The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.
As of September 16, 2020, the Company had68,906,465 shares of common stock outstanding. As of August 31, 2020, the Company had 68,214,819 shares of common stock outstanding. As of June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of August 31, 2020 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 (Whole Pool) Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.
| RMBS Valuation Characteristics | ||||||||||||||||||||||||
| ($ in thousands) | ||||||||||||||||||||||||
| Realized | Realized | |||||||||||||||||||||||
| Aug 2020 | Jun – Aug | Modeled | Modeled | |||||||||||||||||||||
| Net | Weighted | CPR | 2020 CPR | Interest | Interest | |||||||||||||||||||
| % | Weighted | Average | (1-Month) | (3-Month) | Rate | Rate | ||||||||||||||||||
| Current | Fair | of | Current | Average | Maturity | (Reported | (Reported | Sensitivity | Sensitivity | |||||||||||||||
| Type | Face | Value | Portfolio | Price | Coupon | GWAC | Age | (Months) | in Sep) | in Sep) | (-50 BPS)(1) | (+50 BPS)(1) | ||||||||||||
| Pass Through RMBS | ||||||||||||||||||||||||
| Post Reset ARM | $ | 932 | $ | 964 | 0.02 | % | $ | 103.43 | 4.30 | % | 4.09 | % | 193 | 168 | 0.00 | % | 0.00 | % | $ | 4 | $ | (3 | ) | |
| Fixed Rate CMO | 145,144 | 155,431 | 4.02 | % | 107.09 | 4.00 | % | 4.40 | % | 38 | 317 | 20.53 | % | 19.18 | % | 324 | (302 | ) | ||||||
| 15yr 4.0 | 1,228 | 1,319 | 0.03 | % | 107.39 | 4.00 | % | 4.49 | % | 28 | 138 | 3.58 | % | 2.59 | % | 17 | (17 | ) | ||||||
| 15yr Total | 1,228 | 1,319 | 0.03 | % | 107.39 | 4.00 | % | 4.49 | % | 28 | 138 | 3.58 | % | 2.59 | % | 17 | (17 | ) | ||||||
| 20yr 2.5 | 149,402 | 157,549 | 4.08 | % | 105.45 | 2.50 | % | 3.34 | % | 2 | 238 | 3.45 | % | n/a | (211 | ) | 30 | |||||||
| 20yr Total | 149,402 | 157,549 | 4.08 | % | 105.45 | 2.50 | % | 3.34 | % | 2 | 238 | 3.45 | % | n/a | (211 | ) | 30 | |||||||
| 30yr 2.5 | 250,000 | 264,317 | 6.84 | % | 105.73 | 2.50 | % | 3.36 | % | 1 | 359 | 0.00 | % | n/a | 2,350 | (3,756 | ) | |||||||
| 30yr 3.0 | 181,932 | 194,067 | 5.02 | % | 106.67 | 3.00 | % | 3.84 | % | 9 | 349 | 14.21 | % | 10.17 | % | 927 | (1,304 | ) | ||||||
| 30yr 3.5 | 1,408,624 | 1,551,560 | 40.13 | % | 110.15 | 3.50 | % | 3.99 | % | 10 | 346 | 11.48 | % | 10.03 | % | 15,968 | (21,146 | ) | ||||||
| 30yr 4.0 | 469,162 | 524,607 | 13.57 | % | 111.82 | 4.00 | % | 4.52 | % | 18 | 337 | 13.89 | % | 13.82 | % | 6,940 | (8,134 | ) | ||||||
| 30yr 4.5 | 296,626 | 335,290 | 8.67 | % | 113.03 | 4.50 | % | 5.01 | % | 17 | 341 | 20.30 | % | 19.60 | % | 3,054 | (3,399 | ) | ||||||
| 30yr 5.0 | 152,723 | 173,899 | 4.50 | % | 113.87 | 5.00 | % | 5.56 | % | 26 | 329 | 19.98 | % | 20.88 | % | 1,916 | (2,012 | ) | ||||||
| 30yr Total | 2,759,067 | 3,043,740 | 78.73 | % | 110.32 | 3.65 | % | 4.21 | % | 12 | 345 | 12.39 | % | 12.97 | % | 31,155 | (39,751 | ) | ||||||
| Total Pass Through RMBS | 3,055,773 | 3,359,003 | 86.88 | % | 109.92 | 3.61 | % | 4.18 | % | 13 | 338 | 12.33 | % | 13.35 | % | 31,289 | (40,043 | ) | ||||||
| Structured RMBS | ||||||||||||||||||||||||
| Interest-Only Securities | 314,354 | 31,349 | 0.81 | % | 9.97 | 4.00 | % | 4.59 | % | 75 | 272 | 39.64 | % | 39.27 | % | (1,212 | ) | 2,400 | ||||||
| Total Structured RMBS | 314,354 | 31,349 | 0.81 | % | 9.97 | 4.00 | % | 4.59 | % | 75 | 272 | 39.64 | % | 39.27 | % | (1,212 | ) | 2,400 | ||||||
| Long TBA Positions | ||||||||||||||||||||||||
| FNCI 2.0 TBA | 175,000 | 181,918 | 4.71 | % | 103.95 | 2.00 | % | 1,856 | (2,301 | ) | ||||||||||||||
| FNCL 2.5 TBA | 279,000 | 293,865 | 7.60 | % | 105.33 | 2.50 | % | 2,912 | (4,196 | ) | ||||||||||||||
| Total Long TBA | 454,000 | 475,783 | 12.31 | % | 104.80 | 2.31 | % | 4,768 | (6,497 | ) | ||||||||||||||
| Total Mortgage Assets | $ | 3,824,127 | $ | 3,866,135 | 100.00 | % | 3.49 | % | 4.22 | % | 18 | 332 | 14.88 | % | 16.48 | % | $ | 34,845 | $ | (44,140 | ) | |||
| Interest | Interest | ||||||||||||||||||
| Average | Hedge | Rate | Rate | ||||||||||||||||
| Notional | Period | Sensitivity | Sensitivity | ||||||||||||||||
| Hedge | Balance | End | (-50 BPS)(1) | (+50 BPS)(1) | |||||||||||||||
| Eurodollar Futures | $ | (50,000) | Dec-2021 | (375 | ) | 375 | |||||||||||||
| Swaps | (820,000) | Apr-2025 | (10,824 | ) | 19,590 | ||||||||||||||
| 5-Year Treasury Futures | (69,000) | Dec-2020(2) | (2,263 | ) | 2,188 | ||||||||||||||
| Swaptions | (667,300) | May-2021 | (3,278 | ) | 4,680 | ||||||||||||||
| Hedge Total | $ | (1,606,300) | $ | (16,740 | ) | $ | 26,833 | ||||||||||||
| Rate Shock Grand Total | $ | 18,105 | $ | (17,307 | ) | ||||||||||||||
(1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.
