Orchid Island Capital Announces February 2020 Monthly Dividend and January 31, 2020 RMBS Portfolio Characteristics

2/12/2020, 2:00 PM (Source: GlobeNewswire)
  • February 2020 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of January 31, 2020
  • Next Dividend Announcement Expected March 18, 2020

VERO BEACH, Fla., Feb. 12, 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 February 2020. The dividend of $0.08 per share will be paid March 27, 2020, to holders of record on February 28, 2020, with an ex-dividend date of February 27, 2020.  The Company plans on announcing its next dividend after the Board’s meeting on March 18, 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 February 11, 2020, the Company had 64,524,495 shares outstanding. As of January 31, 2020, the Company had 63,633,908 shares outstanding. As of December 31, 2020, the Company had 63,061,781 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 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 issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, 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, 2018.

RMBS Valuation Characteristics
($ in thousands)                 
            RealizedRealized    
            Jan 2020Nov - Jan 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 Feb)in Feb) (-50 BPS)(1) (+50 BPS)(1)
Pass Through RMBS                 
Post Reset ARM$959 $9860.03%$102.784.51%4.96% 186 1750.00%0.00%$3 $(2)
Fixed Rate CMO 276,925  289,2757.60% 104.464.20%4.56% 27 33014.50%18.29% 882  (1,568)
15yr 4.0 18,407  19,4920.51% 105.894.00%4.45% 20 15311.36%14.17% 216  (252)
15yr Total 18,407  19,4920.51% 105.894.00%4.45% 20 15311.36%14.17% 216  (252)
20yr 4.0 78,993  85,9912.26% 108.864.00%4.48% 30 20510.30%9.69% 1,587  (1,696)
20yr Total 78,993  85,9912.26% 108.864.00%4.48% 30 20510.30%9.69% 1,587  (1,696)
30yr 3.0 199,413  205,6765.40% 103.143.00%3.91% 7 3522.27%3.16% 3,066  (4,300)
30yr 3.5 1,175,801  1,242,71832.63% 105.693.50%4.16% 6 3524.16%4.73% 17,305  (23,630)
30yr 4.0 1,004,994  1,082,33128.42% 107.704.00%4.59% 17 34012.75%16.25% 13,327  (17,504)
30yr 4.5 476,410  523,04513.73% 109.794.50%5.01% 11 34713.03%13.54% 4,957  (6,810)
30yr 5.0 252,508  281,9267.40% 111.655.00%5.51% 20 33715.91%15.92% 3,046  (3,731)
30yr Total 3,109,126  3,335,69687.59% 107.293.90%4.52% 11 3469.13%11.54% 41,701  (55,975)
Total Pass Through RMBS 3,484,410  3,731,44097.98% 107.093.93%4.53% 13 3409.59%12.16% 44,389  (59,493)
Structured RMBS                 
Interest-Only Securities 405,173  52,9551.39% 13.074.00%4.59% 67 28121.28%23.55% (5,946) 7,375 
Inverse Interest-Only Securities 183,284  23,9240.63% 13.053.42%4.86% 67 28411.22%13.83% 868  (1,586)
Total Structured RMBS 588,457  76,8792.02% 13.063.82%4.68% 67 28218.15%20.52% (5,078) 5,789 
Total Mortgage Assets$4,072,867 $3,808,319100.00%  3.91%4.55% 21 33210.83%13.58%$39,311 $(53,704)
                  
               Interest Interest
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance End          (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures$(500,000) Dec-2020          (2,500) 2,500 
Swaps (1,270,000) Oct-2023          (25,275) 25,275 
5-Year Treasury Futures (69,000) Mar-2020(2)          (2,149) 1,965 
TBA Short (300,000) Jan-2020          (1,254) 1,876 
Swaptions (250,000) Apr-2020          (173) 1,754 
Hedge Total$(2,389,000)           $(31,351)$33,370 
Rate Shock Grand Total             $7,960 $(20,334)
                    
  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 $120.32 at January 31, 2020.  The market value of the short position was $83.0 million.
RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of January 31, 2020    As of January 31, 2020   
Fannie Mae$2,349,89261.7% Non-Whole Pool Assets$555,51214.6%
Freddie Mac 1,458,42738.3% Whole Pool Assets 3,252,80785.4%
Total Mortgage Assets$3,808,319100.0% Total Mortgage Assets$3,808,319100.0%
         


Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of January 31, 2020 Borrowings Debt Ratein DaysMaturity
Wells Fargo Bank, N.A.$420,185 11.3% 1.84%112/20/2020
J.P. Morgan Securities LLC 380,046 10.5% 1.75%122/28/2020
Mirae Asset Securities (USA) Inc. 337,302 9.3% 1.96%112/13/2020
Cantor Fitzgerald & Co 298,553 8.2% 1.74%122/12/2020
Mitsubishi UFJ Securities (USA), Inc 280,152 7.7% 1.75%654/13/2020
Citigroup Global Markets Inc 213,190 5.9% 1.76%122/14/2020
ASL Capital Markets Inc. 206,626 5.7% 1.78%152/28/2020
ABN AMRO Bank N.V. 206,319 5.7% 1.72%112/14/2020
ED&F Man Capital Markets Inc 201,385 5.6% 1.97%92/13/2020
RBC Capital Markets, LLC 168,764 4.7% 1.78%142/28/2020
ING Financial Markets LLC 165,457 4.6% 1.75%172/26/2020
South Street Securities, LLC 149,064 4.1% 2.49%584/9/2020
Daiwa Securities America Inc. 112,436 3.1% 1.94%72/10/2020
ICBC Financial Services LLC 96,319 2.7% 1.75%282/28/2020
Guggenheim Securities, LLC 90,875 2.5% 1.75%222/28/2020
FHLB-Cincinnati 88,885 2.5% 1.67%32/3/2020
Lucid Cash Fund USG LLC 65,922 1.8% 1.79%132/13/2020
Bank of Montreal 58,418 1.6% 1.78%132/13/2020
Nomura Securities International, Inc. 46,775 1.3% 1.74%122/12/2020
J.V.B. Financial Group, LLC 28,979 0.8% 1.75%182/18/2020
Merrill Lynch, Pierce, Fenner & Smith 9,116 0.3% 2.31%32/3/2020
Mizuho Securities USA, Inc 1,911 0.1% 2.20%192/19/2020
Total Borrowings$3,626,679 100.0% 1.83%184/13/2020
           

Contact:

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

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