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Orchid Island Capital Announces Estimated Fourth Quarter 2020 Results, January 2021 Monthly Dividend and December 31, 2020 RMBS Portfolio Characteristics

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  • January 2021 Monthly Dividend of $0.065 Per Share

  • Estimated Book Value Per Share as of December 31, 2020 of $5.46

  • Estimated GAAP net income of $0.23 per share for the quarter ended December 31, 2020, including an estimated $0.07 per share of net realized and unrealized losses on RMBS and derivative instruments

  • Estimated 4.0% total return on equity for the quarter

  • Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm

  • RMBS Portfolio Characteristics as of December 31, 2020

  • Next Dividend Announcement Expected February 10, 2021

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 January 2021. The dividend of $0.065 per share will be paid February 24, 2021 to holders of record on January 29, 2021, with an ex-dividend date of January 28, 2021. The Company plans on announcing its next dividend after the Board’s meeting on February 10, 2021.

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 January 14, 2021, the Company had 76,381,365 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding. As of September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.

Estimated December 31, 2020 Book Value Per Share

The Company’s estimated book value per share as of December 31, 2020 was $5.46. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2020, the Company's preliminary estimated total stockholders' equity was approximately $415.3 million with 76,073,317 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net income per share of $0.23, which includes $0.07 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended December 31, 2020. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended December 31, 2020 was 4.0%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $0.215 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.02 from September 30, 2020.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 2020 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended December 31, 2020, are subject to review by the Company’s independent registered public accounting firm.

  • 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

Dec 2020

Oct - Dec

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 Jan)

in Jan)

(-50 BPS)(1)

(+50 BPS)(1)

Pass Through RMBS

Fixed Rate CMO

$

128,951

$

137,453

3.26%

$

106.59

4.00%

4.40%

42

312

35.50%

25.42%

$

(100)

$

(19)

15yr 4.0

666

720

0.02%

108.20

4.00%

4.49%

32

123

22.95%

17.45%

7

(7)

15yr Total

666

720

0.02%

108.20

4.00%

4.49%

32

123

22.95%

17.45%

7

(7)

20yr 2.0

249,144

259,441

6.16%

104.13

2.00%

2.86%

2

238

1.41%

1.66%

579

(1,173)

20yr Total

249,144

259,441

6.16%

104.13

2.00%

2.86%

2

238

1.41%

1.66%

579

(1,173)

30yr 2.5

816,270

869,278

20.65%

106.49

2.50%

3.33%

3

355

3.82%

7.27%

9,440

(16,753)

30yr 3.0

741,511

813,838

19.33%

109.75

3.00%

3.49%

5

354

7.32%

18.09%

13,576

(17,303)

30yr 3.5

1,151,156

1,270,263

30.17%

110.35

3.50%

3.98%

13

343

19.83%

17.38%

11,303

(16,630)

30yr 4.0

183,879

208,168

4.94%

113.21

4.00%

4.51%

28

325

20.42%

23.54%

3,391

(3,823)

30yr 4.5

96,264

108,658

2.58%

112.87

4.50%

5.00%

19

338

29.67%

26.64%

910

(1,006)

30yr 5.0

26,807

30,380

0.72%

113.33

5.00%

5.62%

34

319

30.40%

30.95%

317

(320)

30yr Total

3,015,887

3,300,585

78.40%

109.44

3.18%

3.76%

9

348

12.87%

16.88%

38,937

(55,835)

Total Pass Through RMBS

3,394,648

3,698,199

87.84%

108.94

3.13%

3.72%

10

338

12.89%

16.65%

39,423

(57,034)

Structured RMBS

Interest-Only Securities

264,010

28,696

0.68%

10.87

4.00%

4.57%

78

268

45.29%

44.30%

(2,433)

4,035

Total Structured RMBS

264,010

28,696

0.68%

10.87

4.00%

4.57%

78

268

45.29%

44.30%

(2,433)

4,035

Long TBA Positions

FNCL 2.0 TBA

465,000

483,090

11.47%

103.89

2.00%

5,781

(9,527)

Total Long TBA

465,000

483,090

11.47%

103.89

2.00%

5,781

(9,527)

Total Mortgage Assets

$

4,123,658

$

4,209,985

100.00%

3.06%

3.78%

15

333

15.23%

20.12%

$

42,771

$

(62,526)

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

(250)

250

Swaps

(820,000)

Apr-2025

(8,479)

18,680

5-Year Treasury Futures

(69,000)

Mar-2021(2)

(1,956)

2,610

TBA

(328,000)

Jan-2021

(2,151)

3,571

Swaptions

(667,300)

May-2021

(4,274)

4,049

Hedge Total

$

(1,934,300)

$

(17,110)

$

29,160

Rate Shock Grand Total

$

25,661

$

(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 $126.16 at December 31, 2020. The market value of the short position was $87.1 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 December 31, 2020

As of December 31, 2020

Fannie Mae

$

2,733,960

73.4%

Non-Whole Pool Assets

$

476,890

12.8%

Freddie Mac

992,935

26.6%

Whole Pool Assets

3,250,005

87.2%

Total Mortgage Assets

$

3,726,895

100.0%

Total Mortgage Assets

$

3,726,895

100.0%

(1)

Amounts in the tables above exclude long TBA positions with a market value of approximately $483.1 million.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of December 31, 2020

Borrowings

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

421,363

11.7%

0.22%

41

3/4/2021

Mirae Asset Securities (USA) Inc.

362,434

10.1%

0.25%

30

2/11/2021

Mitsubishi UFJ Securities (USA), Inc

340,953

9.5%

0.24%

18

1/26/2021

J.P. Morgan Securities LLC

335,287

9.3%

0.24%

70

3/12/2021

ASL Capital Markets Inc.

291,724

8.1%

0.21%

35

2/16/2021

Citigroup Global Markets Inc

222,559

6.2%

0.23%

12

1/19/2021

Cantor Fitzgerald & Co.

214,128

6.0%

0.23%

24

2/12/2021

RBC Capital Markets, LLC

163,155

4.5%

0.22%

12

1/12/2021

Barclays Capital Inc.

158,409

4.4%

0.23%

12

1/12/2021

Daiwa Securities America Inc.

151,432

4.2%

0.24%

37

3/4/2021

Merrill Lynch, Pierce, Fenner & Smith

150,672

4.2%

0.22%

14

1/29/2021

ING Financial Markets LLC

126,331

3.5%

0.22%

14

1/14/2021

ED&F Man Capital Markets Inc

115,495

3.2%

0.22%

13

1/22/2021

ABN AMRO Bank N.V.

109,827

3.1%

0.23%

13

1/13/2021

Nomura Securities International, Inc.

104,422

2.9%

0.21%

48

2/22/2021

South Street Securities, LLC

79,298

2.2%

0.28%

102

5/13/2021

Goldman, Sachs & Co.

77,823

2.2%

0.22%

47

2/16/2021

Bank of Montreal

69,598

1.9%

0.22%

42

2/11/2021

Lucid Cash Fund USG LLC

51,655

1.4%

0.27%

14

1/14/2021

Austin Atlantic Asset Management Co.

25,465

0.7%

0.26%

4

1/4/2021

J.V.B. Financial Group, LLC

23,556

0.7%

0.23%

15

1/15/2021

Total Borrowings

$

3,595,586

100.0%

0.23%

31

5/13/2021

View source version on businesswire.com: https://www.businesswire.com/news/home/20210114006000/en/

Contacts

Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400