Orchid Island Capital Announces September 2020 Monthly Dividend and August 31, 2020 RMBS Portfolio Characteristics

Rhea-AI Summary

Orchid Island Capital (NYSE:ORC) declared a monthly cash dividend of $0.065 per share for September 2020, payable on October 28, 2020, to stockholders on record as of September 30, 2020. The ex-dividend date is September 29, 2020. As a REIT, the company must distribute at least 90% of its taxable income annually to avoid income tax. Although no minimum distribution is established, future cash distributions are planned. As of September 16, 2020, there were 68,906,465 shares of common stock outstanding.

Positive

• Monthly cash dividend of $0.065 per share enhances income for shareholders.
• The commitment to regular monthly distributions indicates company confidence.

Negative

• No minimum distribution payment level established may concern investors about future payouts.
• The company must distribute at least 90% of taxable income, raising sustainability concerns.

• September 2020 Monthly Dividend of $0.065 Per Share of Common Stock
  
• RMBS Portfolio Characteristics as of August 31, 2020
• Next Dividend Announcement Expected October 14, 2020

VERO BEACH, Fla., Sept. 16, 2020 (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 September 2020. The dividend of $0.065 per share will be paid October 28, 2020, to holders of record of the Company’s common stock on September 30, 2020, with an ex-dividend date of September 29, 2020.  The Company plans on announcing its next common stock dividend after the Board’s meeting on October 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 September 16, 2020, the Company had 68,906,465 shares of common stock outstanding. As of August 31, 2020, the Company had 68,214,819 shares of common stock outstanding. As of June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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
															Aug 2020		Jun - Aug			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 Sep)		in Sep)			(-50 BPS)(1)			(+50 BPS)(1)
Pass Through RMBS
Post Reset ARM	$	932	$	964	0.02	%	$	103.43	4.30	%	4.09	%	193	168	0.00	%	0.00	%	$	4		$	(3	)
Fixed Rate CMO		145,144		155,431	4.02	%		107.09	4.00	%	4.40	%	38	317	20.53	%	19.18	%		324			(302	)
15yr 4.0		1,228		1,319	0.03	%		107.39	4.00	%	4.49	%	28	138	3.58	%	2.59	%		17			(17	)
15yr Total		1,228		1,319	0.03	%		107.39	4.00	%	4.49	%	28	138	3.58	%	2.59	%		17			(17	)
20yr 2.5		149,402		157,549	4.08	%		105.45	2.50	%	3.34	%	2	238	3.45	%	n/a			(211	)		30
20yr Total		149,402		157,549	4.08	%		105.45	2.50	%	3.34	%	2	238	3.45	%	n/a			(211	)		30
30yr 2.5		250,000		264,317	6.84	%		105.73	2.50	%	3.36	%	1	359	0.00	%	n/a			2,350			(3,756	)
30yr 3.0		181,932		194,067	5.02	%		106.67	3.00	%	3.84	%	9	349	14.21	%	10.17	%		927			(1,304	)
30yr 3.5		1,408,624		1,551,560	40.13	%		110.15	3.50	%	3.99	%	10	346	11.48	%	10.03	%		15,968			(21,146	)
30yr 4.0		469,162		524,607	13.57	%		111.82	4.00	%	4.52	%	18	337	13.89	%	13.82	%		6,940			(8,134	)
30yr 4.5		296,626		335,290	8.67	%		113.03	4.50	%	5.01	%	17	341	20.30	%	19.60	%		3,054			(3,399	)
30yr 5.0		152,723		173,899	4.50	%		113.87	5.00	%	5.56	%	26	329	19.98	%	20.88	%		1,916			(2,012	)
30yr Total		2,759,067		3,043,740	78.73	%		110.32	3.65	%	4.21	%	12	345	12.39	%	12.97	%		31,155			(39,751	)
Total Pass Through RMBS		3,055,773		3,359,003	86.88	%		109.92	3.61	%	4.18	%	13	338	12.33	%	13.35	%		31,289			(40,043	)
Structured RMBS
Interest-Only Securities		314,354		31,349	0.81	%		9.97	4.00	%	4.59	%	75	272	39.64	%	39.27	%		(1,212	)		2,400
Total Structured RMBS		314,354		31,349	0.81	%		9.97	4.00	%	4.59	%	75	272	39.64	%	39.27	%		(1,212	)		2,400
Long TBA Positions
FNCI 2.0 TBA		175,000		181,918	4.71	%		103.95	2.00	%										1,856			(2,301	)
FNCL 2.5 TBA		279,000		293,865	7.60	%		105.33	2.50	%										2,912			(4,196	)
Total Long TBA		454,000		475,783	12.31	%		104.80	2.31	%										4,768			(6,497	)
Total Mortgage Assets	$	3,824,127	$	3,866,135	100.00	%			3.49	%	4.22	%	18	332	14.88	%	16.48	%	$	34,845		$	(44,140	)

