Attached files
| file | filename |
|---|---|
| 8-K - ORC FORM 8-K 2020-02-12 - Orchid Island Capital, Inc. | orc8k20200212.htm |
EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
FEBRUARY 2020 MONTHLY DIVIDEND AND
JANUARY 31, 2020 RMBS PORTFOLIO CHARACTERISTICS
|
•
|
February 2020 Monthly Dividend of $0.08 Per Share of Common Stock
|
|
•
|
RMBS Portfolio Characteristics as of January 31, 2020
|
|
•
|
Next Dividend Announcement Expected March 18, 2020
|
Vero Beach, Fla., February 12, 2020 - 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 February 2020.
The dividend of $0.08 per share will be paid March 27, 2020, to holders of record of the Company’s common stock on February 28, 2020, with an ex-dividend date of February 27, 2020. The Company plans on announcing its next common stock dividend after
the Board’s meeting on March 18, 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 February 11, 2020, the Company had 64,524,495 shares of common stock outstanding. As of January 31, 2020, the Company had 63,633,908 shares outstanding. As of December 31, 2020, the Company had 63,061,781 shares
outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of January 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 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 Form 10-K for the year ended December 31, 2018.
|
RMBS Valuation Characteristics
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
Realized
|
Realized
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
Jan 2020
|
Nov - Jan
|
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 Feb)
|
in Feb)
|
(-50 BPS)(1)
|
(+50 BPS)(1)
|
||||||||||||||||||||||||||||||||||||
|
Pass Through RMBS
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
Post Reset ARM
|
$
|
959
|
$
|
986
|
0.03
|
%
|
$
|
102.78
|
4.51
|
%
|
4.96
|
%
|
186
|
175
|
0.00
|
%
|
0.00
|
%
|
$
|
3
|
$
|
(2
|
)
|
|||||||||||||||||||||||||
|
Fixed Rate CMO
|
276,925
|
289,275
|
7.60
|
%
|
104.46
|
4.20
|
%
|
4.56
|
%
|
27
|
330
|
14.50
|
%
|
18.29
|
%
|
882
|
(1,568
|
)
|
||||||||||||||||||||||||||||||
|
15yr 4.0
|
18,407
|
19,492
|
0.51
|
%
|
105.89
|
4.00
|
%
|
4.45
|
%
|
20
|
153
|
11.36
|
%
|
14.17
|
%
|
216
|
(252
|
)
|
||||||||||||||||||||||||||||||
|
15yr Total
|
18,407
|
19,492
|
0.51
|
%
|
105.89
|
4.00
|
%
|
4.45
|
%
|
20
|
153
|
11.36
|
%
|
14.17
|
%
|
216
|
(252
|
)
|
||||||||||||||||||||||||||||||
|
20yr 4.0
|
78,993
|
85,991
|
2.26
|
%
|
108.86
|
4.00
|
%
|
4.48
|
%
|
30
|
205
|
10.30
|
%
|
9.69
|
%
|
1,587
|
(1,696
|
)
|
||||||||||||||||||||||||||||||
|
20yr Total
|
78,993
|
85,991
|
2.26
|
%
|
108.86
|
4.00
|
%
|
4.48
|
%
|
30
|
205
|
10.30
|
%
|
9.69
|
%
|
1,587
|
(1,696
|
)
|
||||||||||||||||||||||||||||||
|
30yr 3.0
|
199,413
|
205,676
|
5.40
|
%
|
103.14
|
3.00
|
%
|
3.91
|
%
|
7
|
352
|
2.27
|
%
|
3.16
|
%
|
3,066
|
(4,300
|
)
|
||||||||||||||||||||||||||||||
|
30yr 3.5
|
1,175,801
|
1,242,718
|
32.63
|
%
|
105.69
|
3.50
|
%
|
4.16
|
%
|
6
|
352
|
4.16
|
%
