Orchid Island Capital Announces June 2020 Monthly Dividend and May 31, 2020 RMBS Portfolio Characteristics
Tuesday, 16. June 2020 22:15
June 2020 Monthly Dividend of $0.055 Per Share of Common Stock
RMBS Portfolio Characteristics as of May 31, 2020
Next Dividend Announcement Expected July 15, 2020
VERO BEACH, Fla., June 16, 2020 (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 June 2020. The dividend of $0.055 per share will be paid July 29, 2020, to holders of record of the Company’s common stock on June 30, 2020, with an ex-dividend date of June 29, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on July 15, 2020.
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 June 16, 2020 and May 31, 2020 the Company had 66,216,748 shares of common stock outstanding. As of March 31, 2020, the Company had 66,236,639 shares of common stock outstanding.
Estimated May 31, 2020 Book Value Per Share
The estimated range of the Company’s book value per share as of June 12, 2020 was $5.30 and $5.40. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 12, 2020, the Company's preliminary estimated total stockholders' equity range was approximately $351.0 million to $357.6 million with 66,216,748 shares of common stock outstanding. These figures and the resulting estimated book value per share as of June 12, 2020 are preliminary, subject to change, and have not been audited or verified by any third party. The market prices used to compute the fair market value of the pass-through residential mortgage backed certificates issued by Freddie Mac, Fannie Mae or Ginnie Mae (“RMBS”) and structured RMBS positions were obtained from JP Morgan Pricing Direct. Swap and futures marks were obtained from the Chicago Mercantile Exchange closing marks. Swaption marks were obtained from the counterparty to the trade and verified internally for reasonableness. Closing to-be-announced securities prices were obtained from Bloomberg.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of May 31, 2020 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. 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, 2019.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
May 2020
Mar - May
Modeled
Modeled
Net
Weighted
CPR
2020 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 Jun)
in Jun)
(-50 BPS)(2)
(+50 BPS)(2)
Pass Through RMBS
Post Reset ARM
$
944
$
977
0.03
%
$
103.50
4.51
%
4.96
%
190
171
0.00
%
0.00
%
$
3
$
(2
)
Fixed Rate CMO
158,092
169,611
4.99
%
107.29
4.00
%
4.40
%
35
321
27.70
%
17.92
%
395
(570
)
15yr 2.0 TBA
250,000
256,992
7.56
%
102.80
2.00
%
n/a
n/a
n/a
n/a
n/a
2,891
(3,541
)
15yr 4.0
1,253
1,349
0.04
%
107.65
4.00
%
4.49
%
25
141
0.63
%
61.44
%
17
(17
)
15yr Total
251,253
258,341
7.60
%
102.82
2.01
%
4.49
%
25
141
0.63
%
61.44
%
2,908
(3,558
)
30yr 3.0
363,162
384,601
11.31
%
105.90
3.00
%
3.88
%
5
350
5.80
%
14.72
%
2,565
(4,415
)
30yr 3.5
1,241,365
1,356,604
39.91
%
109.28
3.50
%
4.03
%
8
348
13.75
%
11.24
%
12,802
(18,267
)
30yr 4.0
488,805
545,365
16.04
%
111.57
4.00
%
4.52
%
15
341
10.48
%
9.81
%
7,375
(8,945
)
30yr 4.5
338,989
381,662
11.23
%
112.59
4.50
%
5.00
%
15
342
15.58
%
16.89
%
3,306
(3,886
)
30yr 5.0
232,717
264,821
7.79
%
113.80
5.00
%
5.51
%
24
332
24.78
%
23.46
%
2,532
(2,724
)
30yr Total
2,665,038
2,933,053
86.29
%
110.06
3.78
%
4.35
%
11
345
13.26
%
13.10
%
28,580
(38,237
)
Total Pass Through RMBS
3,075,327
3,361,982
98.91
%
109.32
3.65
%
4.36
%
13
344
14.06
%
13.43
%
31,886
(42,367
)
Structured RMBS
Interest-Only Securities
360,499
37,070
1.09
%
10.28
4.00
%
4.59
%
71
276
35.23
%
31.32
%
(1,934
)
3,627
Total Structured RMBS
360,499
37,070
1.09
%
10.28
4.00
%
4.59
%
71
276
35.23
%
31.32
%
(1,934
)
3,627
Total Mortgage Assets
$
3,435,826
$
3,399,052
100.00
%
3.69
%
4.38
%
19
336
16.30
%
15.48
%
$
29,952
$
(38,740
)
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
$
(438
)
$
438
Swaps
(748,500
)
Aug-2024
(15,768
)
17,385
5-Year Treasury Futures
(69,000
)
Sep-2020
(2,314
)
2,073
Swaptions
(500,000
)
Mar-2021(3)
(367
)
1,673
Hedge Total
$
(1,367,500
)
$
(18,887
)
$
21,569
Rate Shock Grand Total
$
11,065
$
(17,171
)
Amounts in the tables above include assets with a fair value of approximately $54.4 million sold in May 2020, which settle in June 2020.