															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											(375	)		375
Swaps		(820,000)		Apr-2025											(10,824	)		19,590
5-Year Treasury Futures		(69,000)		Dec-2020(2)											(2,263	)		2,188
Swaptions		(667,300)		May-2021											(3,278	)		4,680
Hedge Total	$	(1,606,300)												$	(16,740	)	$	26,833
Rate Shock Grand Total														$	18,105		$	(17,307	)

(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 August 31, 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 August 31, 2020						As of August 31, 2020
Fannie Mae	$	1,984,995	58.5	%		Non-Whole Pool Assets	$	698,379	20.6	%
Freddie Mac		1,405,357	41.5	%		Whole Pool Assets		2,691,973	79.4	%
Total Mortgage Assets	$	3,390,352	100.0	%		Total Mortgage Assets	$	3,390,352	100.0	%

(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $475.8 million.

Borrowings By Counterparty
($ in thousands)
							Weighted		Weighted
				% of			Average		Average
		Total		Total			Repo		Maturity	Longest
As of August 31, 2020		Borrowings		Debt			Rate		in Days	Maturity
Mirae Asset Securities (USA) Inc.	$	373,441		11.6	%		0.25	%	109	2/11/2021
Wells Fargo Bank, N.A.		313,490		9.7	%		0.23	%	11	9/18/2020
Mitsubishi UFJ Securities (USA), Inc		292,156		9.0	%		0.24	%	20	9/28/2020
Merrill Lynch, Pierce, Fenner & Smith		284,184		8.8	%		0.25	%	14	9/30/2020
J.P. Morgan Securities LLC		266,174		8.2	%		0.28	%	13	10/1/2020
Cantor Fitzgerald & Co		231,199		7.1	%		0.25	%	11	9/15/2020
RBC Capital Markets, LLC		214,643		6.6	%		0.23	%	40	11/24/2020
ASL Capital Markets Inc.		205,964		6.4	%		0.23	%	46	10/28/2020
Citigroup Global Markets Inc		205,375		6.3	%		0.25	%	15	9/21/2020
ABN AMRO Bank N.V.		199,067		6.2	%		0.24	%	27	10/23/2020
ING Financial Markets LLC		140,669		4.3	%		0.26	%	38	10/19/2020
Daiwa Securities America Inc.		127,730		3.9	%		0.24	%	35	11/10/2020
ED&F Man Capital Markets Inc		112,371		3.5	%		0.21	%	58	11/30/2020
South Street Securities, LLC		77,304		2.4	%		0.28	%	185	5/13/2021
Bank of Montreal		73,195		2.3	%		0.25	%	14	9/14/2020
Lucid Cash Fund USG LLC		57,076		1.8	%		0.27	%	10	9/10/2020
J.V.B. Financial Group, LLC		26,270		0.8	%		0.30	%	45	10/15/2020
Barclays Capital Inc		25,142		0.8	%		0.29	%	71	11/10/2020
Austin Atlantic Asset Management Co.		10,072		0.3	%		0.30	%	2	9/2/2020
Total Borrowings	$	3,235,522		100.0	%		0.25	%	38	5/13/2021

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

FAQ

What is the September 2020 dividend amount for ORC?

The dividend amount for September 2020 is $0.065 per share.

When is the next dividend payment for ORC?

The next dividend payment for ORC is scheduled for October 28, 2020.

What is the ex-dividend date for ORC's September 2020 dividend?

The ex-dividend date for the September 2020 dividend is September 29, 2020.

How many shares of common stock does Orchid Island Capital have outstanding?

As of September 16, 2020, Orchid Island Capital has 68,906,465 shares of common stock outstanding.

Is the dividend from Orchid Island Capital guaranteed?

No, the company has not established a minimum distribution payment level and is not assured of future distributions.