ORCHID ISLAND CAPITAL ANNOUNCES ESTIMATED FIRST QUARTER 2020 RESULTS, APRIL 2020 MONTHLY DIVIDEND AND MARCH 31, 2020 RMBS PORTFOLIO CHARACTERISTICS


  • April 2020 Monthly Dividend of $0.055 Per Share
  • Estimated Book Value Per Share as of March 31, 2020 of $4.64
  • Estimated GAAP net loss of $1.42 per share for the quarter ended March 31, 2020, including an estimated $1.66 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated (22.2)% total return on equity for the quarter
  • Estimated book value per share as of April 7, 2020 of approximately $4.83 to $4.93
  • Estimated debt to equity leverage ratio as of April 7, 2020 of approximately 8.6x to 8.8x
  • Estimated book value, net loss and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
  • RMBS Portfolio Characteristics as of March 31, 2020
  • Next Dividend Announcement Expected May 13, 2020

Vero Beach, Fla., April 08, 2020 (GLOBE NEWSWIRE) -- 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 April 2020. The dividend of $0.055 per share will be paid May 27, 2020 to holders of record on April 30, 2020, with an ex-dividend date of April 29, 2020. The Company plans on announcing its next dividend after the Board’s meeting on May 13, 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 April 8, 2020, the Company had 66,236,639 shares outstanding. As of March 31, 2020, the Company had 66,232,508 shares outstanding. As of December 31, 2019, the Company had 63,061,781 shares outstanding.

Estimated March 31, 2020 Book Value Per Share

The Company’s estimated book value per share as of March 31, 2020 was $4.64.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2020, the Company's preliminary estimated total stockholders' equity was approximately $307.5 million with 66,232,508 shares of common stock outstanding. These figures and the resulting estimated book value per share as of March 31, 2020 are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.  The estimated book value per share and the estimated debt to equity leverage ratio as of April 7, 2020 are preliminary, subject to change and have not been audited or verified by any third party.

Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $1.42, which includes $1.66 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 2020.  These amounts compare to total dividends declared during the quarter of $0.24 per share.  Net loss 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 loss. 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 March 31, 2020 was (22.2)%. 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 $(1.39) per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $1.63 from December 31, 2019.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 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 March 31, 2020, are subject to review by the Company’s independent registered public accounting firm.

  • RMBS Valuation Characteristics
  • RMBS Assets by Agency
  • Investment Company Act of 1940 Whole Pool Test Results
  • Repurchase Agreement Exposure by Counterparty
  • RMBS Risk Measures

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS,  such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2019.


RMBS Valuation Characteristics
($ in thousands)                 
            RealizedRealized    
            Mar 2020Jan - Mar Modeled Modeled
        Net  WeightedCPR2020 CPR Interest Interest
     %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face ValuePortfolio PriceCouponGWACAge(Months)in Apr)in Apr) (-50 BPS)(1) (+50 BPS)(1)
Pass Through RMBS                 
Post Reset ARM$951 $9840.03%$103.464.51%4.96% 188 1730.00%0.00%$(14)$21 
Fixed Rate CMO 163,125  173,4095.88% 106.304.00%4.40% 33 3239.12%9.25% 600  (833)
15yr 3.0 17,346  18,3330.62% 105.693.00%3.62% 2 1750.76%0.00% 139  (195)
15yr 3.5 34,201  36,4731.24% 106.643.50%3.96% 4 1722.99%0.00% 326  (409)
15yr 4.0 1,606  1,7230.06% 107.284.00%4.47% 23 1460.44%1.80% 20  (21)
15yr Total 53,153  56,5291.92% 106.353.35%3.86% 4 1722.19%1.80% 485  (625)
20yr 4.0 76,765  85,0442.88% 110.794.00%4.48% 32 2039.92%11.54% 1,399  (1,492)
20yr Total 76,765  85,0442.88% 110.794.00%4.48% 32 2039.92%11.54% 1,399  (1,492)
30yr 3.0 78,724  83,2982.82% 105.813.00%3.83% 9 34911.74%7.41% 960  (1,369)
30yr 3.5 1,216,938  1,307,07944.33% 107.413.50%4.04% 6 3509.23%6.82% 13,862  (18,759)
30yr 4.0 498,452  545,74918.51% 109.494.00%4.52% 13 3447.77%5.94% 7,827  (9,246)
30yr 4.5 352,127  388,07013.16% 110.214.50%5.00% 14 34515.17%14.30% 3,766  (4,318)
30yr 5.0 243,576  268,5419.11% 110.255.00%5.51% 22 33419.55%18.82% 2,881  (3,115)
30yr Total 2,389,817  2,592,73787.93% 108.493.89%4.42% 11 34610.94%9.82% 29,296  (36,807)
Total Pass Through RMBS 2,683,811  2,908,70398.64% 108.383.89%4.41% 12 33710.62%9.83% 31,766  (39,736)
Structured RMBS                 
Interest-Only Securities 385,726  40,0941.36% 10.394.00%4.59% 69 27825.62%22.86% (2,294) 4,296 
Total Structured RMBS 385,726  40,0941.36% 10.394.00%4.59% 69 27825.62%22.86% (2,294) 4,296 
Total Mortgage Assets$3,069,537 $2,948,797100.00%  3.90%4.44% 20 33012.51%11.91%$29,472 $(35,440)
                  
