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ORCHID ISLAND CAPITAL ANNOUNCES MARCH 2020 MONTHLY DIVIDEND AND FEBRUARY 29, 2020 RMBS PORTFOLIO CHARACTERISTICS

  • March 2020 Monthly Dividend of $0.08 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of February 29, 2020
  • Next Dividend Announcement Expected April 8, 2020

VERO BEACH, Fla., March 18, 2020 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of March 2020. The dividend of $0.08 per share will be paid April 28, 2020, to holders of record of the Company’s common stock on March 31, 2020, with an ex-dividend date of March 30, 2020.  The Company plans on announcing its next common stock dividend after the Board’s meeting on April 8, 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 March 18, 2020, the Company had 66,232,508 shares of common stock outstanding. As of February 29, 2020, the Company had 65,869,815 shares of common stock outstanding. As of December 31, 2020, the Company had 63,061,781 shares of common stock outstanding.

Market Update

Global financial markets and economies experienced a significant shock not long after the new year started when a coronavirus outbreak occurred in China. Over the course of the first quarter of 2020 the outbreak in China evolved into a global pandemic. The speed at which the virus spread forced governments across the globe to take ever more severe steps to slow and contain its spread. These steps are having a severe economic impact, as economic activity in some instances essentially ceases. Financial markets across the globe are experiencing severe dislocations at least equal to what was experienced during the global financial crisis in 2008. On March 12, 2020 equity markets in the U.S. entered a bear market in the fastest such move in the history of U.S. financial markets. The Agency RMBS market is included in the list of markets under duress. To date the funding markets, with considerable support from the Fed, have continued to operate relatively smoothly. These developments and their effect on the world’s economy and health will likely continue to play out over the balance of the year, and maybe beyond. At this time, it is too early to tell what the ultimate effect will be on economic activity across the globe and the markets the Company operates in – Agency RMBS.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 29, 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 and market conditions, including the impact of the global coronavirus outbreak on the financial markets and the economy generally. 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, 2019.

RMBS Valuation Characteristics
($ in thousands)                                  
                        Realized Realized        
                        Feb 2020 Dec - Feb   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(1) Portfolio   Price Coupon GWAC Age (Months) in Mar) in Mar)   (-50 BPS)(2)   (+50 BPS)(2)
Pass Through RMBS                                  
Post Reset ARM $ 955   $ 983 0.02 % $ 102.93 4.51 % 4.96 %  187  174 0.00 % 0.00 % $ 6   $ 1  
Fixed Rate CMO   241,789     253,448 5.98 %   104.82 4.16 % 4.57 %  29  328 19.81 % 17.24 %   747     (1,073 )
15yr 3.0   17,439     18,360 0.43 %   105.28 3.00 % 3.62 %  1  177 1.24 % 0.00 %   170     (234 )
15yr 3.5   281,375     298,584 7.04 %   106.12 3.50 % 4.00 %  2  176 3.66 % 0.00 %   1,792     (2,650 )
15yr 4.0   18,107     19,450 0.46 %   107.42 4.00 % 4.45 %  21  152 20.07 % 17.10 %   196     (211 )
15yr Total   316,921     336,394 7.93 %   106.14 3.50 % 4.00 %  3  175 4.46 % 17.10 %   2,158     (3,095 )
20yr 4.0   78,022     85,824 2.02 %   110.00 4.00 % 4.48 %  31  204 14.32 % 11.97 %   1,477     (1,577 )
20yr Total   78,022     85,824 2.02 %   110.00 4.00 % 4.48 %  31  204 14.32 % 11.97 %   1,477     (1,577 )
30yr 3.0   310,413     323,919 7.64 %   104.35 3.00 % 3.91 %  7  353 6.18 % 3.12 %   3,382     (4,897 )
30yr 3.5   1,222,257     1,320,099 31.13 %   108.00 3.50 % 4.04 %  5  352 3.31 % 3.95 %   14,507     (20,672 )
30yr 4.0   954,470     1,051,329 24.79 %   110.15 4.00 % 4.57 %  16  341 12.60 % 15.75 %   12,067     (14,856 )
30yr 4.5   469,625     521,285 12.29 %   111.00 4.50 % 5.01 %  12  346 11.59 % 14.37 %   3,931     (4,851 )
30yr 5.0   248,409     279,724 6.60 %   112.61 5.00 % 5.51 %  21  335 19.47 % 17.62 %   2,685     (3,035 )
30yr Total   3,205,174     3,496,356 82.45 %   109.08 3.86 % 4.44 %  11  347 8.82 % 10.60 %   36,572     (48,311 )
Total Pass Through RMBS   3,842,861     4,173,005 98.41 %   108.59 3.85 % 4.41 %  12  328 9.26 % 11.30 %   40,960     (54,055 )
Structured RMBS                                  
Interest-Only Securities   395,474     44,257 1.04 %   11.19 4.00 % 4.59 %  68  280 21.24 % 21.81 %   (3,552 )   5,623  
Inverse Interest-Only Securities   180,576     23,365 0.55 %   12.94 3.44 % 4.86 %  68  283 12.32 % 13.63 %   399     (923 )
Total Structured RMBS   576,050     67,622 1.59 %   11.74 3.83 % 4.68 %  68  281 18.45 % 19.24 %   (3,153 )   4,700  
Total Mortgage Assets $ 4,418,911   $ 4,240,627 100.00 %     3.85 % 4.45 %  19  322 10.46 % 12.74 % $ 37,807   $ (49,355 )
                                   
