Orchid Island Capital Announces Estimated Third Quarter 2020 Results, October 2020 Monthly Dividend and September 30, 2020 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (NYSE:ORC) declared a monthly cash dividend of $0.065 per share for October 2020, to be paid on November 25, 2020. Shareholders on record by October 30, 2020 will qualify, with an ex-dividend date of October 29, 2020. As of September 30, 2020, the estimated book value per share was $5.44, with total stockholders' equity at approximately $376.7 million. The company estimates a net income per share of $0.42 for the quarter, exceeding the dividends declared of $0.19 per share.

Positive

• Monthly cash dividend of $0.065 per share announced.
• Estimated net income per share of $0.42 exceeds dividends of $0.19.
• Estimated total return on equity of 7.9% for the quarter.

Negative

• No minimum distribution payment level established.
• Future ability to make distributions not assured.

VERO BEACH, Fla.--(BUSINESS WIRE)--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 October 2020. The dividend of $0.065 per share will be paid November 25, 2020 to holders of record on October 30, 2020, with an ex-dividend date of October 29, 2020. The Company plans on announcing its next dividend after the Board’s meeting on November 12, 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 October 14, 2020, and September 30, 2020, the Company had 69,295,962 shares outstanding. At June 30, 2020, the Company had 66,220,664 shares outstanding.

Estimated September 30, 2020 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2020 was $5.44. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2020, the Company's preliminary estimated total stockholders' equity was approximately $376.7 million with 69,295,962 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net income per share of $0.42, which includes $0.09 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended September 30, 2020. These amounts compare to total dividends declared during the quarter of $0.19 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended September 30, 2020 was 7.9%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $0.41 per share, comprised of dividends per share of $0.19 and an increase in book value per share of $0.22 from June 30, 2020.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2020 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended September 30, 2020, are subject to review by the Company’s independent registered public accounting firm.

• 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. 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
																		Sep 2020		Jul - Sep			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 Oct)		in Oct)			(-50 BPS)(2)			(+50 BPS)(2)
Pass Through RMBS
Post Reset ARM	$	928	$	960		0.02%	$	103.49		3.64%		3.84%		194		167		0.00%		0.00%		$	4		$	(3)
Fixed Rate CMO		141,260		151,111		3.84%		106.97		4.00%		4.40%		39		316		28.88%		22.56%			(141)			91
15yr 4.0		1,217		1,319		0.03%		108.36		4.00%		4.49%		29		137		99.88%		89.58%			13			(12)
15yr Total		1,217		1,319		0.03%		108.36		4.00%		4.49%		29		137		99.88%		89.58%			13			(12)
20yr 2.5		148,522		155,962		3.97%		105.01		2.50%		3.34%		3		237		6.51%		3.76%			370			(674)
20yr Total		148,522		155,962		3.97%		105.01		2.50%		3.34%		3		237		6.51%		3.76%			370			(674)
30yr 2.5		249,737		263,182		6.69%		105.38		2.50%		3.36%		2		358		7.94%		n/a			1,769			(3,371)
30yr 3.0		281,234		303,919		7.73%		108.07		3.00%		3.71%		7		352		12.88%		10.31%			3,487			(4,583)
30yr 3.5		1,466,583		1,619,320		41.18%		110.41		3.50%		3.99%		10		346		13.44%		12.14%			14,781			(20,480)
30yr 4.0		462,535		520,169		13.23%		112.46		4.00%		4.52%		19		336		21.43%		16.04%			6,207			(7,260)
30yr 4.5		285,023		323,387		8.22%		113.46		4.50%		5.01%		16		341		20.54%		20.06%			2,659			(2,966)
30yr 5.0		149,517		170,242		4.33%		113.86		5.00%		5.56%		27		328		27.98%		24.27%			1,774			(1,850)
30yr Total		2,894,629		3,200,219		81.39%		110.56		3.62%		4.17%		12		345		15.74%		14.48%			30,677			(40,510)
Total Pass Through RMBS		3,186,556		3,509,571		89.25%		110.14		3.59%		4.15%		13		338		15.93%		14.34%			30,923			(41,108)
Structured RMBS
Interest-Only Securities		300,143		30,796		0.78%		10.26		4.00%		4.60%		76		270		41.23%		40.44%			(2,467)			4,335
Total Structured RMBS		300,143		30,796		0.78%		10.26		4.00%		4.60%		76		270		41.23%		40.44%			(2,467)			4,335
Long TBA Positions
FNCI 2.0 TBA		175,000		181,918		4.63%		103.95		2.00%													1,535			(1,985)
FNCL 2.5 TBA		200,000		209,813		5.34%		104.91		2.50%													1,716			(2,898)
Total Long TBA		375,000		391,731		9.96%		104.46		2.27%													3,251			(4,883)
Total Mortgage Assets	$	3,861,699	$	3,932,098		100.00%				3.49%		4.18%		18		332		18.17%		16.99%		$	31,707		$	(41,656)

