Attached files
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| 8-K - ORC FORM 8-K 2020-08-19 - Orchid Island Capital, Inc. | orc8k20200819.htm |
ORCHID ISLAND CAPITAL ANNOUNCES
AUGUST 2020 MONTHLY DIVIDEND AND
JULY 31, 2020 RMBS PORTFOLIO CHARACTERISTICS
· August 2020 Monthly Dividend of $0.065 Per Share of Common Stock
· RMBS Portfolio Characteristics as of July 31, 2020
· Next Dividend Announcement Expected September 16, 2020
Vero Beach, Fla., August 19, 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 August 2020. The dividend of $0.065 per share will be paid September 28, 2020, to holders of record of the Company’s common stock on August 31, 2020, with an ex-dividend date of August 28, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on September 16, 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 August 19, 2020, the Company had 66,402,329 shares of common stock outstanding. As of July 31, 2020 and June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of July 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.
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RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
Realized |
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Jul 2020 |
May - Jul |
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Modeled |
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Modeled |
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Net |
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Weighted |
CPR |
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 |
(1-Month) |
(3-Month) |
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Rate |
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Rate |
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Current |
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Fair |
of |
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Current |
Average |
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Maturity |
(Reported |
(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) |
Portfolio |
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Price |
Coupon |
GWAC |
Age |
(Months) |
in Aug) |
in Aug) |
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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 |
$ |
936 |
$ |
971 |
0.03% |
$ |
103.77 |
4.51% |
4.75% |
191 |
169 |
0.00% |
0.00% |
$ |
2 |
$ |
(2) |
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Fixed Rate CMO |
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148,531 |
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159,208 |
4.38% |
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107.19 |
4.00% |
4.40% |
36 |
319 |
17.73% |
21.73% |
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270 |
|
(119) |
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15yr 4.0 |
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1,238 |
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1,328 |
0.04% |
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107.24 |
4.00% |
4.49% |
27 |
139 |
3.53% |
1.61% |
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17 |
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(17) |
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15yr Total |
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1,238 |
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1,328 |
0.04% |
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107.24 |
4.00% |
4.49% |
27 |
139 |
3.53% |
1.61% |
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17 |
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(17) |
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20yr 2.5 |
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150,000 |
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157,906 |
4.34% |
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105.27 |
2.50% |
3.34% |
1 |
239 |
1.24% |
n/a |
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215 |
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(453) |
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20yr Total |
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150,000 |
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157,906 |
4.34% |
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105.27 |
2.50% |
3.34% |
1 |
239 |
1.24% |
n/a |
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215 |
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(453) |
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30yr 3.0 |
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356,349 |
|
380,033 |
10.45% |
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106.65 |
3.00% |
3.88% |
7 |
348 |
6.29% |
7.96% |
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1,637 |
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(2,299) |
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30yr 3.5 |
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1,421,763 |
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1,563,289 |
42.98% |
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109.95 |
3.50% |
4.00% |
9 |
347 |
8.89% |
9.14% |
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14,027 |
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(18,544) |
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30yr 4.0 |
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475,106 |
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531,231 |
14.61% |
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111.81 |
4.00% |
4.52% |
17 |
339 |
11.90% |
12.40% |
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6,459 |
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(7,589) |
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30yr 4.5 |
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302,397 |
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340,954 |
9.37% |
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112.75 |
4.50% |
5.01% |
16 |
342 |
18.81% |
17.04% |
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2,879 |
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(3,157) |
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30yr 5.0 |
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156,341 |
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177,734 |
4.89% |
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113.68 |
5.00% |
5.56% |
25 |
330 |
22.49% |
