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Orchid Island Capital Announces November 2019 Monthly Dividend and October 31, 2019 RMBS Portfolio Characteristics

  • November 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2019
  • Next Dividend Announcement Expected December 12, 2019

VERO BEACH, Fla., Nov. 13, 2019 (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 November 2019. The dividend of $0.08 per share will be paid December 31, 2019, to holders of record on November 29, 2019, with an ex-dividend date of November 27, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on December 12, 2019.

The Company intends to make regular monthly cash distributions to its stockholders. 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 November 13, 2019, the Company had 63,058,209 shares outstanding. At September 30, 2019, the Company also had 63,058,209 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 2019 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. Orchid 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)                                  
                        Realized Realized        
                        Oct 2019 Aug - Oct   Modeled   Modeled
                Net     Weighted CPR 2019 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 Nov) in Nov)   (-50 BPS)(2)   (+50 BPS)(2)
Pass Through RMBS                                  
Post Reset ARM $ 1,111   $ 1,179 0.03 % $ 106.11 4.46 % 4.91 % 182 179 63.90 % 38.50 % $ 7   $ (7 )
Fixed Rate CMO   312,979     325,822 8.88 %   104.10 4.22 % 4.58 % 24 333 25.32 % 23.05 %   1,070     (1,841 )
15yr 4.0   19,710     20,797 0.57 %   105.51 4.00 % 4.45 % 17 156 24.05 % 16.25 %   240     (284 )
15yr Total   19,710     20,797 0.57 %   105.51 4.00 % 4.45 % 17 156 24.05 % 16.25 %   240     (284 )
20yr 4.0   81,774     87,997 2.40 %   107.61 4.00 % 4.48 % 27 208 9.58 % 12.00 %   1,697     (1,805 )
20yr Total   81,774     87,997 2.40 %   107.61 4.00 % 4.48 % 27 208 9.58 % 12.00 %   1,697     (1,805 )
30yr 3.0   160,678     164,229 4.47 %   102.21 3.00 % 3.95 % 4 355 5.95 % 3.83 %   2,803     (3,875 )
30yr 3.5   641,434     671,902 18.30 %   104.75 3.50 % 4.16 % 5 353 5.28 % 6.47 %   10,813     (14,480 )
30yr 4.0   979,684     1,043,826 28.44 %   106.55 4.00 % 4.60 % 15 342 20.35 % 18.60 %   13,132     (17,943 )
30yr 4.5   419,876     454,970 12.39 %   108.36 4.50 % 5.05 % 10 349 14.42 % 12.44 %   4,082     (5,920 )
30yr 5.0   722,673     795,800 21.68 %   110.12 5.00 % 5.52 % 17 341 20.69 % 17.59 %   7,260     (9,592 )
30yr Total   2,924,345     3,130,727 85.29 %   107.06 4.15 % 4.76 % 12 346 15.49 % 14.56 %   38,090     (51,810 )
Total Pass Through RMBS   3,339,919     3,566,522 97.16 %   106.78 4.16 % 4.74 % 13 340 16.33 % 15.45 %   41,104     (55,747 )
Structured RMBS                                  
Interest-Only Securities   697,753     79,124 2.16 %   11.34 3.76 % 4.34 % 70 247 25.35 % 22.56 %   (9,369 )   10,599  
Inverse Interest-Only Securities   194,607     25,062 0.68 %   12.88 3.21 % 4.86 % 64 286 16.08 % 14.84 %   1,088     (1,840 )
Total Structured RMBS   892,360     104,186 2.84 %   11.68 3.64 % 4.46 % 69 255 23.32 % 20.88 %   (8,281 )   8,759  
Total Mortgage Assets $ 4,232,279   $ 3,670,708 100.00 %     4.05 % 4.68 % 25 322 17.80 % 16.75 % $ 32,823   $ (46,988 )
                                   
