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 $0.22 from June 30, 2020.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of September 30, 2020 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended September 30, 2020, are subject to review by the Company’s independent registered public accounting firm.
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.
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RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
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Realized |
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Sep 2020 |
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Jul – Sep |
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Modeled |
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Modeled |
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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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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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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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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 Oct) |
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in Oct) |
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(-50 BPS)(2) |
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(+50 BPS)(2) |
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Pass Through RMBS |
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Post Reset ARM |
$ |
928 |
$ |
960 |
0.02% |
$ |
103.49 |
3.64% |
3.84% |
194 |
167 |
0.00% |
0.00% |
$ |
4 |
$ |
(3) |
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Fixed Rate CMO |
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141,260 |
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151,111 |
3.84% |
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106.97 |
4.00% |
4.40% |
39 |
316 |
28.88% |
22.56% |
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(141) |
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91 |
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15yr 4.0 |
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1,217 |
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1,319 |
0.03% |
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108.36 |
4.00% |
4.49% |
29 |
137 |
99.88% |
89.58% |
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13 |
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(12) |
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15yr Total |
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1,217 |
|
1,319 |
0.03% |
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108.36 |
4.00% |
4.49% |
29 |
137 |
99.88% |
89.58% |
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13 |
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(12) |
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20yr 2.5 |
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148,522 |
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155,962 |
3.97% |
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105.01 |
2.50% |
3.34% |
3 |
237 |
6.51% |
3.76% |
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370 |
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(674) |
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20yr Total |
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148,522 |
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155,962 |
3.97% |
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105.01 |
2.50% |
3.34% |
3 |
237 |
6.51% |
3.76% |
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370 |
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(674) |
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30yr 2.5 |
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249,737 |
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263,182 |
6.69% |
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105.38 |
2.50% |
3.36% |
2 |
358 |
7.94% |
n/a |
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1,769 |
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(3,371) |
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30yr 3.0 |
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281,234 |
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303,919 |
7.73% |
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108.07 |
3.00% |
3.71% |
7 |
352 |
12.88% |
10.31% |
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3,487 |
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(4,583) |
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30yr 3.5 |
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1,466,583 |
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1,619,320 |
41.18% |
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110.41 |
3.50% |
3.99% |
10 |
346 |
13.44% |
12.14% |
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14,781 |
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(20,480) |
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30yr 4.0 |
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462,535 |
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520,169 |
13.23% |
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112.46 |
4.00% |
4.52% |
19 |
336 |
21.43% |
16.04% |
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6,207 |
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(7,260) |
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30yr 4.5 |
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285,023 |
|
323,387 |
8.22% |
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113.46 |
4.50% |
5.01% |
16 |
341 |
20.54% |
20.06% |
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2,659 |
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(2,966) |
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30yr 5.0 |
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149,517 |
|
170,242 |
4.33% |
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113.86 |
5.00% |
5.56% |
27 |
328 |
27.98% |
24.27% |
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1,774 |
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(1,850) |
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30yr Total |
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2,894,629 |
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3,200,219 |
81.39% |
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110.56 |
3.62% |
4.17% |
12 |
345 |
15.74% |
14.48% |
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30,677 |
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(40,510) |
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Total Pass Through RMBS |
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3,186,556 |
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3,509,571 |
89.25% |
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110.14 |
3.59% |
4.15% |
13 |
338 |
15.93% |
14.34% |
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30,923 |
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(41,108) |
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Structured RMBS |
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Interest-Only Securities |
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300,143 |
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30,796 |
0.78% |
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10.26 |
4.00% |
4.60% |
76 |
270 |
41.23% |
40.44% |
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(2,467) |
|
4,335 |
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Total Structured RMBS |
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300,143 |
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30,796 |
0.78% |
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10.26 |
4.00% |
4.60% |
76 |
270 |
41.23% |
40.44% |
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(2,467) |
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4,335 |
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Long TBA Positions |
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FNCI 2.0 TBA |
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175,000 |
|
181,918 |
4.63% |
|
103.95 |
2.00% |
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|
1,535 |
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(1,985) |
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FNCL 2.5 TBA |
|
200,000 |
|
209,813 |
5.34% |
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104.91 |
2.50% |
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1,716 |
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(2,898) |
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Total Long TBA |
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375,000 |
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391,731 |
9.96% |
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104.46 |
2.27% |
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3,251 |
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(4,883) |
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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)
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Interest |
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Interest |
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Average |
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Hedge |
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|
Rate |
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Rate |
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Notional |
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Period |
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Sensitivity |
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Sensitivity |
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Hedge |
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Balance |
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End |
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|
(-50 BPS)(2) |
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(+50 BPS)(2) |
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Eurodollar Futures |
$ |
(50,000) |
|
Dec-2021 |
|
|
|
|
|
|
|
|
|
|
(313) |
|
313 |
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Swaps |
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(820,000) |
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Apr-2025 |
|
|
|
|
|
|
|
|
|
|
(9,805) |
|
19,593 |
|
5-Year Treasury Futures |
|
(69,000) |
|
Dec-2020(3) |
|
|
|
|
|
|
|
|
|
|
(1,913) |
|
2,524 |
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Swaptions |
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(667,300) |
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May-2021 |
|
|
|
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|
|
|
|
(2,563) |
|
4,462 |
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Hedge Total |
$ |
(1,606,300) |
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|
|
|
|
|
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|
|
|
|
$ |
(14,594) |
$ |
26,892 |
|
Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
17,113 |
$ |
(14,764) |
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(1) |
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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. |
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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 $126.03 at September 30, 2020. The market value of the short position was $87.0 million. |
|
RMBS Assets by Agency |
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|
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Investment Company Act of 1940 Whole Pool Test |
|||
|
($ in thousands) |
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($ in thousands) |
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|
Percentage |
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|
|
|
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% |
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Non-Whole Pool Assets |
$ |
687,363 |
19.4% |
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Freddie Mac |
|
1,388,439 |
39.2% |
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Whole Pool Assets |
|
2,853,004 |
80.6% |
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Total Mortgage Assets |
$ |
3,540,367 |
100.0% |
|
Total Mortgage Assets |
$ |
3,540,367 |
100.0% |
|
(1) |
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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. |
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(2) |
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Amounts in the tables above exclude long TBA positions with a market value of approximately $391.7 million. |
| Borrowings By Counterparty |
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|
|
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($ in thousands) |
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
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 |
Contacts
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
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