- December 2019 Monthly Dividend of $0.08 Per Share
- RMBS Portfolio Characteristics as of November 30, 2019
- Next Dividend Announcement Expected January 16, 2020
VERO BEACH, Fla., Dec. 12, 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 December 2019. The dividend of $0.08 per share will be paid January 31, 2020, to holders of record on December 31, 2019, with an ex-dividend date of December 30, 2019. The Company plans on announcing its next dividend after the Board's meeting on January 16, 2020.
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 December 12, 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 November 30, 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 and the expected funding of purchased assets and anticipated borrowings. 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 | ||||||||||||||||||||||||
| Nov 2019 | Sep - Nov | 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 Dec) | in Dec) | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||
| Pass Through RMBS | |||||||||||||||||||||||||
| Post Reset ARM | $ | 967 | $ | 993 | 0.03 | % | $ | 102.75 | 4.51 | % | 4.96 | % | 184 | 177 | 0.00 | % | 36.17 | % | $ | 3 | $ | (3 | ) | ||
| Fixed Rate CMO | 298,581 | 310,839 | 8.21 | % | 104.11 | 4.21 | % | 4.57 | % | 25 | 332 | 20.99 | % | 23.81 | % | 1,264 | (2,140 | ) | |||||||
| 15yr 4.0 | 19,118 | 20,054 | 0.53 | % | 104.89 | 4.00 | % | 4.45 | % | 18 | 154 | 12.34 | % | 19.48 | % | 247 | (289 | ) | |||||||
| 15yr Total | 19,118 | 20,054 | 0.53 | % | 104.89 | 4.00 | % | 4.45 | % | 18 | 154 | 12.34 | % | 19.48 | % | 247 | (289 | ) | |||||||
| 20yr 4.0 | 80,829 | 86,878 | 2.29 | % | 107.48 | 4.00 | % | 4.48 | % | 28 | 207 | 7.50 | % | 10.14 | % | 1,703 | (1,802 | ) | |||||||
| 20yr Total | 80,829 | 86,878 | 2.29 | % | 107.48 | 4.00 | % | 4.48 | % | 28 | 207 | 7.50 | % | 10.14 | % | 1,703 | (1,802 | ) | |||||||
| 30yr 3.0 | 201,243 | 205,458 | 5.43 | % | 102.09 | 3.00 | % | 3.91 | % | 5 | 355 | 4.83 | % | 5.21 | % | 3,812 | (5,083 | ) | |||||||
| 30yr 3.5 | 705,146 | 737,739 | 19.48 | % | 104.62 | 3.50 | % | 4.15 | % | 5 | 352 | 5.73 | % | 7.20 | % | 12,976 | (16,990 | ) | |||||||
| 30yr 4.0 | 1,036,094 | 1,103,147 | 29.14 | % | 106.47 | 4.00 | % | 4.59 | % | 15 | 342 | 13.77 | % | 21.13 | % | 16,012 | (21,005 | ) | |||||||
| 30yr 4.5 | 406,236 | 438,637 | 11.58 | % | 107.98 | 4.50 | % | 5.04 | % | 12 | 347 | 11.28 | % | 12.48 | % | 4,620 | (6,456 | ) | |||||||
| 30yr 5.0 | 707,846 | 778,729 | 20.57 | % | 110.01 | 5.00 | % | 5.52 | % | 18 | 339 | 19.25 | % | 18.81 | % | 7,719 | (10,067 | ) | |||||||
| 30yr Total | 3,056,565 | 3,263,710 | 86.20 | % | 106.78 | 4.12 | % | 4.72 | % | 12 | 345 | 12.27 | % | 15.92 | % | 45,139 | (59,601 | ) | |||||||
| Total Pass Through RMBS | 3,456,060 | 3,682,474 | 97.26 | % | 106.55 | 4.12 | % | 4.70 | % | 14 | 340 | 12.91 | % | 16.64 | % | 48,356 | (63,835 | ) | |||||||
| Structured RMBS | |||||||||||||||||||||||||
| Interest-Only Securities | 674,829 | 79,266 | 2.09 | % | 11.75 | 3.76 | % | 4.34 | % | 71 | 245 | 20.84 | % | 22.58 | % | (9,207 | ) | 10,131 | |||||||
| Inverse Interest-Only Securities | 190,769 | 24,528 | 0.65 | % | 12.86 | 3.36 | % | 4.86 | % | 65 | 285 | 13.01 | % | 14.12 | % | 1,267 | (1,997 | ) | |||||||
| Total Structured RMBS | 865,598 | 103,794 | 2.74 | % | 11.99 | 3.67 | % | 4.46 | % | 70 | 254 | 19.12 | % | 20.72 | % | (7,940 | ) | 8,134 | |||||||
| Total Mortgage Assets | $ | 4,321,658 | $ | 3,786,268 | 100.00 | % | 4.03 | % | 4.65 | % | 25 | 323 | 14.15 | % | 17.61 | % | $ | 40,416 | $ | (55,701 | ) | ||||
| 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 | (2,500 | ) | 2,500 | ||||||||||||||||||
| Swaps | (1,270,000 | ) | Oct-2023 | (25,373 | ) | 25,373 | |||||||||||||||||||
| 5-Year Treasury Futures | (140,000 | ) | Mar-2020(3) | (4,165 | ) | 4,039 | |||||||||||||||||||
| 5-Year Treasury Futures | |||||||||||||||||||||||||
| Hedge Total | $ | (1,910,000 | ) | $ | (32,038 | ) | $ | 31,912 | |||||||||||||||||
| Rate Shock Grand Total | $ | 8,378 | $ | (23,789 | ) | ||||||||||||||||||||
- Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.
