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Orchid Island Capital Announces November 2017 Monthly Dividend and October 31, 2017 RMBS Portfolio Characteristics

  • November 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2017

VERO BEACH, Fla., Nov. 08, 2017 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of November 2017. The dividend of $0.14 per share will be paid December 8, 2017, to holders of record on November 30, 2017, with an ex-dividend date of November 29, 2017.

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 November 8, 2017, the Company had 46,175,846 shares outstanding. At September 30, 2017, the Company had 45,309,169 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 2017 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 in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

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 and the expected funding of purchased assets and anticipated borrowings. 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, 2016.

RMBS Valuation Characteristics
($ in thousands)
PercentageWeightedRealized
Current Fair CurrentofAverageOct 2017 CPR
Asset Category Face Value(1) PricePortfolioCoupon(Reported in Nov)
As of October 31, 2017
Adjustable Rate RMBS$1,671 $1,775 $106.200.04%3.94%0.01%
10-1 Hybrid Rate RMBS 40,971 41,897 102.261.04%2.55%7.85%
Hybrid Adjustable Rate RMBS 40,971 41,897 102.261.04%2.55%7.85%
15 Year Fixed Rate RMBS 40,470 42,329 104.591.05%3.50%12.50%
20 Year Fixed Rate RMBS 294,940 313,115 106.167.75%4.00%3.41%
30 Year Fixed Rate RMBS 3,246,222 3,499,085 107.7986.62%4.40%9.33%
Total Fixed Rate RMBS 3,581,632 3,854,529 107.6295.42%4.36%8.93%
Total Pass-through RMBS 3,624,274 3,898,201 107.5696.50%4.34%8.91%
Interest-Only Securities 733,084 89,260 12.182.21%3.75%14.41%
Inverse Interest-Only Securities 352,266 52,285 14.841.29%4.46%10.90%
Structured RMBS 1,085,350 141,545 13.043.50%4.02%13.27%
Total Mortgage Assets$4,709,624 $4,039,746 100.00%4.33%9.96%


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 October 31, 2017 As of October 31, 2017
Fannie Mae$2,539,588 62.9% Whole Pool Assets$3,407,266 84.3%
Freddie Mac 1,493,915 36.9% Non-Whole Pool Assets 632,480 15.7%
Ginnie Mae 6,243 0.2% Total Mortgage Assets$4,039,746 100.0%
Total Mortgage Assets$4,039,746 100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $213.5 million purchased in October 2017, which settle in November 2017, and exclude assets with a fair value of approximately $275.3 million sold in October 2017, which settle in November 2017.


Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of October 31, 2017 Borrowings(1) Debt in DaysMaturity
J.P. Morgan Securities LLC$587,210 15.1% 1638/10/2018
Mirae Asset Securities (USA) Inc. 341,371 8.8% 918/10/2018
Wells Fargo Bank, N.A. 274,064 7.0% 911/9/2017
ICBC Financial Services LLC 245,943 6.3% 1311/13/2017
Cantor Fitzgerald & Co 237,557 6.1% 1711/20/2017
Citigroup Global Markets Inc 236,352 6.1% 191/16/2018
Guggenheim Securities, LLC 227,226 5.8% 581/12/2018
RBC Capital Markets, LLC 217,557 5.6% 731/12/2018
Mitsubishi UFJ Securities (USA), Inc 203,722 5.2% 211/22/2018
Mizuho Securities USA, Inc 203,149 5.2% 1411/21/2017
Goldman, Sachs & Co 169,463 4.4% 1711/30/2017
ED&F Man Capital Markets Inc 150,139 3.9% 1411/22/2017
Nomura Securities International, Inc. 139,490 3.6% 611/29/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 137,566 3.5% 1011/13/2017
South Street Securities, LLC 129,474 3.3% 1211/27/2017
Natixis, New York Branch 128,339 3.3% 1711/27/2017
FHLB-Cincinnati 98,526 2.5% 111/1/2017
Daiwa Securities America Inc. 75,326 1.9% 1111/13/2017
KGS-Alpha Capital Markets, L.P 66,351 1.7% 1108/14/2018
Lucid Cash Fund USG LLC 25,372 0.7% 2011/20/2017
Total Borrowings$3,894,197 100.0% 538/14/2018
(1) In October 2017, the Company purchased assets with a fair value of approximately $213.5 million which settle in November 2017 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In addition, in October 2017, the Company sold assets with a fair value of approximately $275.3 million which settle in November 2017 that collateralize approximately $189.9 million of repurchase agreements included in the table above.


RMBS Risk Measures
($ in thousands)
Mortgage Assets
Weighted
Average WeightedWeighted Modeled Modeled
Months AverageAverage Interest Interest
To Next LifetimePeriodic Rate Rate
FairCoupon Reset CapCap Per Year Sensitivity Sensitivity
Asset Category Value(if applicable) (if applicable)(if applicable) (-50 BPS)(1) (+50 BPS)(1)
As of October 31, 2017
Adjustable Rate RMBS$1,7757 10.05%2.00%$13 $(10)
Hybrid Adjustable Rate RMBS 41,89763 7.55%2.00% 544 (634)
Total Fixed Rate RMBS 3,854,529n/a n/an/a 53,912 (77,532)
Total Pass-through RMBS 3,898,201n/a n/an/a 54,469 (78,176)
Interest-Only Securities 89,260n/a n/an/a (13,482) 11,435
Inverse Interest-Only Securities 52,2851 5.43%n/a 2,039 (3,958)
Structured RMBS 141,545n/a n/an/a (11,443) 7,477
Total Mortgage Assets$4,039,746n/a n/an/a$43,026 $(70,699)
Funding Hedges
Modeled Modeled
Interest Interest
AverageHedge Rate Rate
NotionalPeriod Sensitivity Sensitivity
Balance(2)End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions$976,923 Dec-2020$(13,988)$15,875
Treasury Futures Contracts - Short Positions 115,000 Dec-2027 (4,478) 4,337
Payer Swaps 1,010,000 Aug-2022 (14,610) 14,610
Payer Swaption 200,000 Sep-2025 (1,952) 3,666
TBA Short Positions 425,000 Nov-2017 (9,348) 12,462
Total Hedges (44,376) 50,950
Grand Total $(1,350)$(19,749)
(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) Treasury futures contracts were valued at a price of $124.94 at October 31, 2017. The notional contract value of the short position was $143.7 million.

Contact:

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

Source:Orchid Island Capital Inc.