(2) Five year treasury futures contracts were valued at prices of $126.03 at August 31, 2020. The market value of the short position was $87.0 million.
| RMBS Assets by Agency | Investment Company Act of 1940 Whole Pool Test | |||||||||
| ($ in thousands) | ($ in thousands) | |||||||||
| Percentage | Percentage | |||||||||
| Fair | of | Fair | of | |||||||
| Asset Category | Value(1) | Portfolio | Asset Category | Value(1) | Portfolio | |||||
| As of August 31, 2020 | As of August 31, 2020 | |||||||||
| Fannie Mae | $ | 1,984,995 | 58.5 | % | Non-Whole Pool Assets | $ | 698,379 | 20.6 | % | |
| Freddie Mac | 1,405,357 | 41.5 | % | Whole Pool Assets | 2,691,973 | 79.4 | % | |||
| Total Mortgage Assets | $ | 3,390,352 | 100.0 | % | Total Mortgage Assets | $ | 3,390,352 | 100.0 | % | |
(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $475.8 million.
| Borrowings By Counterparty | ||||||||||
| ($ in thousands) | ||||||||||
| Weighted | Weighted | |||||||||
| % of | Average | Average | ||||||||
| Total | Total | Repo | Maturity | Longest | ||||||
| As of August 31, 2020 | Borrowings | Debt | Rate | in Days | Maturity | |||||
| Mirae Asset Securities (USA) Inc. | $ | 373,441 | 11.6 | % | 0.25 | % | 109 | 2/11/2021 | ||
| Wells Fargo Bank, N.A. | 313,490 | 9.7 | % | 0.23 | % | 11 | 9/18/2020 | |||
| Mitsubishi UFJ Securities (USA), Inc | 292,156 | 9.0 | % | 0.24 | % | 20 | 9/28/2020 | |||
| Merrill Lynch, Pierce, Fenner & Smith | 284,184 | 8.8 | % | 0.25 | % | 14 | 9/30/2020 | |||
| J.P. Morgan Securities LLC | 266,174 | 8.2 | % | 0.28 | % | 13 | 10/1/2020 | |||
| Cantor Fitzgerald & Co | 231,199 | 7.1 | % | 0.25 | % | 11 | 9/15/2020 | |||
| RBC Capital Markets, LLC | 214,643 | 6.6 | % | 0.23 | % | 40 | 11/24/2020 | |||
| ASL Capital Markets Inc. | 205,964 | 6.4 | % | 0.23 | % | 46 | 10/28/2020 | |||
| Citigroup Global Markets Inc | 205,375 | 6.3 | % | 0.25 | % | 15 | 9/21/2020 | |||
| ABN AMRO Bank N.V. | 199,067 | 6.2 | % | 0.24 | % | 27 | 10/23/2020 | |||
| ING Financial Markets LLC | 140,669 | 4.3 | % | 0.26 | % | 38 | 10/19/2020 | |||
| Daiwa Securities America Inc. | 127,730 | 3.9 | % | 0.24 | % | 35 | 11/10/2020 | |||
| ED&F Man Capital Markets Inc | 112,371 | 3.5 | % | 0.21 | % | 58 | 11/30/2020 | |||
| South Street Securities, LLC | 77,304 | 2.4 | % | 0.28 | % | 185 | 5/13/2021 | |||
| Bank of Montreal | 73,195 | 2.3 | % | 0.25 | % | 14 | 9/14/2020 | |||
| Lucid Cash Fund USG LLC | 57,076 | 1.8 | % | 0.27 | % | 10 | 9/10/2020 | |||
| J.V.B. Financial Group, LLC | 26,270 | 0.8 | % | 0.30 | % | 45 | 10/15/2020 | |||
| Barclays Capital Inc | 25,142 | 0.8 | % | 0.29 | % | 71 | 11/10/2020 | |||
| Austin Atlantic Asset Management Co. | 10,072 | 0.3 | % | 0.30 | % | 2 | 9/2/2020 | |||
| Total Borrowings | $ | 3,235,522 | 100.0 | % | 0.25 | % | 38 | 5/13/2021 | ||
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