                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(2)   (+50 BPS)(2)
Eurodollar Futures $ (500,000 )   Dec-2020                     (3,125 )   3,125  
Fed Funds Futures   (400,000 )   Mar-2020                     (833 )   833  
Swaps   (2,120,000 )   May-2022                     (26,072 )   26,072  
5-Year Treasury Future   (140,000 )   Dec-2019(3)                     (2,154 )   5,670  
TBA Long                                  
Hedge Total $ (3,160,000 )                       $ (32,184 ) $ 35,700  
Rate Shock Grand Total                           $ 639   $ (11,288 )

(1) Amounts in the tables above exclude assets with a fair value of approximately $366.6 million sold in October 2019, which settle in November 2019.
(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 $119.20 at October 31, 2019.  The notional contract value of the short position was $166.9 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 October 31, 2019         As of October 31, 2019      
Fannie Mae $ 2,892,794 78.8 %   Non-Whole Pool Assets $ 600,891 16.4 %
Freddie Mac   775,630 21.1 %   Whole Pool Assets   3,069,817 83.6 %
Ginnie Mae   2,284 0.1 %   Total Mortgage Assets $ 3,670,708 100.0 %
Total Mortgage Assets $ 3,670,708 100.0 %          

(1)   Amounts in the tables above exclude assets with a fair value of approximately $366.6 million sold in October 2019, which settle in November 2019.

                 
                 
Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of October 31, 2019   Borrowings   Debt   Rate in Days Maturity
J.P. Morgan Securities LLC $ 453,414   11.8 %   2.40 % 26 12/12/2019
Mirae Asset Securities (USA) Inc.   400,193   10.4 %   2.12 % 37 2/13/2020
Wells Fargo Bank, N.A.   372,162   9.7 %   2.08 % 29 1/21/2020
RBC Capital Markets, LLC   337,504   8.8 %   2.14 % 59 1/13/2020
Cantor Fitzgerald & Co   324,690   8.5 %   2.13 % 13 11/18/2019
Citigroup Global Markets Inc   224,212   5.8 %   2.11 % 72 1/14/2020
ASL Capital Markets Inc.   217,044   5.7 %   2.05 % 62 1/29/2020
ABN AMRO Bank N.V.   207,186   5.4 %   2.14 % 9 11/15/2019
ED&F Man Capital Markets Inc   203,773   5.3 %   2.11 % 52 2/10/2020
South Street Securities, LLC   174,188   4.5 %   2.49 % 114 4/9/2020
Mitsubishi UFJ Securities (USA), Inc   165,296   4.3 %   2.44 % 29 1/28/2020
ING Financial Markets LLC   159,970   4.2 %   2.04 % 78 1/27/2020
Daiwa Securities America Inc.   111,101   2.9 %   2.16 % 7 11/12/2019
ICBC Financial Services LLC   101,593   2.6 %   2.11 % 14 11/14/2019
Guggenheim Securities, LLC   90,155   2.4 %   2.07 % 44 1/30/2020
FHLB-Cincinnati   78,926   2.1 %   1.85 % 1 11/1/2019
Lucid Cash Fund USG LLC   53,854   1.4 %   2.14 % 14 11/14/2019
Nomura Securities International, Inc.   48,554   1.3 %   2.10 % 14 11/14/2019
Bank of Montreal   40,767   1.1 %   2.15 % 16 11/27/2019
J.V.B. Financial Group, LLC   28,245   0.7 %   2.19 % 57 1/6/2020
Merrill Lynch, Pierce, Fenner & Smith   26,271   0.7 %   2.29 % 9 11/12/2019
Lucid Prime Fund, LLC   13,395   0.3 %   2.18 % 14 11/14/2019
Mizuho Securities USA, Inc   3,190   0.1 %   2.47 % 15 11/15/2019
Total Borrowings $ 3,835,683   100.0 %   2.17 % 39 4/9/2020
                     
(1) In October 2019, the Company sold assets with a fair value of approximately $366.6 million, which settle in November 2019 that collateralize approximately $363.7 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