															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											(313)		313
Swaps		(820,000)		Apr-2025											(9,805)		19,593
5-Year Treasury Futures		(69,000)		Dec-2020(3)											(1,913)		2,524
Swaptions		(667,300)		May-2021											(2,563)		4,462
Hedge Total	$	(1,606,300)												$	(14,594)	$	26,892
Rate Shock Grand Total														$	17,113	$	(14,764)

(1)		mounts in the tables above include assets with a fair value of approximately $113.5 million purchased in September 2020, which settle in October 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 $126.03 at September 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)(2)	Portfolio		Asset Category		Value(1)(2)	Portfolio
As of September 30, 2020					As of September 30, 2020
Fannie Mae	$	2,151,928	60.8%		Non-Whole Pool Assets	$	687,363	19.4%
Freddie Mac		1,388,439	39.2%		Whole Pool Assets		2,853,004	80.6%
Total Mortgage Assets	$	3,540,367	100.0%		Total Mortgage Assets	$	3,540,367	100.0%

(1)		Amounts in the tables above include assets with a fair value of approximately $113.5 million purchased in September 2020, which settle in October 2020.
(2)		Amounts in the tables above exclude long TBA positions with a market value of approximately $391.7 million.

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of September 30, 2020		Borrowings		Debt		Rate	in Days	Maturity
Mirae Asset Securities (USA) Inc.	$	373,441		11.3%		0.25%	79	2/11/2021
Wells Fargo Bank, N.A.		309,449		9.4%		0.23%	12	10/19/2020
Mitsubishi UFJ Securities (USA), Inc		283,239		8.6%		0.25%	62	1/26/2021
Merrill Lynch, Pierce, Fenner & Smith		282,384		8.6%		0.25%	74	12/14/2020
J.P. Morgan Securities LLC		259,594		7.9%		0.25%	160	3/12/2021
Cantor Fitzgerald & Co		227,378		6.9%		0.24%	90	1/8/2021
RBC Capital Markets, LLC		212,510		6.5%		0.22%	27	11/24/2020
ASL Capital Markets Inc.		205,964		6.3%		0.23%	16	10/28/2020
Citigroup Global Markets Inc		202,473		6.2%		0.24%	15	10/21/2020
ABN AMRO Bank N.V.		197,502		6.0%		0.23%	16	10/23/2020
ED&F Man Capital Markets Inc		192,187		5.9%		0.22%	77	1/14/2021
ING Financial Markets LLC		140,413		4.3%		0.25%	19	10/19/2020
Daiwa Securities America Inc.		127,270		3.9%		0.25%	74	1/15/2021
South Street Securities, LLC		77,304		2.4%		0.28%	155	5/13/2021
Bank of Montreal		72,642		2.2%		0.24%	72	12/11/2020
Lucid Cash Fund USG LLC		56,314		1.7%		0.28%	15	10/15/2020
J.V.B. Financial Group, LLC		26,270		0.8%		0.30%	15	10/15/2020
Barclays Capital Inc		25,142		0.8%		0.29%	41	11/10/2020
Austin Atlantic Asset Management Co.		9,827		0.3%		0.30%	7	10/7/2020
Total Borrowings	$	3,281,303		100.0%		0.24%	60	5/13/2021