News

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

  • 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

VERO BEACH, Fla.–(BUSINESS WIRE)–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

 

Contacts

Orchid Island Capital, Inc.

Robert E. Cauley

Telephone: (772) 231-1400

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