- March 2020 Monthly Dividend of $0.08 Per Share of Common Stock
- RMBS Portfolio Characteristics as of February 29, 2020
- Next Dividend Announcement Expected April 8, 2020
VERO BEACH, Fla., March 18, 2020 (GLOBE NEWSWIRE) -- 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 March 2020. The dividend of $0.08 per share will be paid April 28, 2020, to holders of record of the Company’s common stock on March 31, 2020, with an ex-dividend date of March 30, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on April 8, 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 March 18, 2020, the Company had 66,232,508 shares of common stock outstanding. As of February 29, 2020, the Company had 65,869,815 shares of common stock outstanding. As of December 31, 2020, the Company had 63,061,781 shares of common stock outstanding.
Market Update
Global financial markets and economies experienced a significant shock not long after the new year started when a coronavirus outbreak occurred in China. Over the course of the first quarter of 2020 the outbreak in China evolved into a global pandemic. The speed at which the virus spread forced governments across the globe to take ever more severe steps to slow and contain its spread. These steps are having a severe economic impact, as economic activity in some instances essentially ceases. Financial markets across the globe are experiencing severe dislocations at least equal to what was experienced during the global financial crisis in 2008. On March 12, 2020 equity markets in the U.S. entered a bear market in the fastest such move in the history of U.S. financial markets. The Agency RMBS market is included in the list of markets under duress. To date the funding markets, with considerable support from the Fed, have continued to operate relatively smoothly. These developments and their effect on the world’s economy and health will likely continue to play out over the balance of the year, and maybe beyond. At this time, it is too early to tell what the ultimate effect will be on economic activity across the globe and the markets the Company operates in – Agency RMBS.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of February 29, 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 market conditions, including the impact of the global coronavirus outbreak on the financial markets and the economy generally. 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, 2019.
| RMBS Valuation Characteristics | |||||||||||||||||||||||||
| ($ in thousands) | |||||||||||||||||||||||||
| Realized | Realized | ||||||||||||||||||||||||
| Feb 2020 | Dec - Feb | 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 Mar) | in Mar) | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||
| Pass Through RMBS | |||||||||||||||||||||||||
| Post Reset ARM | $ | 955 | $ | 983 | 0.02 | % | $ | 102.93 | 4.51 | % | 4.96 | % | 187 | 174 | 0.00 | % | 0.00 | % | $ | 6 | $ | 1 | |||
| Fixed Rate CMO | 241,789 | 253,448 | 5.98 | % | 104.82 | 4.16 | % | 4.57 | % | 29 | 328 | 19.81 | % | 17.24 | % | 747 | (1,073 | ) | |||||||
| 15yr 3.0 | 17,439 | 18,360 | 0.43 | % | 105.28 | 3.00 | % | 3.62 | % | 1 | 177 | 1.24 | % | 0.00 | % | 170 | (234 | ) | |||||||
| 15yr 3.5 | 281,375 | 298,584 | 7.04 | % | 106.12 | 3.50 | % | 4.00 | % | 2 | 176 | 3.66 | % | 0.00 | % | 1,792 | (2,650 | ) | |||||||
