,976  (16,990)
30yr 4.0 1,036,094  1,103,14729.14% 106.474.00%4.59% 15 34213.77%21.13% 16,012  (21,005)
30yr 4.5 406,236  438,63711.58% 107.984.50%5.04% 12 34711.28%12.48% 4,620  (6,456)
30yr 5.0 707,846  778,72920.57% 110.015.00%5.52% 18 33919.25%18.81% 7,719  (10,067)
30yr Total 3,056,565  3,263,71086.20% 106.784.12%4.72% 12 34512.27%15.92% 45,139  (59,601)
Total Pass Through RMBS 3,456,060  3,682,47497.26% 106.554.12%4.70% 14 34012.91%16.64% 48,356  (63,835)
Structured RMBS                 
Interest-Only Securities 674,829  79,2662.09% 11.753.76%4.34% 71 24520.84%22.58% (9,207) 10,131 
Inverse Interest-Only Securities 190,769  24,5280.65% 12.863.36%4.86% 65 28513.01%14.12% 1,267  (1,997)
Total Structured RMBS 865,598  103,7942.74% 11.993.67%4.46% 70 25419.12%20.72% (7,940) 8,134 
Total Mortgage Assets$4,321,658 $3,786,268100.00%  4.03%4.65% 25 32314.15%17.61%$40,416 $(55,701)
                  
               Interest Interest
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance End          (-50 BPS)(2) (+50 BPS)(2)
Eurodollar Futures$(500,000) Dec-2020          (2,500) 2,500 
Swaps (1,270,000) Oct-2023          (25,373) 25,373 
5-Year Treasury Futures (140,000) Mar-2020(3)          (4,165) 4,039 
5-Year Treasury Futures                 
Hedge Total$(1,910,000)           $(32,038)$31,912 
Rate Shock Grand Total             $8,378 $(23,789)
  1. Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 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 $118.97 at November 30, 2019.  The notional contract value of the short position was $166.6 million.
RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category Value(1)Portfolio Asset Category Value(1)Portfolio
As of November 30, 2019    As of November 30, 2019   
Fannie Mae$3,032,35080.1% Non-Whole Pool Assets$608,88416.1%
Freddie Mac 751,67219.8% Whole Pool Assets 3,177,38483.9%
Ginnie Mae 2,2460.1% Total Mortgage Assets$3,786,268100.0%
Total Mortgage Assets$3,786,268100.0%     
  1. Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.
Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of November 30, 2019 Borrowings Debt Ratein DaysMaturity
Wells Fargo Bank, N.A.$391,976 11.0% 1.92%652/11/2020
RBC Capital Markets, LLC 336,010 9.4% 2.14%321/29/2020
J.P. Morgan Securities LLC 332,677 9.3% 2.05%1212/30/2019
Mirae Asset Securities (USA) Inc. 332,079 9.2% 1.98%702/13/2020
Cantor Fitzgerald & Co 290,932 8.1% 1.97%441/13/2020
Citigroup Global Markets Inc 224,938 6.2% 2.11%421/14/2020
ASL Capital Markets Inc. 216,883 6.0% 1.98%391/29/2020
ED&F Man Capital Markets Inc 201,828 5.6% 1.99%562/10/2020
Mitsubishi UFJ Securities (USA), Inc 181,032 5.0% 1.92%251/28/2020
ING Financial Markets LLC 170,823 4.7% 2.04%481/27/2020
ABN AMRO Bank N.V. 151,531 4.2% 1.89%912/9/2019
South Street Securities, LLC 149,391 4.1% 2.47%1084/9/2020
Daiwa Securities America Inc. 109,289 3.0% 1.90%332/10/2020
ICBC Financial Services LLC 98,363 2.7% 1.88%1612/16/2019
Guggenheim Securities, LLC 89,143 2.5% 1.99%521/30/2020
FHLB-Cincinnati 82,778 2.3% 1.73%212/2/2019
Lucid Cash Fund USG LLC 65,647 1.8% 1.91%1212/12/2019
Bank of Montreal 61,149 1.7% 1.97%411/13/2020
Nomura Securities International, Inc. 47,372 1.3% 1.97%441/13/2020
Bank of America 37,064 1.0% 2.00%1012/12/2019
J.V.B. Financial Group, LLC 28,245 0.8% 2.19%271/6/2020
Mizuho Securities USA, Inc 3,745 0.1% 2.31%1712/17/2019
Total Borrowings$3,602,894 100.0% 2.01%424/9/2020
  1. In November 2019, the Company purchased assets with a fair value of approximately $4.2 million, which settle in December 2019 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. Also, in November 2019, the Company sold assets with a fair value of approximately $13.9 million, which settle in December 2019 that collateralize approximately $4.6 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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