21.38% |
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1,840 |
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(1,913) |
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30yr Total |
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2,711,956 |
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2,993,241 |
82.30% |
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110.37 |
3.72% |
4.28% |
12 |
344 |
11.05% |
11.46% |
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26,842 |
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(33,502) |
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Total Pass Through RMBS |
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3,012,661 |
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3,312,654 |
91.08% |
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109.96 |
3.67% |
4.24% |
12 |
338 |
10.87% |
12.06% |
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27,346 |
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(34,093) |
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Structured RMBS |
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Interest-Only Securities |
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329,362 |
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31,046 |
0.85% |
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9.43 |
4.00% |
4.59% |
73 |
273 |
39.79% |
37.73% |
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(839) |
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1,797 |
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Total Structured RMBS |
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329,362 |
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31,046 |
0.85% |
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9.43 |
4.00% |
4.59% |
73 |
273 |
39.79% |
37.73% |
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(839) |
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1,797 |
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Long TBA Positions |
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FNCL 2.5 TBA |
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279,000 |
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293,386 |
8.07% |
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105.16 |
2.50% |
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2,165 |
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(3,069) |
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Total Long TBA |
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279,000 |
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293,386 |
8.07% |
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105.16 |
2.50% |
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2,165 |
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(3,069) |
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Total Mortgage Assets |
$ |
3,621,023 |
$ |
3,637,086 |
100.00% |
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3.61% |
4.27% |
18 |
331 |
13.81% |
15.06% |
$ |
28,672 |
$ |
(35,365) |
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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) |
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Dec-2021 |
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(375) |
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375 |
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Swaps |
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(820,000) |
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Apr-2025 |
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(16,509) |
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20,785 |
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5-Year Treasury Futures |
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(69,000) |
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Sep-2020(3) |
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(2,246) |
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2,190 |
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Swaptions |
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(666,300) |
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Oct-2021 |
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(2,848) |
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4,507 |
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Hedge Total |
$ |
(1,605,300) |
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$ |
(21,978) |
$ |
27,857 |
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Rate Shock Grand Total |
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$ |
6,694 |
$ |
(7,508) |
(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million purchased in July 2020, which settle in August 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 $126.13 at July 31, 2020. The market value of the short position was $87.0 million.
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RMBS Assets by Agency |
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Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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($ in thousands) |
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Percentage |
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Percentage |
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Fair |
of |
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Fair |
of |
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Asset Category |
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Value(1)(2) |
Portfolio |
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Asset Category |
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Value(1)(2) |
Portfolio |
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As of July 31, 2020 |
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As of July 31, 2020 |
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Fannie Mae |
$ |
2,072,835 |
62.0% |
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Non-Whole Pool Assets |
$ |
706,208 |
21.1% |
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Freddie Mac |
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1,270,865 |
38.0% |
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Whole Pool Assets |
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2,637,492 |
78.9% |
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Total Mortgage Assets |
