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Orchid Island Capital Announces November 2020 Monthly Dividend and October 31, 2020 RMBS Portfolio Characteristics

·9 min read
  • November 2020 Monthly Dividend of $0.065 Per Share of Common Stock

  • RMBS Portfolio Characteristics as of October 31, 2020

  • Next Dividend Announcement Expected December 15, 2020

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 November 2020. The dividend of $0.065 per share will be paid December 29, 2020, to holders of record of the Company’s common stock on November 30, 2020, with an ex-dividend date of November 27, 2020. The Company plans on announcing its next common stock dividend on December 15, 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 November 12, 2020, October 31, 2020 and September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 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. 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

Oct 2020

Aug - Oct

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 Nov)

in Nov)

(-50 BPS)(2)

(+50 BPS)(2)

Pass Through RMBS

Post Reset ARM

$

924

$

956

0.02%

$

103.50

3.39%

3.84%

195

166

65.71%

51.63%

$

3

$

(2)

Fixed Rate CMO

135,894

145,172

3.60%

106.83

4.00%

4.40%

40

315

11.02%

20.49%

(86)

(137)

15yr 4.0

692

742

0.02%

107.24

4.00%

4.49%

30

125

6.41%

89.68%

7

(8)

15yr Total

692

742

0.02%

107.24

4.00%

4.49%

30

125

6.41%

89.68%

7

(8)

20yr 2.0

100,000

103,397

2.56%

103.40

2.00%

2.88%

1

239

0.70%

6.16%

984

(1,646)

20yr 2.5

147,250

153,647

3.81%

104.34

2.50%

3.34%

4

236

8.46%

4.30%

579

(1,151)

20yr Total

247,250

257,044

6.37%

103.96

2.30%

3.15%

3

237

5.32%

4.99%

1,563

(2,797)

30yr 2.5

247,618

259,497

6.43%

104.80

2.50%

3.36%

3

357

5.44%

n/a

2,245

(4,152)

30yr 3.0

605,480

662,434

16.42%

109.41

3.00%

3.56%

4

355

17.76%

18.52%

11,463

(14,265)

30yr 3.5

1,446,206

1,600,002

39.66%

110.63

3.50%

3.99%

11

345

15.02%

13.74%

15,437

(22,471)

30yr 4.0

204,193

229,733

5.69%

112.51

4.00%

4.52%

27

327

20.09%

17.83%

3,632

(4,114)

30yr 4.5

279,005

316,470

7.84%

113.43

4.50%

5.01%

17

340

21.57%

21.15%

2,703

(3,212)

30yr 5.0

46,897

53,024

1.31%

113.06

5.00%

5.65%

33

321

23.95%

28.06%

480

(486)

30yr Total

2,829,399

3,121,160

77.37%

110.31

3.47%

4.01%

11

346

15.69%

15.87%

35,960

(48,700)

Total Pass Through RMBS

3,214,159

3,525,074

87.38%

109.67

3.40%

3.96%

12

336

14.60%

14.50%

37,447

(51,644)

Structured RMBS

Interest-Only Securities

285,612

30,517

0.76%

10.68

4.00%

4.60%

77

269

45.15%

42.46%

(2,805)

4,546

Total Structured RMBS

285,612

30,517

0.76%

10.68

4.00%

4.60%

77

269

45.15%

42.46%

(2,805)

4,546

Long TBA Positions

FNCL 2.0 TBA

465,000

478,514

11.86%

102.91

2.00%

7,273

(10,599)

Total Long TBA

465,000

478,514

11.86%

102.91

2.00%

7,273

(10,599)

Total Mortgage Assets

$

3,964,771

$

4,034,105

100.00%

3.28%

4.01%

17

331

17.35%

17.25%

$

41,915

$

(57,697)

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

(313)

313

Swaps

(820,000)

Apr-2025

(9,790)

19,564

5-Year Treasury Futures

(69,000)

Dec-2020(3)

(2,455)

1,979

TBA

(328,000)

Nov-2020

(2,472)

4,111

Swaptions

(667,300)

May-2021

(3,810)

4,712

Hedge Total

$

(1,934,300)

$

(18,840)

$

30,679

Rate Shock Grand Total

$

23,075

$

(27,018)

(1)

Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 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 $125.60 at October 31, 2020. The market value of the short position was $86.7 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)(2)

Portfolio

Asset Category

Value(1)(2)

Portfolio

As of October 31, 2020

As of October 31, 2020

Fannie Mae

$

2,087,940

58.7%

Non-Whole Pool Assets

$

777,779

21.9%

Freddie Mac

1,467,651

41.3%

Whole Pool Assets

2,777,812

78.1%

Total Mortgage Assets

$

3,555,591

100.0%

Total Mortgage Assets

$

3,555,591

100.0%

(1)

Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 2020.

(2)

Amounts in the tables above exclude long TBA positions with a market value of approximately $478.5 million.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of October 31, 2020

Borrowings

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

367,343

11.8%

0.24%

90

2/11/2021

Mitsubishi UFJ Securities (USA), Inc

341,477

11.1%

0.24%

60

1/26/2021

Merrill Lynch, Pierce, Fenner & Smith

282,037

9.2%

0.25%

44

12/14/2020

Wells Fargo Bank, N.A.

282,011

9.2%

0.23%

60

1/19/2021

J.P. Morgan Securities LLC

259,243

8.5%

0.25%

130

3/12/2021

RBC Capital Markets, LLC

205,128

6.7%

0.22%

61

1/12/2021

Citigroup Global Markets Inc

199,862

6.5%

0.23%

75

1/21/2021

ED&F Man Capital Markets Inc

164,703

5.4%

0.22%

61

1/22/2021

ABN AMRO Bank N.V.

162,034

5.3%

0.22%

58

1/13/2021

ASL Capital Markets Inc.

153,278

5.0%

0.23%

71

1/20/2021

ING Financial Markets LLC

133,587

4.4%

0.22%

75

1/14/2021

Cantor Fitzgerald & Co.

129,520

4.2%

0.24%

70

1/13/2021

Daiwa Securities America Inc.

121,359

4.0%

0.25%

44

1/15/2021

South Street Securities, LLC

76,724

2.5%

0.28%

135

5/13/2021

Bank of Montreal

72,242

2.4%

0.24%

41

12/11/2020

Lucid Cash Fund USG LLC

54,433

1.8%

0.26%

12

11/12/2020

Goldman, Sachs & Co.

27,563

0.9%

0.20%

16

11/16/2020

J.V.B. Financial Group, LLC

25,024

0.8%

0.23%

76

1/15/2021

AAAMCO

9,713

0.3%

0.26%

4

11/4/2020

Total Borrowings

$

3,067,281

100.0%

0.24%

70

5/13/2021

View source version on businesswire.com: https://www.businesswire.com/news/home/20201112006131/en/

Contacts

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