Orchid Island Capital Announces September 2020 Monthly Dividend and August 31, 2020 RMBS Portfolio Characteristics

Wednesday, 16. September 2020 23:25
  • September 2020 Monthly Dividend of $0.065 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of August 31, 2020
  • Next Dividend Announcement Expected October 14, 2020

VERO BEACH, Fla., Sept. 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 September 2020. The dividend of $0.065 per share will be paid October 28, 2020, to holders of record of the Company’s common stock on September 30, 2020, with an ex-dividend date of September 29, 2020.  The Company plans on announcing its next common stock dividend after the Board’s meeting on October 14, 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 September 16, 2020, the Company had 68,906,465 shares of common stock outstanding. As of August 31, 2020, the Company had 68,214,819 shares of common stock outstanding. As of June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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 Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.

 
RMBS Valuation Characteristics
($ in thousands)                 
            RealizedRealized    
            Aug 2020Jun - Aug Modeled Modeled
        Net  WeightedCPR2020 CPR Interest Interest
     %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face ValuePortfolio PriceCouponGWACAge(Months)in Sep)in Sep) (-50 BPS)(1) (+50 BPS)(1)
Pass Through RMBS                 
Post Reset ARM$932$9640.02%$103.434.30%4.09% 193 1680.00%0.00%$4 $(3)
Fixed Rate CMO 145,144 155,4314.02% 107.094.00%4.40% 38 31720.53%19.18% 324  (302)
15yr 4.0 1,228 1,3190.03% 107.394.00%4.49% 28 1383.58%2.59% 17  (17)
15yr Total 1,228 1,3190.03% 107.394.00%4.49% 28 1383.58%2.59% 17  (17)
20yr 2.5 149,402 157,5494.08% 105.452.50%3.34% 2 2383.45%n/a (211) 30 
20yr Total 149,402 157,5494.08% 105.452.50%3.34% 2 2383.45%n/a (211) 30 
30yr 2.5 250,000 264,3176.84% 105.732.50%3.36% 1 3590.00%n/a 2,350  (3,756)
30yr 3.0 181,932 194,0675.02% 106.673.00%3.84% 9 34914.21%10.17% 927  (1,304)
30yr 3.5 1,408,624 1,551,56040.13% 110.153.50%3.99% 10 34611.48%10.03% 15,968  (21,146)
30yr 4.0 469,162 524,60713.57% 111.824.00%4.52% 18 33713.89%13.82% 6,940  (8,134)
30yr 4.5 296,626 335,2908.67% 113.034.50%5.01% 17 34120.30%19.60% 3,054  (3,399)
30yr 5.0 152,723 173,8994.50% 113.875.00%5.56% 26 32919.98%20.88% 1,916  (2,012)
30yr Total 2,759,067 3,043,74078.73% 110.323.65%4.21% 12 34512.39%12.97% 31,155  (39,751)
Total Pass Through RMBS 3,055,773 3,359,00386.88% 109.923.61%4.18% 13 33812.33%13.35% 31,289  (40,043)
Structured RMBS                 
Interest-Only Securities 314,354 31,3490.81% 9.974.00%4.59% 75 27239.64%39.27% (1,212) 2,400 
Total Structured RMBS 314,354 31,3490.81% 9.974.00%4.59% 75 27239.64%39.27% (1,212) 2,400 
Long TBA Positions                 
FNCI 2.0 TBA 175,000 181,9184.71% 103.952.00%      1,856  (2,301)
FNCL 2.5 TBA 279,000 293,8657.60% 105.332.50%      2,912  (4,196)
Total Long TBA 454,000 475,78312.31% 104.802.31%      4,768  (6,497)
Total Mortgage Assets$3,824,127$3,866,135100.00%  3.49%4.22% 18 33214.88%16.48%$34,845 $(44,140)


                   
               Interest  Interest
  Average Hedge          Rate  Rate
  Notional Period          Sensitivity  Sensitivity
Hedge Balance End          (-50 BPS)(1)  (+50 BPS)(1)
Eurodollar Futures$(50,000) Dec-2021          (375) 375 
Swaps (820,000) Apr-2025          (10,824) 19,590 
5-Year Treasury Futures (69,000) Dec-2020(2)          (2,263) 2,188 
Swaptions (667,300) May-2021          (3,278) 4,680 
Hedge Total$(1,606,300)           $(16,740)$26,833 
Rate Shock Grand Total             $18,105 $(17,307)

(1) 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.

(2) Five year treasury futures contracts were valued at prices of $126.03 at August 31, 2020.  The market value of the short position was $87.0 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 August 31, 2020    As of August 31, 2020   
Fannie Mae$1,984,99558.5% Non-Whole Pool Assets$698,37920.6%
Freddie Mac 1,405,35741.5% Whole Pool Assets 2,691,97379.4%
Total Mortgage Assets$3,390,352100.0% Total Mortgage Assets$3,390,352100.0%

(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $475.8 million.


Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of August 31, 2020 Borrowings Debt Ratein DaysMaturity
Mirae Asset Securities (USA) Inc.$373,441 11.6% 0.25%1092/11/2021
Wells Fargo Bank, N.A. 313,490 9.7% 0.23%119/18/2020
Mitsubishi UFJ Securities (USA), Inc 292,156 9.0% 0.24%209/28/2020
Merrill Lynch, Pierce, Fenner & Smith 284,184 8.8% 0.25%149/30/2020
J.P. Morgan Securities LLC 266,174 8.2% 0.28%1310/1/2020
Cantor Fitzgerald & Co 231,199 7.1% 0.25%119/15/2020
RBC Capital Markets, LLC 214,643 6.6% 0.23%4011/24/2020
ASL Capital Markets Inc. 205,964 6.4% 0.23%4610/28/2020
Citigroup Global Markets Inc 205,375 6.3% 0.25%159/21/2020
ABN AMRO Bank N.V. 199,067 6.2% 0.24%2710/23/2020
ING Financial Markets LLC 140,669 4.3% 0.26%3810/19/2020
Daiwa Securities America Inc. 127,730 3.9% 0.24%3511/10/2020
ED&F Man Capital Markets Inc 112,371 3.5% 0.21%5811/30/2020
South Street Securities, LLC 77,304 2.4% 0.28%1855/13/2021
Bank of Montreal 73,195 2.3% 0.25%149/14/2020
Lucid Cash Fund USG LLC 57,076 1.8% 0.27%109/10/2020
J.V.B. Financial Group, LLC 26,270 0.8% 0.30%4510/15/2020
Barclays Capital Inc 25,142 0.8% 0.29%7111/10/2020
Austin Atlantic Asset Management Co. 10,072 0.3% 0.30%29/2/2020
Total Borrowings$3,235,522 100.0% 0.25%385/13/2021
           

Contact:

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

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