Attached files
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| 8-K - ORC FORM 8-K 2020-06-16 - Orchid Island Capital, Inc. | orc8k20200616.htm |
EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
JUNE 2020 MONTHLY DIVIDEND AND
MAY 31, 2020 RMBS PORTFOLIO CHARACTERISTICS
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•
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June 2020 Monthly Dividend of $0.055 Per Share of Common Stock
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•
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RMBS Portfolio Characteristics as of May 31, 2020
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•
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Next Dividend Announcement Expected July 15, 2020
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Vero Beach, Fla., June 16, 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 June 2020. The dividend of $0.055 per share will be paid July 29, 2020, to holders of record of the Company’s common stock on June 30, 2020, with an ex-dividend date of June 29, 2020. The Company
plans on announcing its next common stock dividend after the Board’s meeting on July 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 June 16, 2020 and May 31, 2020 the Company had 66,216,748 shares of common stock outstanding. As of March 31, 2020, the Company had
66,236,639 shares of common stock outstanding.
Estimated June 12, 2020 Book Value Per Share
The estimated range of the Company’s book value per share as of June 12, 2020 was $5.30 and $5.40. The Company computes book value per share by
dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 12, 2020, the Company's preliminary estimated total stockholders' equity range was approximately $351.0 million to $357.6 million with 66,216,748
shares of common stock outstanding. These figures and the resulting estimated book value per share as of June 12, 2020 are preliminary, subject to change, and have not been audited or verified by any third party. The market prices used to compute the
fair market value of the pass-through residential mortgage backed certificates issued by Freddie Mac, Fannie Mae or Ginnie Mae (“RMBS”) and structured RMBS positions were obtained from JP Morgan Pricing Direct. Swap and futures marks were obtained
from the Chicago Mercantile Exchange closing marks. Swaption marks were obtained from the counterparty to the trade and verified internally for reasonableness. Closing to-be-announced securities prices were obtained from Bloomberg.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of May 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:
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•
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RMBS Valuation Characteristics
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•
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RMBS Assets by Agency
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•
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Investment Company Act of 1940 (Whole Pool) Test Results
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•
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Repurchase Agreement Exposure by Counterparty
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•
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RMBS Risk Measures
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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 Form 10-K for the
year ended December 31, 2019.
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RMBS Valuation Characteristics
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||||||||||||||||||||||||||||||||||||||||||||||||
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($ in thousands)
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||||||||||||||||||||||||||||||||||||||||||||||||
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Realized
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Realized
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|||||||||||||||||||||||||||||||||||||||||||||||
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May 2020
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Mar - May
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Modeled
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Modeled
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|||||||||||||||||||||||||||||||||||||||||||||
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Net
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Weighted
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CPR
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2020 CPR
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Interest
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Interest
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|||||||||||||||||||||||||||||||||||||||||||
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%
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Weighted
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Average
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(1-Month)
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(3-Month)
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Rate
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Rate
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||||||||||||||||||||||||||||||||||||||||||
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Current
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Fair
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of
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Current
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Average
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Maturity
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(Reported
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(Reported
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Sensitivity
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Sensitivity
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|||||||||||||||||||||||||||||||||||||||
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Type
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Face
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Value(1)
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Portfolio
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Price
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Coupon
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GWAC
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Age
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(Months)
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in Jun)
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in Jun)
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(-50 BPS)(2)
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(+50 BPS)(2)
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||||||||||||||||||||||||||||||||||||
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Pass Through RMBS
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||||||||||||||||||||||||||||||||||||||||||||||||
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Post Reset ARM
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$
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944
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$
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977
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0.03
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%
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$
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103.50
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4.51
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%
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4.96
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%
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190
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171
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0.00
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%
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0.00
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%
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$
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3
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$
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(2
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)
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|||||||||||||||||||||||||
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Fixed Rate CMO
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158,092
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169,611
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4.99
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%
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107.29
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4.00
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%
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4.40
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%
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35
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321
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27.70
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%
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17.92
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%
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395
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(570
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)
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||||||||||||||||||||||||||||||
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15yr 2.0 TBA
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250,000
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256,992
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7.56
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%
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102.80
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2.00
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%
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n/a
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n/a
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n/a
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n/a
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n/a
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2,891
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(3,541
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)
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15yr 4.0
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1,253
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1,349
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0.04
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%
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107.65
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4.00
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%
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4.49
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%
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25
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141
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0.63
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%
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61.44
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%
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17
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(17
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)
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15yr Total
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251,253
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258,341
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7.60
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%
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102.82
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2.01
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%
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4.49
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%
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25
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141
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0.63
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%
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61.44
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%
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2,908
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(3,558
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)
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30yr 3.0
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363,162
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384,601
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11.31
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%
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105.90
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3.00
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%
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3.88
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%
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5
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350
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5.80
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%
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14.72
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%
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2,565
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(4,415
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)
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||||||||||||||||||||||||||||||
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30yr 3.5
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1,241,365
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1,356,604
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39.91
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%
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109.28