                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(2)   (+50 BPS)(2)
Eurodollar Futures $ (500,000 )   Dec-2021                     (4,375 )   4,375  
Swaps   (1,485,000 )   Nov-2023                     (28,577 )   28,577  
5-Year Treasury Futures   (69,000 )   Jun-2020(3)                     (3,090 )   1,143  
TBA Short   (700,000 )   Mar-2020                     (2,642 )   3,019  
Swaptions   (250,000 )   Apr-2020                     (163 )   1,312  
Hedge Total $ (3,004,000 )                       $ (38,847 ) $ 38,426  
Rate Shock Grand Total                           $ (1,040 ) $ (10,929 )
  1. Amounts in the tables above exclude assets with a fair value of approximately $301.7 million  sold in February 2020, which settle in March 2020.
  2. 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.
  3. Five year treasury futures contracts were valued at prices of $122.75 at February 29, 2020.  The market value of the short position was $84.7 million.
RMBS Assets by Agency         Investment Company Act of 1940 Whole Pool Test
($ in thousands)         ($ in thousands)      
      Percentage         Percentage
    Fair of       Fair of
Asset Category   Value(1) Portfolio   Asset Category   Value(1) Portfolio
As of February 29, 2020         As of February 29, 2020      
Fannie Mae $ 2,792,974 65.9 %   Non-Whole Pool Assets $ 443,003 10.4 %
Freddie Mac   1,447,653 34.1 %   Whole Pool Assets   3,797,624 89.6 %
Total Mortgage Assets $ 4,240,627 100.0 %   Total Mortgage Assets $ 4,240,627 100.0 %
                 

(1)   Amounts in the tables above exclude assets with a fair value of approximately $301.7 million sold in February 2020, which settle in March 2020.


Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of February 29, 2020   Borrowings(1)   Debt   Rate in Days Maturity
Wells Fargo Bank, N.A. $ 470,081   11.0 %   1.75 % 12 3/20/2020
Cantor Fitzgerald & Co   445,846   10.4 %   1.75 % 15 3/16/2020
J.P. Morgan Securities LLC   379,684   8.8 %   1.77 % 21 5/13/2020
Mirae Asset Securities (USA) Inc.   307,321   7.1 %   1.76 % 71 5/13/2020
Merrill Lynch, Pierce, Fenner & Smith   292,806   6.8 %   1.81 % 14 3/13/2020
Mitsubishi UFJ Securities (USA), Inc   281,279   6.5 %   1.73 % 53 5/27/2020
Citigroup Global Markets Inc   212,837   4.9 %   1.78 % 73 5/14/2020
ASL Capital Markets Inc.   204,896   4.8 %   1.76 % 53 5/28/2020
ABN AMRO Bank N.V.   203,900   4.7 %   1.76 % 75 5/14/2020
ED&F Man Capital Markets Inc   189,541   4.4 %   1.76 % 72 5/13/2020
Guggenheim Securities, LLC   168,329   3.9 %   1.77 % 82 5/28/2020
ING Financial Markets LLC   165,450   3.8 %   1.77 % 19 3/27/2020
RBC Capital Markets, LLC   160,616   3.7 %   1.80 % 71 5/13/2020
South Street Securities, LLC   148,730   3.5 %   2.45 % 46 5/6/2020
Nomura Securities International, Inc.   144,229   3.4 %   1.76 % 59 5/18/2020
Daiwa Securities America Inc.   112,434   2.6 %   1.76 % 36 5/12/2020
ICBC Financial Services LLC   96,262   2.2 %   1.79 % 31 3/30/2020
FHLB-Cincinnati   88,911   2.1 %   1.67 % 3 3/2/2020
Barclays Capital Inc   78,305   1.8 %   1.78 % 14 3/13/2020
Lucid Cash Fund USG LLC   64,951   1.5 %   1.80 % 13 3/12/2020
Bank of Montreal   58,685   1.4 %   1.82 % 70 5/13/2020
J.V.B. Financial Group, LLC   29,011   0.7 %   1.77 % 21 3/20/2020
Mizuho Securities USA, Inc   1,751   0.0 %   2.20 % 19 3/18/2020
Total Borrowings $ 4,304,104   100.0 %   1.79 % 40 5/28/2020

(1) In February 2020, the Company sold assets with a fair value of approximately $301.7 million, which settle in March 2020 that collateralize approximately $291.6 million of repurchase agreements included in the table above.

Contact:

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