               Interest Interest
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance End          (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures$(50,000) Dec-2021          (438) 438 
Swaps (625,000) Jun-2024          (13,482) 13,482 
5-Year Treasury Futures (69,000) Jun-2020(2)          (2,088) 2,298 
Swaptions (750,000) Nov-2020          (1,026) 3,246 
Hedge Total$(1,494,000)           $(17,034)$19,464 
Rate Shock Grand Total             $12,438 $(15,976)
  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 $125.36 at March 31, 2020.  The market value of the short position was $86.5 million.


RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of March 31, 2020    As of March 31, 2020   
Fannie Mae$2,194,58274.4% Non-Whole Pool Assets$311,97010.6%
Freddie Mac 754,21525.6% Whole Pool Assets 2,636,82789.4%
Total Mortgage Assets$2,948,797100.0% Total Mortgage Assets$2,948,797100.0%
         


Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of March 31, 2020 Borrowings Debt Ratein DaysMaturity
Wells Fargo Bank, N.A.$351,748 12.5% 1.04%124/20/2020
Mirae Asset Securities (USA) Inc. 306,046 10.9% 1.76%405/13/2020
Merrill Lynch, Pierce, Fenner & Smith 291,341 10.4% 1.03%134/13/2020
Mitsubishi UFJ Securities (USA), Inc 213,624 7.6% 1.73%235/27/2020
Cantor Fitzgerald & Co 209,554 7.5% 0.87%134/15/2020
J.P. Morgan Securities LLC 197,448 7.0% 0.96%134/28/2020
Citigroup Global Markets Inc 186,012 6.6% 1.77%425/14/2020
ABN AMRO Bank N.V. 169,713 6.0% 1.50%375/14/2020
ING Financial Markets LLC 165,740 5.9% 0.89%54/9/2020
ASL Capital Markets Inc. 164,115 5.8% 1.67%265/28/2020
RBC Capital Markets, LLC 136,142 4.8% 1.77%435/13/2020
Guggenheim Securities, LLC 113,115 4.0% 1.77%515/28/2020
Daiwa Securities America Inc. 81,471 2.9% 1.58%265/12/2020
Barclays Capital Inc 78,326 2.8% 1.05%134/13/2020
Lucid Cash Fund USG LLC 58,120 2.1% 1.03%164/16/2020
Bank of Montreal 32,967 1.2% 1.78%435/13/2020
J.V.B. Financial Group, LLC 26,712 1.0% 0.80%204/20/2020
South Street Securities, LLC 26,370 0.9% 1.77%365/6/2020
Mizuho Securities USA, Inc 1,686 0.1% 1.50%214/21/2020
Total Borrowings$2,810,250 100.0% 1.35%245/28/2020


Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400