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Orchid Island Capital Announces August 2020 Monthly Dividend and July 31, 2020 RMBS Portfolio Characteristics

  • August 2020 Monthly Dividend of $0.065 Per Share of Common Stock

  • RMBS Portfolio Characteristics as of July 31, 2020

  • Next Dividend Announcement Expected September 16, 2020

VERO BEACH, Fla., Aug. 19, 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 August 2020. The dividend of $0.065 per share will be paid September 28, 2020, to holders of record of the Company’s common stock on August 31, 2020, with an ex-dividend date of August 28, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on September 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 is not assured of its ability to make distributions to stockholders in the future.

As of August 19, 2020, the Company had 66,402,329 shares of common stock outstanding. As of July 31, 2020 and June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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

Jul 2020

May - Jul

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 Aug)

in Aug)

(-50 BPS)(2)

(+50 BPS)(2)

Pass Through RMBS

Post Reset ARM

$

936

$

971

0.03

%

$

103.77

4.51

%

4.75

%

191

169

0.00

%

0.00

%

$

2

$

(2

)

Fixed Rate CMO

148,531

159,208

4.38

%

107.19

4.00

%

4.40

%

36

319

17.73

%

21.73

%

270

(119

)

15yr 4.0

1,238

1,328

0.04

%

107.24

4.00

%

4.49

%

27

139

3.53

%

1.61

%

17

(17

)

15yr Total

1,238

1,328

0.04

%

107.24

4.00

%

4.49

%

27

139

3.53

%

1.61

%

17

(17

)

20yr 2.5

150,000

157,906

4.34

%

105.27

2.50

%

3.34

%

1

239

1.24

%

n/a

215

(453

)

20yr Total

150,000

157,906

4.34

%

105.27

2.50

%

3.34

%

1

239

1.24

%

n/a

215

(453

)

30yr 3.0

356,349

380,033

10.45

%

106.65

3.00

%

3.88

%

7

348

6.29

%

7.96

%

1,637

(2,299

)

30yr 3.5

1,421,763

1,563,289

42.98

%

109.95

3.50

%

4.00

%

9

347

8.89

%

9.14

%

14,027

(18,544

)

30yr 4.0

475,106

531,231

14.61

%

111.81

4.00

%

4.52

%

17

339

11.90

%

12.40

%

6,459

(7,589

)

30yr 4.5

302,397

340,954

9.37

%

112.75

4.50

%

5.01

%

16

342

18.81

%

17.04

%

2,879

(3,157

)

30yr 5.0

156,341

177,734

4.89

%

113.68

5.00

%

5.56

%

25

330

22.49

%

21.38

%

1,840

(1,913

)

30yr Total

2,711,956

2,993,241

82.30

%

110.37

3.72

%

4.28

%

12

344

11.05

%

11.46

%

26,842

(33,502

)

Total Pass Through RMBS

3,012,661

3,312,654

91.08

%

109.96

3.67

%

4.24

%

12

338

10.87

%

12.06

%

27,346

(34,093

)

Structured RMBS

Interest-Only Securities

329,362

31,046

0.85

%

9.43

4.00

%

4.59

%

73

273

39.79

%

37.73

%

(839

)

1,797

Total Structured RMBS

329,362

31,046

0.85

%

9.43

4.00

%

4.59

%

73

273

39.79

%

37.73

%

(839

)

1,797

Long TBA Positions

FNCL 2.5 TBA

279,000

293,386

8.07

%

105.16

2.50

%

2,165

(3,069

)

Total Long TBA

279,000

293,386

8.07

%

105.16

2.50

%

2,165

(3,069

)

Total Mortgage Assets

$

3,621,023

$

3,637,086

100.00

%

3.61

%

4.27

%

18

331

13.81

%

15.06

%

$

28,672

$

(35,365

)

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

(375

)

375

Swaps

(820,000

)

Apr-2025

(16,509

)

20,785

5-Year Treasury Futures

(69,000

)

Sep-2020(3)

(2,246

)

2,190

Swaptions

(666,300

)

Oct-2021

(2,848

)

4,507

Hedge Total

$

(1,605,300

)

$

(21,978

)

$

27,857

Rate Shock Grand Total

$

6,694

$

(7,508

)

(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million purchased in July 2020, which settle in August 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 $126.13 at July 31, 2020. The market value of the short position was $87.0 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 July 31, 2020

As of July 31, 2020

Fannie Mae

$

2,072,835

62.0

%

Non-Whole Pool Assets

$

706,208

21.1

%

Freddie Mac

1,270,865

38.0

%

Whole Pool Assets

2,637,492

78.9

%

Total Mortgage Assets

$

3,343,700

100.0

%

Total Mortgage Assets

$

3,343,700

100.0

%

(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million sold in July 2020, which settle in August 2020.

