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Orchid Island Capital Announces December 2020 Monthly Dividend and November 30, 2020 RMBS Portfolio Characteristics

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  • December 2020 Monthly Dividend of $0.065 Per Share of Common Stock
  • RMBS Portfolio Characteristics as of November 30, 2020
  • Next Dividend Announcement Expected January 14, 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 December 2020. The dividend of $0.065 per share will be paid January 27, 2020, to holders of record of the Company's common stock on December 31, 2020, with an ex-dividend date of December 30, 2020. The Company plans on announcing its next common stock dividend on January 14, 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 December 15, 2020, the Company had 72,604,539 shares of common stock outstanding. As of November 30, 2020, the Company had 70,117,699 shares of common stock outstanding. As of September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nov 2020

Sep - Nov

 

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

Portfolio

 

Price

Coupon

GWAC

Age

(Months)

in Dec)

in Dec)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Post Reset ARM

$

728

$

751

0.02%

$

103.09

3.63%

4.09%

200

161

0.00%

44.80%

$

2

$

(2)

Fixed Rate CMO

 

133,802

 

142,898

3.66%

 

106.80

4.00%

4.40%

41

314

27.27%

22.79%

 

(141)

 

79

15yr 4.0

 

684

 

733

0.02%

 

107.18

4.00%

4.49%

31

124

21.98%

90.38%

 

7

 

(8)

15yr Total

 

684

 

733

0.02%

 

107.18

4.00%

4.49%

31

124

21.98%

90.38%

 

7

 

(8)

20yr 2.0

 

99,631

 

103,680

2.66%

 

104.06

2.00%

2.88%

2

238

2.11%

n/a

 

611

 

(1,210)

20yr 2.5

 

145,731

 

152,835

3.92%

 

104.88

2.50%

3.34%

5

235

9.78%

8.26%

 

246

 

(489)

20yr Total

 

245,362

 

256,515

6.57%

 

104.55

2.30%

3.15%

4

236

6.66%

8.26%

 

857

 

(1,699)

30yr 2.5

 

498,883

 

527,414

13.52%

 

105.72

2.50%

3.41%

2

355

2.78%

5.97%

 

3,937

 

(7,732)

30yr 3.0

 

747,464

 

819,236

21.00%

 

109.60

3.00%

3.49%

4

356

6.55%

27.44%

 

13,799

 

(17,444)

30yr 3.5

 

1,169,332

 

1,289,742

33.05%

 

110.30

3.50%

3.98%

12

344

15.11%

14.53%

 

10,913

 

(15,929)

30yr 4.0

 

186,724

 

210,858

5.40%

 

112.92

4.00%

4.51%

27

326

14.97%

25.95%

 

3,350

 

(3,772)

30yr 4.5

 

98,453

 

111,257

2.85%

 

113.00

4.50%

5.00%

18

339

21.61%

25.98%

 

829

 

(881)

30yr 5.0

 

27,576

 

31,294

0.80%

 

113.49

5.00%

5.63%

33

320

24.53%

36.46%

 

287

 

(278)

30yr Total

 

2,728,432

 

2,989,801

76.62%

 

109.58

3.27%

3.83%

9

348

10.83%

15.43%

 

33,115

 

(46,036)

Total Pass Through RMBS

 

3,109,008

 

3,390,698

86.90%

 

109.06

3.22%

3.80%

10

337

11.21%

15.44%

 

33,840

 

(47,666)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

270,232

 

28,783

0.74%

 

10.65

4.00%

4.60%

78

267

40.82%

42.63%

 

(2,333)

 

4,021

Total Structured RMBS

 

270,232

 

28,783

0.74%

 

10.65

4.00%

4.60%

78

267

40.82%

42.63%

 

(2,333)

 

4,021

Long TBA Positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FNCL 2.0 TBA

 

465,000

 

482,438

12.36%

 

103.75

2.00%

 

 

 

 

 

 

5,847

 

(9,432)

Total Long TBA

 

465,000

 

482,438

12.36%

 

103.75

2.00%

 

 

 

 

 

 

5,847

 

