Orchid Island Capital Announces February 2018 Monthly Dividend and January 31, 2018 RMBS Portfolio Characteristics

  • February 2018 Monthly Dividend of $0.11 Per Share
  • RMBS Portfolio Characteristics as of January 31, 2018

VERO BEACH, Fla., Feb. 14, 2018 (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 February 2018. The dividend of $0.11 per share will be paid March 9, 2018, to holders of record on February 28, 2018, with an ex-dividend date of February 27, 2018.

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 February 14, 2018, the Company had 53,065,790 shares outstanding. At December 31, 2017, the Company had 53,061,904 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 31, 2018 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, 2017.

RMBS Valuation Characteristics
($ in thousands)
Current Fair CurrentofAverageJan 2018 CPR
Asset Category Face Value(1) PricePortfolioCoupon(Reported in Feb)
As of January 31, 2018
Adjustable Rate RMBS$1,654$1,747$105.610.04%3.95%0.01%
10-1 Hybrid Rate RMBS 26,654 26,663 100.040.69%2.59%2.98%
Hybrid Adjustable Rate RMBS 26,654 26,663 100.040.69%2.59%2.98%
15 Year Fixed Rate RMBS 38,517 39,663 102.981.02%3.50%4.14%
20 Year Fixed Rate RMBS 501,575 524,160 104.5013.49%4.00%3.88%
30 Year Fixed Rate RMBS 2,984,986 3,159,809 105.8681.33%4.32%5.60%
Total Fixed Rate RMBS 3,525,078 3,723,632 105.6395.84%4.26%5.34%
Total Pass-through RMBS 3,553,386 3,752,042 105.5996.58%4.25%5.32%
Interest-Only Securities 739,032 102,218 13.832.63%3.79%10.70%
Inverse Interest-Only Securities 263,123 30,845 11.720.79%4.06%10.40%
Structured RMBS 1,002,155 133,063 13.283.42%3.85%10.62%
Total Mortgage Assets$4,555,541$3,885,105 100.00%4.24%6.44%

RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test
($ in thousands) ($ in thousands)
Percentage Percentage
Fairof Fairof
Asset Category Value(1)Portfolio Asset Category Value(1)Portfolio
As of January 31, 2018 As of January 31, 2018
Fannie Mae$2,323,22359.8% Whole Pool Assets$3,064,51178.9%
Freddie Mac 1,555,96740.0% Non-Whole Pool Assets 820,59421.1%
Ginnie Mae 5,9150.2% Total Mortgage Assets$3,885,105100.0%
Total Mortgage Assets$3,885,105100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $10.1 million purchased in January 2018, which settle in February 2018, and exclude assets with a fair value of approximately $228.7 million sold in January 2018, which settle in February 2018.

Borrowings By Counterparty
($ in thousands)
% of Average
Total Total MaturityLongest
As of January 31, 2018 Borrowings(1) Debt in DaysMaturity
J.P. Morgan Securities LLC$603,161 15.3% 1088/10/2018
Mirae Asset Securities (USA) Inc. 402,817 10.3% 628/10/2018
Wells Fargo Bank, N.A. 297,322 7.6% 122/12/2018
Citigroup Global Markets Inc 225,857 5.8% 413/19/2018
RBC Capital Markets, LLC 219,183 5.6% 403/12/2018
Guggenheim Securities, LLC 213,281 5.5% 433/27/2018
Cantor Fitzgerald & Co 203,829 5.2% 162/16/2018
Mizuho Securities USA, Inc 195,900 5.0% 162/22/2018
ING Financial Markets LLC 192,964 4.9% 373/12/2018
Mitsubishi UFJ Securities (USA), Inc 184,733 4.7% 162/21/2018
ED&F Man Capital Markets Inc 167,519 4.3% 193/19/2018
Goldman, Sachs & Co 156,862 4.0% 233/29/2018
ICBC Financial Services LLC 151,117 3.9% 303/2/2018
Nomura Securities International, Inc. 136,972 3.5% 413/19/2018
KGS-Alpha Capital Markets, L.P 124,525 3.2% 718/14/2018
Natixis, New York Branch 104,563 2.7% 202/26/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 104,366 2.7% 102/14/2018
FHLB-Cincinnati 93,415 2.4% 12/1/2018
Daiwa Securities America Inc. 68,546 1.8% 102/12/2018
Lucid Cash Fund USG LLC 32,778 0.8% 152/15/2018
J.V.B. Financial Group, LLC 18,820 0.5% 323/13/2018
South Street Securities, LLC 10,948 0.3% 282/28/2018
Total Borrowings$3,909,478 100.0% 438/14/2018
(1) In January 2018, the Company purchased assets with a fair value of approximately $10.1 million, which settle in February 2018 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. In addition, the Company sold assets with a fair value of approximately $228.7 million, which settle in February 2018 that collateralize approximately $220.9 million of repurchase agreements included in the table above.

RMBS Risk Measures
($ in thousands)
Mortgage Assets
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 January 31, 2018
Adjustable Rate RMBS$1,7475 10.05%2.00%$10 $(5)
Hybrid Adjustable Rate RMBS 26,66359 7.59%2.00% 389 (404)
Total Fixed Rate RMBS 3,723,632n/a n/an/a 67,158 (93,954)
Total Pass-through RMBS 3,752,042n/a n/an/a 67,557 (94,363)
Interest-Only Securities 102,218n/a n/an/a (15,650) 7,676
Inverse Interest-Only Securities 30,8451 5.25%n/a 2,369 (4,129)
Structured RMBS 133,063n/a n/an/a (13,281) 3,547
Total Mortgage Assets$3,885,105n/a n/an/a$54,276 $(90,816)
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$1,183,333 Dec-2020$(16,098)$17,750
Treasury Futures Contracts - Short Positions 305,000 Mar-2018 (9,415) 8,490
Payer Swaps 1,010,000 Aug-2022 (13,193) 13,193
Payer Swaption 500,000 Jan-2028 (3,335) 8,239
TBA Short Positions 350,000 Feb-2018 (11,938) 14,745
Total Hedges (53,979) 62,417
Grand Total $297 $(28,399)

(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 and ten year treasury futures contracts were valued at prices of $114.71 and $121.58, respectively, at January 31, 2018. The notional contract value of the short position was $359.5 million.


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

Source:Orchid Island Capital, Inc.