| 15yr 4.0 | 18,107 | 19,450 | 0.46 | % | 107.42 | 4.00 | % | 4.45 | % | 21 | 152 | 20.07 | % | 17.10 | % | 196 | (211 | ) | |||||||
| 15yr Total | 316,921 | 336,394 | 7.93 | % | 106.14 | 3.50 | % | 4.00 | % | 3 | 175 | 4.46 | % | 17.10 | % | 2,158 | (3,095 | ) | |||||||
| 20yr 4.0 | 78,022 | 85,824 | 2.02 | % | 110.00 | 4.00 | % | 4.48 | % | 31 | 204 | 14.32 | % | 11.97 | % | 1,477 | (1,577 | ) | |||||||
| 20yr Total | 78,022 | 85,824 | 2.02 | % | 110.00 | 4.00 | % | 4.48 | % | 31 | 204 | 14.32 | % | 11.97 | % | 1,477 | (1,577 | ) | |||||||
| 30yr 3.0 | 310,413 | 323,919 | 7.64 | % | 104.35 | 3.00 | % | 3.91 | % | 7 | 353 | 6.18 | % | 3.12 | % | 3,382 | (4,897 | ) | |||||||
| 30yr 3.5 | 1,222,257 | 1,320,099 | 31.13 | % | 108.00 | 3.50 | % | 4.04 | % | 5 | 352 | 3.31 | % | 3.95 | % | 14,507 | (20,672 | ) | |||||||
| 30yr 4.0 | 954,470 | 1,051,329 | 24.79 | % | 110.15 | 4.00 | % | 4.57 | % | 16 | 341 | 12.60 | % | 15.75 | % | 12,067 | (14,856 | ) | |||||||
| 30yr 4.5 | 469,625 | 521,285 | 12.29 | % | 111.00 | 4.50 | % | 5.01 | % | 12 | 346 | 11.59 | % | 14.37 | % | 3,931 | (4,851 | ) | |||||||
| 30yr 5.0 | 248,409 | 279,724 | 6.60 | % | 112.61 | 5.00 | % | 5.51 | % | 21 | 335 | 19.47 | % | 17.62 | % | 2,685 | (3,035 | ) | |||||||
| 30yr Total | 3,205,174 | 3,496,356 | 82.45 | % | 109.08 | 3.86 | % | 4.44 | % | 11 | 347 | 8.82 | % | 10.60 | % | 36,572 | (48,311 | ) | |||||||
| Total Pass Through RMBS | 3,842,861 | 4,173,005 | 98.41 | % | 108.59 | 3.85 | % | 4.41 | % | 12 | 328 | 9.26 | % | 11.30 | % | 40,960 | (54,055 | ) | |||||||
| Structured RMBS | |||||||||||||||||||||||||
| Interest-Only Securities | 395,474 | 44,257 | 1.04 | % | 11.19 | 4.00 | % | 4.59 | % | 68 | 280 | 21.24 | % | 21.81 | % | (3,552 | ) | 5,623 | |||||||
| Inverse Interest-Only Securities | 180,576 | 23,365 | 0.55 | % | 12.94 | 3.44 | % | 4.86 | % | 68 | 283 | 12.32 | % | 13.63 | % | 399 | (923 | ) | |||||||
| Total Structured RMBS | 576,050 | 67,622 | 1.59 | % | 11.74 | 3.83 | % | 4.68 | % | 68 | 281 | 18.45 | % | 19.24 | % | (3,153 | ) | 4,700 | |||||||
| Total Mortgage Assets | $ | 4,418,911 | $ | 4,240,627 | 100.00 | % | 3.85 | % | 4.45 | % | 19 | 322 | 10.46 | % | 12.74 | % | $ | 37,807 | $ | (49,355 | ) | ||||
| Interest | Interest | ||||||||||||||||||||||||
| Average | Hedge | Rate | Rate | ||||||||||||||||||||||
| Notional | Period | Sensitivity | Sensitivity | ||||||||||||||||||||||
| Hedge | Balance | End | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||||||||||
| Eurodollar Futures | $ | (500,000 | ) | Dec-2021 | (4,375 | ) | 4,375 | ||||||||||||||||||
| Swaps | (1,485,000 | ) | Nov-2023 | (28,577 | ) | 28,577 | |||||||||||||||||||
| 5-Year Treasury Futures | (69,000 | ) | Jun-2020(3) | (3,090 | ) | 1,143 | |||||||||||||||||||
| TBA Short | (700,000 | ) | Mar-2020 | (2,642 | ) | 3,019 | |||||||||||||||||||
| Swaptions | (250,000 | ) | Apr-2020 | (163 | ) | 1,312 | |||||||||||||||||||
| Hedge Total | $ | (3,004,000 | ) | $ | (38,847 | ) | $ | 38,426 | |||||||||||||||||
| Rate Shock Grand Total | $ | (1,040 | ) | $ | (10,929 | ) | |||||||||||||||||||
- Amounts in the tables above exclude assets with a fair value of approximately $301.7 million sold in February 2020, which settle in March 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 $122.75 at February 29, 2020. The market value of the short position was $84.7 million.
