Orchid Island Capital Announces September 2020 Monthly Dividend and August 31, 2020 RMBS Portfolio Characteristics
September 16 2020 - 5:25PM
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. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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