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Orchid Island Capital Announces May 2020 Monthly Dividend and April 30, 2020 RMBS Portfolio Characteristics

  • May 2020 Monthly Dividend of $0.055 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of April 30, 2020
  • Next Dividend Announcement Expected June 16, 2020

VERO BEACH, Fla., May 13, 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 May 2020. The dividend of $0.055 per share will be paid June 26, 2020, to holders of record of the Company’s common stock on May 29, 2020, with an ex-dividend date of May 28, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on June 16, 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 cannot assure you of its ability to make distributions to stockholders in the future.

As of May 13, 2020, April 30, 2020 and March 31, 2020 the Company had 66,236,639 shares of common stock outstanding.

Estimated Book Value Per Share

The estimated range of the Company’s book value per share as of May 12, 2020 was $5.24 and $5.34. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At May 12, 2020, the Company's preliminary estimated total stockholders' equity range was approximately $346.8 million to $353.4 million with 66,236,639 shares of common stock outstanding. These figures and the resulting estimated book value per share as of May 12, 2020 are preliminary, subject to change, and have not been audited or verified by any third party. The market prices used to compute the fair market value of the pass-through residential mortgage backed certificates issued by Freddie Mac, Fannie Mae or Ginnie Mae ("RMBS") and structured RMBS positions were obtained from JP Morgan Pricing Direct. Swap and futures marks were obtained from the Chicago Mercantile Exchange closing marks. Swaption marks were obtained from the counterparty to the trade and verified internally for reasonableness. Closing to-be-announced securities prices were obtained from Bloomberg.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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 the expected funding of purchased assets and anticipated borrowings. 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 most recent Form 10-K and Quarterly Report on Form 10-Q.


RMBS Valuation Characteristics
($ in thousands)                                  
                        Realized Realized        
                        Apr 2020 Feb - Apr   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 May) in May)   (-50 BPS)(2)   (+50 BPS)(2)
Pass Through RMBS                                  
Post Reset ARM $ 948   $ 980 0.03 % $ 103.40 4.51 % 4.96 % 189 172 0.00 % 0.00 % $ (14 ) $ 21  
Fixed Rate CMO   161,117     172,794 5.34 %   107.25 4.00 % 4.40 % 34 322 14.63 % 12.33 %   559     (734 )
15yr 3.0   17,260     18,372 0.57 %   106.44 3.00 % 3.62 % 3 174 0.72 % 0.91 %   106     (170 )
15yr 3.5   33,967     36,519 1.13 %   107.51 3.50 % 3.96 % 5 171 1.81 % 3.09 %   343     (430 )
15yr 4.0   1,597     1,718 0.05 %   107.56 4.00 % 4.47 % 24 145 94.21 % 61.67 %   21     (21 )
15yr Total   52,824     56,609 1.75 %   107.17 3.35 % 3.86 % 5 171 4.24 % 4.15 %   470     (621 )
30yr 3.0   366,095     388,996 12.03 %   106.26 3.00 % 3.88 % 4 352 7.05 % 12.62 %   2,605     (4,090 )
30yr 3.5   1,254,354     1,366,043 42.25 %   108.90 3.50 % 4.03 % 7 350 10.13 % 7.69 %   14,357     (19,658 )
30yr 4.0   494,336     552,993 17.10 %   111.87 4.00 % 4.52 % 14 342 10.74 % 8.53 %   6,571     (8,210 )
30yr 4.5   346,526     387,775 11.99 %   111.90 4.50 % 5.00 % 15 344 17.91 % 15.90 %   3,633     (4,248 )
30yr 5.0   238,560     269,915 8.35 %   113.14 5.00 % 5.51 % 23 333 23.82 % 21.27 %   2,797     (3,035 )
30yr Total   2,699,871     2,965,722 91.73 %   109.85 3.78 % 4.36 % 10 346 12.07 % 10.61 %   29,963     (39,241 )
Total Pass Through RMBS   2,914,760     3,196,105 98.86 %   109.65 3.79 % 4.35 % 12 342 12.06 % 10.58 %   30,978     (40,575 )
Structured RMBS                                  
Interest-Only Securities   374,792     36,899 1.14 %   9.85 4.00 % 4.59 % 70 277 32.33 % 26.62 %   (1,791 )   3,094  
Total Structured RMBS   374,792     36,899 1.14 %   9.85 4.00 % 4.59 % 70 277 32.33 % 26.62 %   (1,791 )   3,094  
Total Mortgage Assets $ 3,289,552   $ 3,233,004 100.00 %     3.81 % 4.38 % 18 334 14.41 % 12.62 % $ 29,187   $ (37,481 )
                                   
