Orchid Island Capital Announces November 2020 Monthly Dividend and October 31, 2020 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital announced a monthly cash dividend of $0.065 per share for November 2020, payable on December 29, 2020. Shareholders must be on record by November 30, 2020, with an ex-dividend date of November 27, 2020. The company plans to continue regular monthly cash distributions as required to maintain its REIT status, which mandates distributing at least 90% of its taxable income annually. The company also needs to manage taxable income distributions to avoid taxes.

Positive

• Monthly cash dividend of $0.065 per share demonstrates ongoing commitment to shareholder returns.
• Company plans to maintain regular monthly distributions to support REIT status.

Negative

• Company has not established a minimum distribution payment level, raising concerns about future dividend consistency.
• Potential tax liabilities on undistributed taxable income may impact financial health.

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 November 2020. The dividend of $0.065 per share will be paid December 29, 2020, to holders of record of the Company’s common stock on November 30, 2020, with an ex-dividend date of November 27, 2020. The Company plans on announcing its next common stock dividend on December 15, 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 November 12, 2020, October 31, 2020 and September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 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
																				Oct 2020		Aug - Oct			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 Nov)		in Nov)			(-50 BPS)(2)			(+50 BPS)(2)
Pass Through RMBS
Post Reset ARM	$	924		$	956		0.02%		$	103.50		3.39%		3.84%			195	166		65.71%		51.63%		$	3		$	(2)
Fixed Rate CMO		135,894			145,172		3.60%			106.83		4.00%		4.40%			40	315		11.02%		20.49%			(86)			(137)
15yr 4.0		692			742		0.02%			107.24		4.00%		4.49%			30	125		6.41%		89.68%			7			(8)
15yr Total		692			742		0.02%			107.24		4.00%		4.49%			30	125		6.41%		89.68%			7			(8)
20yr 2.0		100,000			103,397		2.56%			103.40		2.00%		2.88%			1	239		0.70%		6.16%			984			(1,646)
20yr 2.5		147,250			153,647		3.81%			104.34		2.50%		3.34%			4	236		8.46%		4.30%			579			(1,151)
20yr Total		247,250			257,044		6.37%			103.96		2.30%		3.15%			3	237		5.32%		4.99%			1,563			(2,797)
30yr 2.5		247,618			259,497		6.43%			104.80		2.50%		3.36%			3	357		5.44%		n/a			2,245			(4,152)
30yr 3.0		605,480			662,434		16.42%			109.41		3.00%		3.56%			4	355		17.76%		18.52%			11,463			(14,265)
30yr 3.5		1,446,206			1,600,002		39.66%			110.63		3.50%		3.99%			11	345		15.02%		13.74%			15,437			(22,471)
30yr 4.0		204,193			229,733		5.69%			112.51		4.00%		4.52%			27	327		20.09%		17.83%			3,632			(4,114)
30yr 4.5		279,005			316,470		7.84%			113.43		4.50%		5.01%			17	340		21.57%		21.15%			2,703			(3,212)
30yr 5.0		46,897			53,024		1.31%			113.06		5.00%		5.65%			33	321		23.95%		28.06%			480			(486)
30yr Total		2,829,399			3,121,160		77.37%			110.31		3.47%		4.01%			11	346		15.69%		15.87%			35,960			(48,700)
Total Pass Through RMBS		3,214,159			3,525,074		87.38%			109.67		3.40%		3.96%			12	336		14.60%		14.50%			37,447			(51,644)
Structured RMBS
Interest-Only Securities		285,612			30,517		0.76%			10.68		4.00%		4.60%			77	269		45.15%		42.46%			(2,805)			4,546
Total Structured RMBS		285,612			30,517		0.76%			10.68		4.00%		4.60%			77	269		45.15%		42.46%			(2,805)			4,546
Long TBA Positions
FNCL 2.0 TBA		465,000			478,514		11.86%			102.91		2.00%													7,273			(10,599)
Total Long TBA		465,000			478,514		11.86%			102.91		2.00%													7,273			(10,599)
Total Mortgage Assets	$	3,964,771		$	4,034,105		100.00%					3.28%		4.01%			17	331		17.35%		17.25%		$	41,915		$	(57,697)

															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											(9,790)		19,564
5-Year Treasury Futures		(69,000)		Dec-2020(3)											(2,455)		1,979
TBA		(328,000)		Nov-2020											(2,472)		4,111
Swaptions		(667,300)		May-2021											(3,810)		4,712
Hedge Total	$	(1,934,300)												$	(18,840)	$	30,679
Rate Shock Grand Total														$	23,075	$	(27,018)

(1)		Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 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 $125.60 at October 31, 2020. The market value of the short position was $86.7 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 October 31, 2020								As of October 31, 2020
Fannie Mae	$	2,087,940	58.7%					Non-Whole Pool Assets	$	777,779	21.9%
Freddie Mac		1,467,651	41.3%					Whole Pool Assets		2,777,812	78.1%
Total Mortgage Assets	$	3,555,591	100.0%					Total Mortgage Assets	$	3,555,591	100.0%

(1)		Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 2020.
(2)		Amounts in the tables above exclude long TBA positions with a market value of approximately $478.5 million.

Borrowings By Counterparty
($ in thousands)
						Weighted	Weighted
				% of		Average	Average
		Total		Total		Repo	Maturity	Longest
As of October 31, 2020		Borrowings		Debt		Rate	in Days	Maturity
Mirae Asset Securities (USA) Inc.	$	367,343		11.8%		0.24%	90	2/11/2021
Mitsubishi UFJ Securities (USA), Inc		341,477		11.1%		0.24%	60	1/26/2021
Merrill Lynch, Pierce, Fenner & Smith		282,037		9.2%		0.25%	44	12/14/2020
Wells Fargo Bank, N.A.		282,011		9.2%		0.23%	60	1/19/2021
J.P. Morgan Securities LLC		259,243		8.5%		0.25%	130	3/12/2021
RBC Capital Markets, LLC		205,128		6.7%		0.22%	61	1/12/2021
Citigroup Global Markets Inc		199,862		6.5%		0.23%	75	1/21/2021
ED&F Man Capital Markets Inc		164,703		5.4%		0.22%	61	1/22/2021
ABN AMRO Bank N.V.		162,034		5.3%		0.22%	58	1/13/2021
ASL Capital Markets Inc.		153,278		5.0%		0.23%	71	1/20/2021
ING Financial Markets LLC		133,587		4.4%		0.22%	75	1/14/2021
Cantor Fitzgerald & Co.		129,520		4.2%		0.24%	70	1/13/2021
Daiwa Securities America Inc.		121,359		4.0%		0.25%	44	1/15/2021
South Street Securities, LLC		76,724		2.5%		0.28%	135	5/13/2021
Bank of Montreal		72,242		2.4%		0.24%	41	12/11/2020
Lucid Cash Fund USG LLC		54,433		1.8%		0.26%	12	11/12/2020
Goldman, Sachs & Co.		27,563		0.9%		0.20%	16	11/16/2020
J.V.B. Financial Group, LLC		25,024		0.8%		0.23%	76	1/15/2021
AAAMCO		9,713		0.3%		0.26%	4	11/4/2020
Total Borrowings	$	3,067,281		100.0%		0.24%	70	5/13/2021