|
4.73
|
%
|
17,305
|
(23,630
|
)
|
||||||||||||||||||||||||||||||
|
30yr 4.0
|
1,004,994
|
1,082,331
|
28.42
|
%
|
107.70
|
4.00
|
%
|
4.59
|
%
|
17
|
340
|
12.75
|
%
|
16.25
|
%
|
13,327
|
(17,504
|
)
|
||||||||||||||||||||||||||||||
|
30yr 4.5
|
476,410
|
523,045
|
13.73
|
%
|
109.79
|
4.50
|
%
|
5.01
|
%
|
11
|
347
|
13.03
|
%
|
13.54
|
%
|
4,957
|
(6,810
|
)
|
||||||||||||||||||||||||||||||
|
30yr 5.0
|
252,508
|
281,926
|
7.40
|
%
|
111.65
|
5.00
|
%
|
5.51
|
%
|
20
|
337
|
15.91
|
%
|
15.92
|
%
|
3,046
|
(3,731
|
)
|
||||||||||||||||||||||||||||||
|
30yr Total
|
3,109,126
|
3,335,696
|
87.59
|
%
|
107.29
|
3.90
|
%
|
4.52
|
%
|
11
|
346
|
9.13
|
%
|
11.54
|
%
|
41,701
|
(55,975
|
)
|
||||||||||||||||||||||||||||||
|
Total Pass Through RMBS
|
3,484,410
|
3,731,440
|
97.98
|
%
|
107.09
|
3.93
|
%
|
4.53
|
%
|
13
|
340
|
9.59
|
%
|
12.16
|
%
|
44,389
|
(59,493
|
)
|
||||||||||||||||||||||||||||||
|
Structured RMBS
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
Interest-Only Securities
|
405,173
|
52,955
|
1.39
|
%
|
13.07
|
4.00
|
%
|
4.59
|
%
|
67
|
281
|
21.28
|
%
|
23.55
|
%
|
(5,946
|
)
|
7,375
|
||||||||||||||||||||||||||||||
|
Inverse Interest-Only Securities
|
183,284
|
23,924
|
0.63
|
%
|
13.05
|
3.42
|
%
|
4.86
|
%
|
67
|
284
|
11.22
|
%
|
13.83
|
%
|
868
|
(1,586
|
)
|
||||||||||||||||||||||||||||||
|
Total Structured RMBS
|
588,457
|
76,879
|
2.02
|
%
|
13.06
|
3.82
|
%
|
4.68
|
%
|
67
|
282
|
18.15
|
%
|
20.52
|
%
|
(5,078
|
)
|
5,789
|
||||||||||||||||||||||||||||||
|
Total Mortgage Assets
|
$
|
4,072,867
|
$
|
3,808,319
|
100.00
|
%
|
3.91
|
%
|
4.55
|
%
|
21
|
332
|
10.83
|
%
|
13.58
|
%
|
$
|
39,311
|
$
|
(53,704
|
)
|
|||||||||||||||||||||||||||
|
Interest
|
Interest
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
Average
|
Hedge
|
Rate
|
Rate
|
|||||||||||||||||||||||||||||||||||||||||||||
|
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
|||||||||||||||||||||||||||||||||||||||||||||
|
Hedge
|
Balance
|
End
|
(-50 BPS)(1)
|
(+50 BPS)(1)
|
||||||||||||||||||||||||||||||||||||||||||||
|
Eurodollar Futures
|
$
|
(500,000
|
)
|
Dec-2020
|
(1,875
|
)
|
1,875
|
|||||||||||||||||||||||||||||||||||||||||
|
Swaps
|
(1,270,000
|
)
|
Oct-2023
|
(25,275
|
)
|
25,275
|
||||||||||||||||||||||||||||||||||||||||||
|
5-Year Treasury Futures
|
(69,000
|
)
|
Mar-2020(2)
|
(2,149
|
)
|
1,965
|
||||||||||||||||||||||||||||||||||||||||||
|
TBA Short
|
(300,000
|
)
|
Feb-2020
|
(1,254
|
)
|
1,876
|
||||||||||||||||||||||||||||||||||||||||||
|
Swaptions
|
(250,000
|
)
|
Apr-2020
|
(173
|
)
|
1,754
|
||||||||||||||||||||||||||||||||||||||||||
|
Hedge Total
|
$
|
(2,389,000
|
)
|
$
|
(30,726
|
)
|
$
|
32,745
|
||||||||||||||||||||||||||||||||||||||||
|
Rate Shock Grand Total
|
$
|
8,585
|
$
|
(20,959
|
)
|
|||||||||||||||||||||||||||||||||||||||||||
|
(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 $120.32 at January 31, 2020. The market value of the short position was $83.0 million.