                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(2)   (+50 BPS)(2)
Eurodollar Futures $ (50,000 )   Dec-2021                   $ (438 ) $ 438  
TBA   (50,000 )   Jun-2020                     (412 )   537  
Swaps   (625,000 )   Jun-2024                     (13,500 )   13,500  
5-Year Treasury Futures   (69,000 )   Jun-2020(3)                     (2,089 )   2,312  
Swaptions   (500,000 )   Mar-2021                     (312 )   1,314  
Hedge Total $ (1,294,000 )                       $ (16,751 ) $ 18,101  
Rate Shock Grand Total                           $ 12,436   $ (19,380 )
  1. Amounts in the tables above include assets with a fair value of approximately $55.0 million purchased in April 2020, which settle in May 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 $125.48 at April 30, 2020. The market value of the short position was $86.6 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 April 30, 2020         As of April 30, 2020      
Fannie Mae $ 2,014,164 62.3%   Non-Whole Pool Assets $ 307,310 9.5%
Freddie Mac   1,218,840 37.7%   Whole Pool Assets   2,925,694 90.5%
Total Mortgage Assets $ 3,233,004 100.0%   Total Mortgage Assets $ 3,233,004 100.0%
                 
  1. Amounts in the tables above include assets with a fair value of approximately $55.0 million purchased in April 2020, which settle in May 2020


Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of April 30, 2020   Borrowings(1)   Debt   Rate in Days Maturity
Mirae Asset Securities (USA) Inc. $ 395,635   13.2 %   1.34 % 30 7/22/2020
Wells Fargo Bank, N.A.   347,977   11.6 %   0.40 % 12 5/20/2020
Merrill Lynch, Pierce, Fenner & Smith   286,880   9.5 %   0.50 % 13 5/13/2020
Mitsubishi UFJ Securities (USA), Inc   251,945   8.4 %   0.60 % 16 5/27/2020
ABN AMRO Bank N.V.   234,890   7.8 %   1.04 % 32 6/24/2020
Cantor Fitzgerald & Co   231,556   7.7 %   0.32 % 14 5/18/2020
Citigroup Global Markets Inc   221,848   7.4 %   1.55 % 13 5/18/2020
ASL Capital Markets Inc.   210,125   7.0 %   0.62 % 46 7/13/2020
J.P. Morgan Securities LLC   196,133   6.5 %   0.50 % 13 5/27/2020
RBC Capital Markets, LLC   186,262   6.2 %   1.38 % 16 5/27/2020
ING Financial Markets LLC   94,601   3.1 %   0.35 % 18 5/18/2020
Daiwa Securities America Inc.   81,960
  2.7 %   1.15 % 9 5/12/2020
Barclays Capital Inc   77,927   2.6 %   0.45 % 13 5/13/2020
Lucid Cash Fund USG LLC   56,620   1.9 %   0.43 % 14 5/14/2020
ED&F Man Capital Markets Inc   36,749   1.2 %   0.25 % 78 7/22/2020
Bank of Montreal   32,967   1.1 %   1.78 % 13 5/13/2020
J.V.B. Financial Group, LLC   26,641   0.9 %   0.35 % 20 5/20/2020
South Street Securities, LLC   25,151   0.8 %   1.77 % 6 5/6/2020
Austin Atlantic Asset Management Co.   11,675   0.4 %   0.30 % 6 5/6/2020
Mizuho Securities USA, Inc   1,355   0.0 %   2.27 % 21 5/21/2020
Total Borrowings $ 3,008,897   100.0 %   0.81 % 20 7/22/2020
  1. In April 2020, the Company purchased assets with a fair value of approximately $55.0 million, which settle in May 2020 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above.

Contact:

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