$ |
3,343,700 |
100.0% |
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Total Mortgage Assets |
$ |
3,343,700 |
100.0% |
(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million sold in July 2020, which settle in August 2020.
(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $293.4 million.
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Borrowings By Counterparty |
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($ in thousands) |
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Weighted |
Weighted |
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% of |
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Average |
Average |
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Total |
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Total |
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Repo |
Maturity |
Longest |
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As of July 31, 2020 |
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Borrowings |
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Debt |
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Rate |
in Days |
Maturity |
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Mirae Asset Securities (USA) Inc. |
$ |
375,504 |
|
12.2% |
|
0.25% |
73 |
1/14/2021 |
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Wells Fargo Bank, N.A. |
|
320,812 |
|
10.4% |
|
0.25% |
12 |
8/19/2020 |
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Merrill Lynch, Pierce, Fenner & Smith |
|
284,967 |
|
9.2% |
|
0.28% |
13 |
8/31/2020 |
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J.P. Morgan Securities LLC |
|
266,174 |
|
8.6% |
|
0.28% |
44 |
10/1/2020 |
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ABN AMRO Bank N.V. |
|
232,576 |
|
7.5% |
|
0.26% |
16 |
8/24/2020 |
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Cantor Fitzgerald & Co |
|
230,880 |
|
7.5% |
|
0.25% |
16 |
9/15/2020 |
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Citigroup Global Markets Inc |
|
212,205 |
|
6.9% |
|
0.28% |
14 |
8/20/2020 |
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RBC Capital Markets, LLC |
|
208,584 |
|
6.8% |
|
0.27% |
16 |
8/24/2020 |
|
ASL Capital Markets Inc. |
|
204,791 |
|
6.6% |
|
0.23% |
77 |
10/28/2020 |
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Mitsubishi UFJ Securities (USA), Inc |
|
189,233 |
|
6.1% |
|
0.25% |
45 |
9/25/2020 |
|
ING Financial Markets LLC |
|
141,636 |
|
4.6% |
|
0.25% |
18 |
8/19/2020 |
|
Daiwa Securities America Inc. |
|
78,951 |
|
2.6% |
|
0.29% |
22 |
9/4/2020 |
|
South Street Securities, LLC |
|
77,304 |
|
2.5% |
|
0.28% |
216 |
5/13/2021 |
|
Bank of Montreal |
|
73,269 |
|
2.4% |
|
0.25% |
13 |
8/13/2020 |
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ED&F Man Capital Markets Inc |
|
64,506 |
|
2.1% |
|
0.22% |
64 |
10/22/2020 |
|
Lucid Cash Fund USG LLC |
|
58,089 |
|
1.9% |
|
0.31% |
13 |
8/13/2020 |
|
J.V.B. Financial Group, LLC |
|
26,270 |
|
0.9% |
|
0.30% |
76 |
10/15/2020 |
|
Barclays Capital Inc |
|
25,445 |
|
0.8% |
|
0.29% |
10 |
8/10/2020 |
|
Austin Atlantic Asset Management Co. |
|
11,361 |
|
0.4% |
|
0.30% |
5 |
8/5/2020 |
|
Total Borrowings |
$ |
3,082,557 |
|
100.0% |
|
0.26% |
37 |
5/13/2021 |
Peer Performance
The tables below present total return data for the Company compared to a selected group of peers based on stock price performance for periods through August 14, 2020 and based on book value performance for periods through June 30, 2020.
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Portfolio Total Rate of Return Versus Peer Group Average - Stock Price Performance |
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ORC Spread |
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ORC |
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Over / (Under) |
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Total Rate |
Peer |
Peer |
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of Return(1) |
Average(1)(2) |
Average(3) |
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Year to Date (1/1/2020 - 8/14/2020) |
(2.4)% |
(25.4)% |
23.0% |
|
One Year Total Return |
3.3% |
(16.7)% |
20.0% |
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Two Year Total Return |
(12.7)% |
(20.1)% |
7.4% |
|
Three Year Total Return |
(14.2)% |
(23.2)% |
9.0% |
|
Four Year Total Return |
(10.5)% |
(15.1)% |
4.6% |
|
Five Year Total Return |
22.7% |
(3.5)% |
26.2% |
|
Six Year Total Return |
(5.4)% |
(7.0)% |
1.6% |
|
Seven Year Total Return |
42.1% |
7.7% |
34.4% |
|
Inception to Date (2/13/2013 - 8/14/2020) |
11.3% |
(12.1)% |
23.4% |
Source: SEC filings and press releases of the Company and Peer Group
(1) Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.
(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.
(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.
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Portfolio Total Rate of Return Versus Peer Group Average - Book Value Performance |
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ORC Spread |
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ORC |
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Over / (Under) |
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Total Rate |
Peer |
Peer |
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of Return(1) |
Average(1)(2) |
Average(3) |
|
Year to Date (1/1/2020 - 6/30/2020) |
(10.3)% |
(20.4)% |
10.1% |
|
One Year Total Return |
(7.9)% |
(14.2)% |
6.3% |
|
Two Year Total Return |
(10.0)% |
(14.4)% |
4.4% |
|
Three Year Total Return |
(8.0)% |
(11.5)% |
3.5% |
|
Four Year Total Return |
(6.3)% |
(8.7)% |
2.4% |
|
Five Year Total Return |
(4.2)% |
(7.4)% |
3.2% |
|
Six Year Total Return |
7.4% |
(3.7)% |
11.1% |
|
Inception to Date (3/31/2013 - 6/30-2020)(4) |
9.2% |
(4.3)% |
13.5% |
Source: SEC filings and press releases of the Company and Peer Group
(1) Total rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period.
(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.
(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.
(4) Peer book values are not available for the Company’s true inception date (2/13/2013). Because all peer book values are not available as of the Company’s true inception date (2/13/2013), the starting point for all of the peer companies is 3/31/2013.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400