|
|
RMBS Assets by Agency
|
Investment Company Act of 1940 Whole Pool Test
|
||||||||||||||||
|
($ in thousands)
|
($ in thousands)
|
||||||||||||||||
|
Percentage
|
Percentage
|
||||||||||||||||
|
Fair
|
of
|
Fair
|
of
|
||||||||||||||
|
Asset Category
|
Value
|
Portfolio
|
Asset Category
|
Value
|
Portfolio
|
||||||||||||
|
As of January 31, 2020
|
As of January 31, 2020
|
||||||||||||||||
|
Fannie Mae
|
$
|
2,349,892
|
61.7
|
%
|
Non-Whole Pool Assets
|
$
|
555,512
|
14.6
|
%
|
||||||||
|
Freddie Mac
|
1,458,427
|
38.3
|
%
|
Whole Pool Assets
|
3,252,807
|
85.4
|
%
|
||||||||||
|
Total Mortgage Assets
|
$
|
3,808,319
|
100.0
|
%
|
Total Mortgage Assets
|
$
|
3,808,319
|
100.0
|
%
|
||||||||
|
Borrowings By Counterparty
|
||||||||
|
($ in thousands)
|
||||||||
|
Weighted
|
Weighted
|
|||||||
|
% of
|
Average
|
Average
|
||||||
|
Total
|
Total
|
Repo
|
Maturity
|
Longest
|
||||
|
As of January 31, 2020
|
Borrowings
|
Debt
|
Rate
|
in Days
|
Maturity
|
|||
|
Wells Fargo Bank, N.A.
|
$
|
420,185
|
11.3%
|
1.84%
|
11
|
2/20/2020
|
||
|
J.P. Morgan Securities LLC
|
380,446
|
10.5%
|
1.75%
|
12
|
2/28/2020
|
|||
|
Mirae Asset Securities (USA) Inc.
|
337,302
|
9.3%
|
1.96%
|
11
|
2/13/2020
|
|||
|
Cantor Fitzgerald & Co
|
298,553
|
8.2%
|
1.74%
|
12
|
2/12/2020
|
|||
|
Mitsubishi UFJ Securities (USA), Inc
|
280,152
|
7.7%
|
1.75%
|
65
|
4/13/2020
|
|||
|
Citigroup Global Markets Inc
|
213,190
|
5.9%
|
1.76%
|
12
|
2/14/2020
|
|||
|
ASL Capital Markets Inc.
|
206,626
|
5.7%
|
1.78%
|
15
|
2/28/2020
|
|||
|
ABN AMRO Bank N.V.
|
206,319
|
5.7%
|
1.72%
|
11
|
2/14/2020
|
|||
|
ED&F Man Capital Markets Inc
|
201,385
|
5.6%
|
1.97%
|
9
|
2/13/2020
|
|||
|
RBC Capital Markets, LLC
|
168,764
|
4.7%
|
1.78%
|
14
|
2/28/2020
|
|||
|
ING Financial Markets LLC
|
165,457
|
4.6%
|
1.75%
|
17
|
2/26/2020
|
|||
|
South Street Securities, LLC
|
149,064
|
4.1%
|
2.49%
|
58
|
4/9/2020
|
|||
|
Daiwa Securities America Inc.
|
112,436
|
3.1%
|
1.94%
|
7
|
2/10/2020
|
|||
|
ICBC Financial Services LLC
|
96,319
|
2.7%
|
1.75%
|
28
|
2/28/2020
|
|||
|
Guggenheim Securities, LLC
|
90,875
|
2.5%
|
1.75%
|
22
|
2/28/2020
|
|||
|
FHLB-Cincinnati
|
88,885
|
2.5%
|
1.67%
|
3
|
2/3/2020
|
|||
|
Lucid Cash Fund USG LLC
|
65,922
|
1.8%
|
1.79%
|
13
|
2/13/2020
|
|||
|
Bank of Montreal
|
58,418
|
1.6%
|
1.78%
|
13
|
2/13/2020
|
|||
|
Nomura Securities International, Inc.
|
46,775
|
1.3%
|
1.74%
|
12
|
2/12/2020
|
|||
|
J.V.B. Financial Group, LLC
|
28,979
|
0.8%
|
1.75%
|
18
|
2/18/2020
|
|||
|
Merrill Lynch, Pierce, Fenner & Smith
|
9,116
|
0.3%
|
2.31%
|
3
|
2/3/2020
|
|||
|
Mizuho Securities USA, Inc
|
1,911
|
0.1%
|
2.20%
|
19
|
2/19/2020
|
|||
|
Total Borrowings
|
$
|
3,627,079
|
100.0%
|
1.83%
|
18
|
4/13/2020
|
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400