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

Rhea-AI Summary

Orchid Island Capital announced a monthly cash dividend of $0.065 per share for December 2020, payable on January 27, 2020. This dividend will benefit shareholders of record as of December 31, 2020, with an ex-dividend date of December 30, 2020. The company plans to continue regular monthly distributions as part of its commitment as a real estate investment trust (REIT), which requires an annual distribution of 90% of its taxable income. As of December 15, 2020, there were 72,604,539 shares outstanding.

Positive

• Declaration of a monthly dividend of $0.065 per share, indicating ongoing income for shareholders.
• Commitment to make regular cash distributions aligns with REIT requirements, suggesting financial stability.

Negative

• No assurance of future dividend payments, which may impact investor confidence.
• The company must distribute 90% of taxable income to avoid income tax, indicating potential cash flow pressure.

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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FAQ

What is the dividend amount declared by Orchid Island Capital for December 2020?

The dividend amount declared is $0.065 per share.

When will the dividend be paid to shareholders?

The dividend will be paid on January 27, 2020.

What is the ex-dividend date for the December dividend?

The ex-dividend date is December 30, 2020.

How often does Orchid Island Capital plan to pay dividends?

The company intends to make regular monthly cash distributions.

What is the total number of shares outstanding as of December 15, 2020?

As of December 15, 2020, there are 72,604,539 shares outstanding.