- 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 $118.97 at November 30, 2019. The notional contract value of the short position was $166.6 million.
| RMBS Assets by Agency | Investment Company Act of 1940 Whole Pool Test | |||||||||
| ($ in thousands) | ($ in thousands) | |||||||||
| Percentage | Percentage | |||||||||
| Fair | of | Fair | of | |||||||
| Asset Category | Value(1) | Portfolio | Asset Category | Value(1) | Portfolio | |||||
| As of November 30, 2019 | As of November 30, 2019 | |||||||||
| Fannie Mae | $ | 3,032,350 | 80.1 | % | Non-Whole Pool Assets | $ | 608,884 | 16.1 | % | |
| Freddie Mac | 751,672 | 19.8 | % | Whole Pool Assets | 3,177,384 | 83.9 | % | |||
| Ginnie Mae | 2,246 | 0.1 | % | Total Mortgage Assets | $ | 3,786,268 | 100.0 | % | ||
| Total Mortgage Assets | $ | 3,786,268 | 100.0 | % | ||||||
- Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.
| Borrowings By Counterparty | ||||||||||
| ($ in thousands) | ||||||||||
| Weighted | Weighted | |||||||||
| % of | Average | Average | ||||||||
| Total | Total | Repo | Maturity | Longest | ||||||
| As of November 30, 2019 | Borrowings | Debt | Rate | in Days | Maturity | |||||
| Wells Fargo Bank, N.A. | $ | 391,976 | 11.0 | % | 1.92 | % | 65 | 2/11/2020 | ||
| RBC Capital Markets, LLC | 336,010 | 9.4 | % | 2.14 | % | 32 | 1/29/2020 | |||
| J.P. Morgan Securities LLC | 332,677 | 9.3 | % | 2.05 | % | 12 | 12/30/2019 | |||
| Mirae Asset Securities (USA) Inc. | 332,079 | 9.2 | % | 1.98 | % | 70 | 2/13/2020 | |||
| Cantor Fitzgerald & Co | 290,932 | 8.1 | % | 1.97 | % | 44 | 1/13/2020 | |||
| Citigroup Global Markets Inc | 224,938 | 6.2 | % | 2.11 | % | 42 | 1/14/2020 | |||
| ASL Capital Markets Inc. | 216,883 | 6.0 | % | 1.98 | % | 39 | 1/29/2020 | |||
| ED&F Man Capital Markets Inc | 201,828 | 5.6 | % | 1.99 | % | 56 | 2/10/2020 | |||
| Mitsubishi UFJ Securities (USA), Inc | 181,032 | 5.0 | % | 1.92 | % | 25 | 1/28/2020 | |||
| ING Financial Markets LLC | 170,823 | 4.7 | % | 2.04 | % | 48 | 1/27/2020 | |||
| ABN AMRO Bank N.V. | 151,531 | 4.2 | % | 1.89 | % | 9 | 12/9/2019 | |||
| South Street Securities, LLC | 149,391 | 4.1 | % | 2.47 | % | 108 | 4/9/2020 | |||
| Daiwa Securities America Inc. | 109,289 | 3.0 | % | 1.90 | % | 33 | 2/10/2020 | |||
| ICBC Financial Services LLC | 98,363 | 2.7 | % | 1.88 | % | 16 | 12/16/2019 | |||
| Guggenheim Securities, LLC | 89,143 | 2.5 | % | 1.99 | % | 52 | 1/30/2020 | |||
| FHLB-Cincinnati | 82,778 | 2.3 | % | 1.73 | % | 2 | 12/2/2019 | |||
| Lucid Cash Fund USG LLC | 65,647 | 1.8 | % | 1.91 | % | 12 | 12/12/2019 | |||
| Bank of Montreal | 61,149 | 1.7 | % | 1.97 | % | 41 | 1/13/2020 | |||
| Nomura Securities International, Inc. | 47,372 | 1.3 | % | 1.97 | % | 44 | 1/13/2020 | |||
| Bank of America | 37,064 | 1.0 | % | 2.00 | % | 10 | 12/12/2019 | |||
| J.V.B. Financial Group, LLC | 28,245 | 0.8 | % | 2.19 | % | 27 | 1/6/2020 | |||
| Mizuho Securities USA, Inc | 3,745 | 0.1 | % | 2.31 | % | 17 | 12/17/2019 | |||
| Total Borrowings | $ | 3,602,894 | 100.0 | % | 2.01 | % | 42 | 4/9/2020 | ||
- In November 2019, the Company purchased assets with a fair value of approximately $4.2 million, which settle in December 2019 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. Also, in November 2019, the Company sold assets with a fair value of approximately $13.9 million, which settle in December 2019 that collateralize approximately $4.6 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
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