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

Primary tabs

Information
Retrieved on: 
Wednesday, September 16, 2020 - 10:25pm
Organisation: 
Orchid Island Capital, Inc.
Content
Key Points: 


  • 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)                                  
                        Realized Realized        
                        Aug 2020 Jun - Aug   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 Portfolio   Price Coupon GWAC Age (Months) in Sep) in Sep)   (-50 BPS)(1)   (+50 BPS)(1)
Pass Through RMBS                                  
Post Reset ARM $ 932 $ 964 0.02 % $ 103.43 4.30 % 4.09 %  193  168 0.00 % 0.00 % $ 4   $ (3 )
Fixed Rate CMO   145,144   155,431 4.02 %   107.09 4.00 % 4.40 %  38  317 20.53 % 19.18 %   324     (302 )
15yr 4.0   1,228   1,319 0.03 %   107.39 4.00 % 4.49 %  28  138 3.58 % 2.59 %   17     (17 )
15yr Total   1,228   1,319 0.03 %   107.39 4.00 % 4.49 %  28  138 3.58 % 2.59 %   17     (17 )
20yr 2.5   149,402   157,549 4.08 %   105.45 2.50 % 3.34 %  2  238 3.45 % n/a   (211 )   30  
20yr Total   149,402   157,549 4.08 %   105.45 2.50 % 3.34 %  2  238 3.45 % n/a   (211 )   30  
30yr 2.5   250,000   264,317 6.84 %   105.73 2.50 % 3.36 %  1  359 0.00 % n/a   2,350     (3,756 )
30yr 3.0   181,932   194,067 5.02 %   106.67 3.00 % 3.84 %  9  349 14.21 % 10.17 %   927     (1,304 )
30yr 3.5   1,408,624   1,551,560 40.13 %   110.15 3.50 % 3.99 %  10  346 11.48 % 10.03 %   15,968     (21,146 )
30yr 4.0   469,162   524,607 13.57 %   111.82 4.00 % 4.52 %  18  337 13.89 % 13.82 %   6,940     (8,134 )
30yr 4.5   296,626   335,290 8.67 %   113.03 4.50 % 5.01 %  17  341 20.30 % 19.60 %   3,054     (3,399 )
30yr 5.0   152,723   173,899 4.50 %   113.87 5.00 % 5.56 %  26  329 19.98 % 20.88 %   1,916     (2,012 )
30yr Total   2,759,067   3,043,740 78.73 %   110.32 3.65 % 4.21 %  12  345 12.39 % 12.97 %   31,155     (39,751 )
Total Pass Through RMBS   3,055,773   3,359,003 86.88 %   109.92 3.61 % 4.18 %  13  338 12.33 % 13.35 %   31,289     (40,043 )
Structured RMBS                                  
Interest-Only Securities   314,354   31,349 0.81 %   9.97 4.00 % 4.59 %  75  272 39.64 % 39.27 %   (1,212 )   2,400  
Total Structured RMBS   314,354   31,349 0.81 %   9.97 4.00 % 4.59 %  75  272 39.64 % 39.27 %   (1,212 )   2,400  
Long TBA Positions                                  
FNCI 2.0 TBA   175,000   181,918 4.71 %   103.95 2.00 %             1,856     (2,301 )
FNCL 2.5 TBA   279,000   293,865 7.60 %   105.33 2.50 %             2,912     (4,196 )
Total Long TBA   454,000   475,783 12.31 %   104.80 2.31 %             4,768     (6,497 )
Total Mortgage Assets $ 3,824,127 $ 3,866,135 100.00 %     3.49 % 4.22 %  18  332 14.88 % 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
    Fair of       Fair of
Asset Category   Value(1) Portfolio   Asset Category   Value(1) Portfolio
As of August 31, 2020         As of August 31, 2020      
Fannie Mae $ 1,984,995 58.5 %   Non-Whole Pool Assets $ 698,379 20.6 %
Freddie Mac   1,405,357 41.5 %   Whole Pool Assets   2,691,973 79.4 %
Total Mortgage Assets $ 3,390,352 100.0 %   Total Mortgage Assets $ 3,390,352 100.0 %

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


Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of August 31, 2020   Borrowings   Debt   Rate in Days Maturity
Mirae Asset Securities (USA) Inc. $ 373,441   11.6 %   0.25 % 109 2/11/2021
Wells Fargo Bank, N.A.   313,490   9.7 %   0.23 % 11 9/18/2020
Mitsubishi UFJ Securities (USA), Inc   292,156   9.0 %   0.24 % 20 9/28/2020
Merrill Lynch, Pierce, Fenner & Smith   284,184   8.8 %   0.25 % 14 9/30/2020
J.P. Morgan Securities LLC   266,174   8.2 %   0.28 % 13 10/1/2020
Cantor Fitzgerald & Co   231,199   7.1 %   0.25 % 11 9/15/2020
RBC Capital Markets, LLC   214,643   6.6 %   0.23 % 40 11/24/2020
ASL Capital Markets Inc.   205,964   6.4 %   0.23 % 46 10/28/2020
Citigroup Global Markets Inc   205,375   6.3 %   0.25 % 15 9/21/2020
ABN AMRO Bank N.V.   199,067   6.2 %   0.24 % 27 10/23/2020
ING Financial Markets LLC   140,669   4.3 %   0.26 % 38 10/19/2020
Daiwa Securities America Inc.   127,730   3.9 %   0.24 % 35 11/10/2020
ED&F Man Capital Markets Inc   112,371   3.5 %   0.21 % 58 11/30/2020
South Street Securities, LLC   77,304   2.4 %   0.28 % 185 5/13/2021
Bank of Montreal   73,195   2.3 %   0.25 % 14 9/14/2020
Lucid Cash Fund USG LLC   57,076   1.8 %   0.27 % 10 9/10/2020
J.V.B. Financial Group, LLC   26,270   0.8 %   0.30 % 45 10/15/2020
Barclays Capital Inc   25,142   0.8 %   0.29 % 71 11/10/2020
Austin Atlantic Asset Management Co.   10,072   0.3 %   0.30 % 2 9/2/2020
Total Borrowings $ 3,235,522   100.0 %   0.25 % 38 5/13/2021
                     

Contact:

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

Primary Logo