(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $293.4 million.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of July 31, 2020

Borrowings

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

375,504

12.2

%

0.25

%

73

1/14/2021

Wells Fargo Bank, N.A.

320,812

10.4

%

0.25

%

12

8/19/2020

Merrill Lynch, Pierce, Fenner & Smith

284,967

9.2

%

0.28

%

13

8/31/2020

J.P. Morgan Securities LLC

266,174

8.6

%

0.28

%

44

10/1/2020

ABN AMRO Bank N.V.

232,576

7.5

%

0.26

%

16

8/24/2020

Cantor Fitzgerald & Co

230,880

7.5

%

0.25

%

16

9/15/2020

Citigroup Global Markets Inc

212,205

6.9

%

0.28

%

14

8/20/2020

RBC Capital Markets, LLC

208,584

6.8

%

0.27

%

16

8/24/2020

ASL Capital Markets Inc.

204,791

6.6

%

0.23

%

77

10/28/2020

Mitsubishi UFJ Securities (USA), Inc

189,233

6.1

%

0.25

%

45

9/25/2020

ING Financial Markets LLC

141,636

4.6

%

0.25

%

18

8/19/2020

Daiwa Securities America Inc.

78,951

2.6

%

0.29

%

22

9/4/2020

South Street Securities, LLC

77,304

2.5

%

0.28

%

216

5/13/2021

Bank of Montreal

73,269

2.4

%

0.25

%

13

8/13/2020

ED&F Man Capital Markets Inc

64,506

2.1

%

0.22

%

64

10/22/2020

Lucid Cash Fund USG LLC

58,089

1.9

%

0.31

%

13

8/13/2020

J.V.B. Financial Group, LLC

26,270

0.9

%

0.30

%

76

10/15/2020

Barclays Capital Inc

25,445

0.8

%

0.29

%

10

8/10/2020

Austin Atlantic Asset Management Co.

11,361

0.4

%

0.30

%

5

8/5/2020

Total Borrowings

$

3,082,557

100.0

%

0.26

%

37

5/13/2021

Peer Performance

The tables below present total return data for the Company compared to a selected group of peers based on stock price performance for periods through August 14, 2020 and based on book value performance for periods through June 30, 2020.

Portfolio Total Rate of Return Versus Peer Group Average - Stock Price Performance

ORC Spread

ORC

Over / (Under)

Total Rate

Peer

Peer

of Return(1)

Average(1)(2)

Average(3)

Year to Date (1/1/2020 - 8/14/2020)

(2.4)%

(25.4)%

23.0%

One Year Total Return

3.3%

(16.7)%

20.0%

Two Year Total Return

(12.7)%

(20.1)%

7.4%

Three Year Total Return

(14.2)%

(23.2)%

9.0%

Four Year Total Return

(10.5)%

(15.1)%

4.6%

Five Year Total Return

22.7%

(3.5)%

26.2%

Six Year Total Return

(5.4)%

(7.0)%

1.6%

Seven Year Total Return

42.1%

7.7%

34.4%

Inception to Date (2/13/2013 - 8/14/2020)

11.3%

(12.1)%

23.4%

Source: SEC filings and press releases of the Company and Peer Group
(1) Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.

(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.

(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.

Portfolio Total Rate of Return Versus Peer Group Average - Book Value Performance

ORC Spread

ORC

Over / (Under)

Total Rate

Peer

Peer

of Return(1)

Average(1)(2)

Average(3)

Year to Date (1/1/2020 - 6/30/2020)

(10.3)%

(20.4)%

10.1%

One Year Total Return

(7.9)%

(14.2)%

6.3%

Two Year Total Return

(10.0)%

(14.4)%

4.4%

Three Year Total Return

(8.0)%

(11.5)%

3.5%

Four Year Total Return

(6.3)%

(8.7)%

2.4%

Five Year Total Return

(4.2)%

(7.4)%

3.2%

Six Year Total Return

7.4%

(3.7)%

11.1%

Inception to Date (3/31/2013 - 6/30-2020) (4)

9.2%

(4.3)%

13.5%

Source: SEC filings and press releases of the Company and Peer Group
(1) Total rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period.

(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.

(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.

(4) Peer book values are not available for the Companys true inception date (2/13/2013). Because all peer book values are not available as of the Company’s true inception date (2/13/2013), the starting point for all of the peer companies is 3/31/2013.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

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Eastmond- Sukel street no. 62, 79540 Hanga Roa, Easter Island

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Jaquelinee Wrate
+74 201 709 645
Mon - Fri, 9:00-15:00

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