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Orchid Island Capital Announces December 2019 Monthly Dividend and November 30, 2019 RMBS Portfolio Characteristics

  • 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”) (NYSE: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 )
  1. 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.
  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 $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 %          
  1. 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
  1. 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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