(9,432)

Total Mortgage Assets

$

3,844,240

$

3,901,919

100.00%

 

 

3.13%

3.87%

16

332

13.58%

18.71%

$

37,354

$

(53,077)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Eurodollar Futures

$

(50,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(313)

 

313

Swaps

 

(820,000)

 

Apr-2025

 

 

 

 

 

 

 

 

 

 

(9,053)

 

19,262

5-Year Treasury Futures

 

(69,000)

 

Mar-2021(2)

 

 

 

 

 

 

 

 

 

 

(2,177)

 

2,388

TBA

 

(328,000)

 

Nov-2020

 

 

 

 

 

 

 

 

 

 

(2,098)

 

3,442

Swaptions

 

(667,300)

 

May-2021

 

 

 

 

 

 

 

 

 

 

(3,864)

 

4,396

Hedge Total

$

(1,934,300)

 

 

 

 

 

 

 

 

 

 

 

$

(17,505)

$

29,801

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

19,849

$

(23,276)

 

(1) 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.

(2) Five year treasury futures contracts were valued at prices of $126.03 at November 30, 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)

Portfolio

 

Asset Category

 

Value(1)

Portfolio

As of November 30, 2020

 

 

 

 

As of November 30, 2020

 

 

 

Fannie Mae

$

2,335,519

68.3%

 

Non-Whole Pool Assets

$

480,382

14.0%

Freddie Mac

 

1,083,962

31.7%

 

Whole Pool Assets

 

2,939,099

86.0%

Total Mortgage Assets

$

3,419,481

100.0%

 

Total Mortgage Assets

$

3,419,481

100.0%

 

(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $482.4 million.

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of November 30, 2020

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

367,670

 

11.3%

 

0.25%

60

2/11/2021

Mitsubishi UFJ Securities (USA), Inc

 

341,739

 

10.3%

 

0.24%

48

1/26/2021

Merrill Lynch, Pierce, Fenner & Smith

 

282,037

 

8.5%

 

0.25%

14

12/14/2020

Wells Fargo Bank, N.A.

 

277,091

 

8.4%

 

0.23%

30

1/19/2021

J.P. Morgan Securities LLC

 

276,879

 

8.4%

 

0.25%

100

3/12/2021

Citigroup Global Markets Inc

 

222,559

 

6.7%

 

0.23%

43

1/19/2021

Cantor Fitzgerald & Co.

 

214,128

 

6.5%

 

0.23%

55

2/12/2021

ASL Capital Markets Inc.

 

196,506

 

5.9%

 

0.23%

60

2/11/2021

RBC Capital Markets, LLC

 

163,155

 

4.9%

 

0.22%

43

1/12/2021

Barclays Capital Inc.

 

158,409

 

4.8%

 

0.23%

43

1/12/2021

ING Financial Markets LLC

 

125,919

 

3.8%

 

0.22%

45

1/14/2021

Daiwa Securities America Inc.

 

120,549

 

3.6%

 

0.25%

41

2/10/2021

ED&F Man Capital Markets Inc

 

115,495

 

3.5%

 

0.22%

44

1/22/2021

ABN AMRO Bank N.V.

 

109,827

 

3.3%

 

0.23%

44

1/13/2021

South Street Securities, LLC

 

78,756

 

2.4%

 

0.28%

133

5/13/2021

Bank of Montreal

 

72,242

 

2.2%

 

0.24%

11

12/11/2020

Nomura Securities International, Inc.

 

53,293

 

1.6%

 

0.21%

84

2/22/2021

Lucid Cash Fund USG LLC

 

52,657

 

1.6%

 

0.26%

10

12/10/2020

Goldman, Sachs & Co.

 

27,477

 

0.8%

 

0.23%

78

2/16/2021

Austin Atlantic Asset Management Co.

 

25,455

 

0.8%

 

0.26%

7

12/7/2020

J.V.B. Financial Group, LLC

 

23,556

 

0.7%

 

0.23%

46

1/15/2021

Total Borrowings

$

3,305,399

 

100.0%

 

0.24%

50

5/13/2021

 

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