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.
Five-year treasury futures contracts were valued at prices of $125.63 at May 31, 2020. The market value of the short position was $86.7 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value(1)(2)
Portfolio
Asset Category
Value(1)(2)
Portfolio
As of May 31, 2020
As of May 31, 2020
Fannie Mae
$
1,939,520
61.7
%
Non-Whole Pool Assets
$
303,124
9.6
%
Freddie Mac
1,202,540
38.3
%
Whole Pool Assets
2,838,936
90.4
%
Total Mortgage Assets
$
3,142,060
100.0
%
Total Mortgage Assets
$
3,142,060
100.0
%
Amounts in the tables above include assets with a fair value of approximately $54.4 million sold in May 2020, which settle in June 2020.
Amounts in the tables above exclude long TBA positions with a market value of approximately $257.0 million.
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of May 31, 2020
Borrowings(1)
Debt
Rate
in Days
Maturity
Mirae Asset Securities (USA) Inc.
$
382,893
12.3
%
0.25
%
54
8/11/2020
Wells Fargo Bank, N.A.
345,195
11.3
%
0.26
%
11
6/19/2020
Merrill Lynch, Pierce, Fenner & Smith
287,769
9.5
%
0.31
%
11
6/11/2020
Mitsubishi UFJ Securities (USA), Inc
252,510
8.3
%
0.26
%
15
6/26/2020
ABN AMRO Bank N.V.
234,098
7.7
%
0.30
%
40
8/12/2020
Cantor Fitzgerald & Co
233,541
7.7
%
0.28
%
40
7/14/2020
Citigroup Global Markets Inc
219,673
7.2
%
0.33
%
13
6/18/2020
ASL Capital Markets Inc.
209,492
6.9
%
0.25
%
47
7/28/2020
J.P. Morgan Securities LLC
196,560
6.5
%
0.33
%
15
6/25/2020
RBC Capital Markets, LLC
187,875
6.2
%
0.27
%
14
6/26/2020
ING Financial Markets LLC
94,878
3.1
%
0.26
%
18
6/18/2020
Daiwa Securities America Inc.
80,991
2.7
%
0.32
%
57
8/12/2020
Barclays Capital Inc
78,290
2.6
%
0.38
%
12
6/12/2020
South Street Securities, LLC
77,817
2.6
%
0.29
%
246
5/13/2021
Lucid Cash Fund USG LLC
54,607
1.8
%
0.32
%
11
6/11/2020
ED&F Man Capital Markets Inc
36,749
1.2
%
0.25
%
47
7/22/2020
Bank of Montreal
32,157
1.1
%
0.27
%
11
6/11/2020
J.V.B. Financial Group, LLC
26,639
0.9
%
0.25
%
22
6/22/2020
Austin Atlantic Asset Management Co.
11,554
0.4
%
0.30
%
3
6/3/2020
Mizuho Securities USA, Inc
1,339
0.0
%
1.62
%
23
6/23/2020
Total Borrowings
$
3,044,627
100.0
%
0.28
%
32
5/13/2021
In May 2020, the Company sold assets with a fair value of approximately $54.4 million, which settle in June 2020 that collateralize approximately $51.9 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
Related Links:
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