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3.50
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%
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4.03
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%
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8
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348
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13.75
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%
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11.24
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%
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12,802
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(18,267
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)
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||||||||||||||||||||||||||||||
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30yr 4.0
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488,805
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545,365
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16.04
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%
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111.57
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4.00
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%
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4.52
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%
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15
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341
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10.48
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%
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9.81
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%
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7,375
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(8,945
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)
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||||||||||||||||||||||||||||||
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30yr 4.5
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338,989
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381,662
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11.23
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%
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112.59
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4.50
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%
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5.00
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%
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15
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342
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15.58
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%
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16.89
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%
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3,306
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(3,886
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)
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||||||||||||||||||||||||||||||
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30yr 5.0
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232,717
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264,821
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7.79
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%
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113.80
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5.00
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%
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5.51
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%
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24
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332
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24.78
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%
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23.46
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%
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2,532
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(2,724
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)
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||||||||||||||||||||||||||||||
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30yr Total
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2,665,038
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2,933,053
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86.29
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%
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110.06
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3.78
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%
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4.35
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%
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11
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345
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13.26
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%
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13.10
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%
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28,580
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(38,237
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)
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||||||||||||||||||||||||||||||
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Total Pass Through RMBS
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3,075,327
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3,361,982
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98.91
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%
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109.32
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3.65
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%
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4.36
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%
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13
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344
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14.06
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%
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13.43
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%
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31,886
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(42,367
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)
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||||||||||||||||||||||||||||||
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Structured RMBS
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Interest-Only Securities
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360,499
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37,070
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1.09
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%
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10.28
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4.00
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%
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4.59
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%
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71
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276
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35.23
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%
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31.32
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%
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(1,934
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)
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3,627
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||||||||||||||||||||||||||||||
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Total Structured RMBS
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360,499
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37,070
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1.09
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%
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10.28
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4.00
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%
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4.59
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%
|
71
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276
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35.23
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%
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31.32
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%
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(1,934
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)
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3,627
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||||||||||||||||||||||||||||||
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Total Mortgage Assets
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$
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3,435,826
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$
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3,399,052
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100.00
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%
|
3.69
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%
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4.38
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%
|
19
|
336
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16.30
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%
|
15.48
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%
|
$
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29,952
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$
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(38,740
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)
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|||||||||||||||||||||||||||
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Interest
|
Interest
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|||||||||||||||||||||||||||||||||||||||||||||||
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Average
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Hedge
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Rate
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Rate
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|||||||||||||||||||||||||||||||||||||||||||||
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Notional
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Period
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Sensitivity
|
Sensitivity
|
|||||||||||||||||||||||||||||||||||||||||||||
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Hedge
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Balance
|
End
|
(-50 BPS)(2)
|
(+50 BPS)(2)
|
||||||||||||||||||||||||||||||||||||||||||||
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Eurodollar Futures
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$
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(50,000
|
)
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Dec-2021
|
$
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(438
|
)
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$
|
438
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|||||||||||||||||||||||||||||||||||||||
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Swaps
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(748,500
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)
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Aug-2024
|
(15,768
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)
|
17,385
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||||||||||||||||||||||||||||||||||||||||||
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5-Year Treasury Futures
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(69,000
|
)
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Sep-2020
|
(2,314
|
)
|
2,073
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||||||||||||||||||||||||||||||||||||||||||
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Swaptions
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(500,000
|
)
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Mar-2021(3)
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(367
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)
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1,673
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||||||||||||||||||||||||||||||||||||||||||
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Hedge Total
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$
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(1,367,500
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)
|
$
|
(18,887
|
)
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$
|
21,569
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||||||||||||||||||||||||||||||||||||||||
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Rate Shock Grand Total
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$
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11,065
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$
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(17,171
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)
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|||||||||||||||||||||||||||||||||||||||||||
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(1)
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Amounts in the tables above include assets with a fair value of approximately $54.4 million sold in May 2020, which settle in June 2020.
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(2)
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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.
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(3)
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Five-year treasury futures contracts were valued at prices of $125.63 at May 31, 2020. The market value of the short position was $86.7
million.