| RMBS Assets by Agency | Investment Company Act of 1940 Whole Pool Test | |||||||||
| ($ in thousands) | ($ in thousands) | |||||||||
| Percentage | Percentage | |||||||||
| Fair | of | Fair | of | |||||||
| Asset Category | Value(1) | Portfolio | Asset Category | Value(1) | Portfolio | |||||
| As of February 29, 2020 | As of February 29, 2020 | |||||||||
| Fannie Mae | $ | 2,792,974 | 65.9 | % | Non-Whole Pool Assets | $ | 443,003 | 10.4 | % | |
| Freddie Mac | 1,447,653 | 34.1 | % | Whole Pool Assets | 3,797,624 | 89.6 | % | |||
| Total Mortgage Assets | $ | 4,240,627 | 100.0 | % | Total Mortgage Assets | $ | 4,240,627 | 100.0 | % | |
(1) Amounts in the tables above exclude assets with a fair value of approximately $301.7 million sold in February 2020, which settle in March 2020.
| Borrowings By Counterparty | ||||||||||
| ($ in thousands) | ||||||||||
| Weighted | Weighted | |||||||||
| % of | Average | Average | ||||||||
| Total | Total | Repo | Maturity | Longest | ||||||
| As of February 29, 2020 | Borrowings(1) | Debt | Rate | in Days | Maturity | |||||
| Wells Fargo Bank, N.A. | $ | 470,081 | 11.0 | % | 1.75 | % | 12 | 3/20/2020 | ||
| Cantor Fitzgerald & Co | 445,846 | 10.4 | % | 1.75 | % | 15 | 3/16/2020 | |||
| J.P. Morgan Securities LLC | 379,684 | 8.8 | % | 1.77 | % | 21 | 5/13/2020 | |||
| Mirae Asset Securities (USA) Inc. | 307,321 | 7.1 | % | 1.76 | % | 71 | 5/13/2020 | |||
| Merrill Lynch, Pierce, Fenner & Smith | 292,806 | 6.8 | % | 1.81 | % | 14 | 3/13/2020 | |||
| Mitsubishi UFJ Securities (USA), Inc | 281,279 | 6.5 | % | 1.73 | % | 53 | 5/27/2020 | |||
| Citigroup Global Markets Inc | 212,837 | 4.9 | % | 1.78 | % | 73 | 5/14/2020 | |||
| ASL Capital Markets Inc. | 204,896 | 4.8 | % | 1.76 | % | 53 | 5/28/2020 | |||
| ABN AMRO Bank N.V. | 203,900 | 4.7 | % | 1.76 | % | 75 | 5/14/2020 | |||
| ED&F Man Capital Markets Inc | 189,541 | 4.4 | % | 1.76 | % | 72 | 5/13/2020 | |||
| Guggenheim Securities, LLC | 168,329 | 3.9 | % | 1.77 | % | 82 | 5/28/2020 | |||
| ING Financial Markets LLC | 165,450 | 3.8 | % | 1.77 | % | 19 | 3/27/2020 | |||
| RBC Capital Markets, LLC | 160,616 | 3.7 | % | 1.80 | % | 71 | 5/13/2020 | |||
| South Street Securities, LLC | 148,730 | 3.5 | % | 2.45 | % | 46 | 5/6/2020 | |||
| Nomura Securities International, Inc. | 144,229 | 3.4 | % | 1.76 | % | 59 | 5/18/2020 | |||
| Daiwa Securities America Inc. | 112,434 | 2.6 | % | 1.76 | % | 36 | 5/12/2020 | |||
| ICBC Financial Services LLC | 96,262 | 2.2 | % | 1.79 | % | 31 | 3/30/2020 | |||
| FHLB-Cincinnati | 88,911 | 2.1 | % | 1.67 | % | 3 | 3/2/2020 | |||
| Barclays Capital Inc | 78,305 | 1.8 | % | 1.78 | % | 14 | 3/13/2020 | |||
| Lucid Cash Fund USG LLC | 64,951 | 1.5 | % | 1.80 | % | 13 | 3/12/2020 | |||
| Bank of Montreal | 58,685 | 1.4 | % | 1.82 | % | 70 | 5/13/2020 | |||
| J.V.B. Financial Group, LLC | 29,011 | 0.7 | % | 1.77 | % | 21 | 3/20/2020 | |||
| Mizuho Securities USA, Inc | 1,751 | 0.0 | % | 2.20 | % | 19 | 3/18/2020 | |||
| Total Borrowings | $ | 4,304,104 | 100.0 | % | 1.79 | % | 40 | 5/28/2020 | ||
(1) In February 2020, the Company sold assets with a fair value of approximately $301.7 million, which settle in March 2020 that collateralize approximately $291.6 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