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 | ) | ||||||||||||||||||||
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.
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.
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% | |
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 | ||
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