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|
RMBS Assets by Agency
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Investment Company Act of 1940 Whole Pool Test
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||||||||||||||||
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($ in thousands)
|
($ in thousands)
|
||||||||||||||||
|
Percentage
|
Percentage
|
||||||||||||||||
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Fair
|
of
|
Fair
|
of
|
||||||||||||||
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Asset Category
|
Value(1)(2)
|
Portfolio
|
Asset Category
|
Value(1)(2)
|
Portfolio
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||||||||||||
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As of May 31, 2020
|
As of May 31, 2020
|
||||||||||||||||
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Fannie Mae
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$
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1,939,520
|
61.7
|
%
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Non-Whole Pool Assets
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$
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303,124
|
9.6
|
%
|
||||||||
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Freddie Mac
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1,202,540
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38.3
|
%
|
Whole Pool Assets
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2,838,936
|
90.4
|
%
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||||||||||
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Total Mortgage Assets
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$
|
3,142,060
|
100.0
|
%
|
Total Mortgage Assets
|
$
|
3,142,060
|
100.0
|
%
|
||||||||
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(1)
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Amounts in the tables above include assets with a fair value of approximately $54.4 million sold in May 2020, which settle in June 2020.
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(2)
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Amounts in the tables above exclude long TBA positions with a market value of approximately $257.0 million.
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|
Borrowings By Counterparty
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||||||||
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($ in thousands)
|
||||||||
|
Weighted
|
Weighted
|
|||||||
|
% of
|
Average
|
Average
|
||||||
|
Total
|
Total
|
Repo
|
Maturity
|
Longest
|
||||
|
As of May 31, 2020
|
Borrowings(1)
|
Debt
|
Rate
|
in Days
|
Maturity
|
|||
|
Mirae Asset Securities (USA) Inc.
|
$
|
382,893
|
12.3%
|
0.25%
|
54
|
8/11/2020
|
||
|
Wells Fargo Bank, N.A.
|
345,195
|
11.3%
|
0.26%
|
11
|
6/19/2020
|
|||
|
Merrill Lynch, Pierce, Fenner & Smith
|
287,769
|
9.5%
|
0.31%
|
11
|
6/11/2020
|
|||
|
Mitsubishi UFJ Securities (USA), Inc
|
252,510
|
8.3%
|
0.26%
|
15
|
6/26/2020
|
|||
|
ABN AMRO Bank N.V.
|
234,098
|
7.7%
|
0.30%
|
40
|
8/12/2020
|
|||
|
Cantor Fitzgerald & Co
|
233,541
|
7.7%
|
0.28%
|
40
|
7/14/2020
|
|||
|
Citigroup Global Markets Inc
|
219,673
|
7.2%
|
0.33%
|
13
|
6/18/2020
|
|||
|
ASL Capital Markets Inc.
|
209,492
|
6.9%
|
0.25%
|
47
|
7/28/2020
|
|||
|
J.P. Morgan Securities LLC
|
196,560
|
6.5%
|
0.33%
|
15
|
6/25/2020
|
|||
|
RBC Capital Markets, LLC
|
187,875
|
6.2%
|
0.27%
|
14
|
6/26/2020
|
|||
|
ING Financial Markets LLC
|
94,878
|
3.1%
|
0.26%
|
18
|
6/18/2020
|
|||
|
Daiwa Securities America Inc.
|
80,991
|
2.7%
|
0.32%
|
57
|
8/12/2020
|
|||
|
Barclays Capital Inc
|
78,290
|
2.6%
|
0.38%
|
12
|
6/12/2020
|
|||
|
South Street Securities, LLC
|
77,817
|
2.6%
|
0.29%
|
246
|
5/13/2021
|
|||
|
Lucid Cash Fund USG LLC
|
54,607
|
1.8%
|
0.32%
|
11
|
6/11/2020
|
|||
|
ED&F Man Capital Markets Inc
|
36,749
|
1.2%
|
0.25%
|
47
|
7/22/2020
|
|||
|
Bank of Montreal
|
32,157
|
1.1%
|
0.27%
|
11
|
6/11/2020
|
|||
|
J.V.B. Financial Group, LLC
|
26,639
|
0.9%
|
0.25%
|
22
|
6/22/2020
|
|||
|
Austin Atlantic Asset Management Co.
|
11,554
|
0.4%
|
0.30%
|
3
|
6/3/2020
|
|||
|
Mizuho Securities USA, Inc
|
1,339
|
0.0%
|
1.62%
|
23
|
6/23/2020
|
|||
|
Total Borrowings
|
$
|
3,044,627
|
100.0%
|
0.28%
|
32
|
5/13/2021
|
|
(1)
|
In May 2020, the Company sold assets with a fair value of approximately $54.4 million, which settle in June 2020 that collateralize
approximately $51.9 million of repurchase agreements included in the table above.
|
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400