Orchid Island Capital Announces August 2018 Monthly Dividend and July 31, 2018 RMBS Portfolio Characteristics

  • August 2018 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of July 31, 2018
  • Next Dividend Announcement Expected September 17, 2018

VERO BEACH, Fla., Aug. 15, 2018 (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 August 2018. The dividend of $0.08 per share will be paid September 10, 2018, to holders of record on August 31, 2018, with an ex-dividend date of August 30, 2018. The Company plans on announcing its next dividend after the Board’s meeting on September 17, 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 August 15, 2018, the Company had 52,034,596 shares outstanding. At June 30, 2018, the Company had 52,034,596 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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)
RealizedRealized
Jul 2018May - Jul
WeightedCPR2018 CPR
Percentage WeightedAverage(1-Month)(3-Month)
Current Fairof CurrentAverageMaturity(Reported(Reported
Type Face Value(1)Portfolio PriceCoupon(Months)in Aug)in Aug)
Hybrid/ARM
<3y reset$1,621$1,7120.05%$105.663.95%19972.73%45.64%
3y-5y reset 24,844 24,5660.66% 98.882.57%2941.64%4.58%
Total Hybrid/ARM 26,465 26,2780.71% 99.302.66%2886.00%7.09%
Fixed Rate RMBS
Fixed Rate CMO 518,404 535,89714.31% 103.374.39%2976.61%6.81%
Fixed Rate CMO Total 518,404 535,89714.31% 103.374.39%2976.61%6.81%
15yr 3.5 3,092 3,1310.08% 101.273.50%12352.81%22.32%
15yr 4.0 779,968 804,16121.47% 103.104.00%1785.53%6.25%
15yr Total 783,060 807,29221.55% 103.094.00%1775.73%6.41%
20yr 4.0 209,880 216,3125.77% 103.064.00%2359.34%8.81%
20yr 4.5 19,700 20,5690.55% 104.414.50%2388.57%6.06%
20yr Total 229,580 236,8816.32% 102.024.04%2359.27%6.95%
20yr 4.5 438,203 447,06711.94% 102.024.00%2356.88%6.49%
20yr 4.5 1,307,624 1,367,17536.50% 104.554.50%3478.43%9.48%
20yr 4.5 172,193 184,4224.92% 107.105.00%3566.17%4.70%
30yr Total 1,918,020 1,998,66453.36% 104.204.43%3477.88%8.37%
Total Fixed Rate RMBS 3,449,064 3,578,73495.54% 103.764.30%2947.32%7.95%
Total Pass Through RMBS 3,475,529 3,605,01296.25% 103.734.29%2947.31%7.94%
Structured RMBS
Interest-Only Securities 740,789 115,9993.10% 15.663.83%27911.65%12.31%
Inverse Interest-Only Securities 242,396 24,5160.65% 10.113.60%30814.06%12.47%
Total Structured RMBS 983,185 140,5153.75% 14.293.79%28412.25%12.35%
Total Mortgage Assets$4,458,714$3,745,527100.00% 4.27%2948.41%9.17%


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 July 31, 2018 As of July 31, 2018
Fannie Mae$2,241,09059.8% Whole Pool Assets$2,687,12971.7%
Freddie Mac 1,499,15040.1% Non-Whole Pool Assets 1,058,39828.3%
Ginnie Mae 5,2870.1% Total Mortgage Assets$3,745,527100.0%
Total Mortgage Assets$3,745,527100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $61.9 million purchased in July 2018, which settle in August 2018, and exclude assets with a fair value of approximately $57.2 million sold in July 2018, which settle in August 2018.

Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of July 31, 2018 Borrowings(1) Debt in DaysMaturity
RBC Capital Markets, LLC$462,010 13.1% 349/28/2018
Mirae Asset Securities (USA) Inc. 377,833 10.7% 3710/23/2018
J.P. Morgan Securities LLC 346,385 9.8% 108/17/2018
Mitsubishi UFJ Securities (USA), Inc 229,586 6.5% 379/17/2018
ICBC Financial Services LLC 198,184 5.6% 349/14/2018
Cantor Fitzgerald & Co 185,269 5.2% 158/15/2018
Citigroup Global Markets Inc 171,248 4.9% 429/17/2018
Wells Fargo Bank, N.A. 163,599 4.6% 228/27/2018
ING Financial Markets LLC 161,046 4.6% 439/17/2018
Natixis, New York Branch 146,697 4.2% 168/24/2018
ABN AMRO Bank N.V. 131,053 3.7% 38/3/2018
FHLB-Cincinnati 100,032 2.8% 18/1/2018
KGS-Alpha Capital Markets, L.P 99,545 2.8% 279/14/2018
Daiwa Securities America Inc. 93,907 2.7% 108/13/2018
South Street Securities, LLC 93,443 2.6% 298/30/2018
ASL Capital Markets Inc. 91,202 2.6% 339/17/2018
Guggenheim Securities, LLC 86,132 2.4% 399/18/2018
Nomura Securities International, Inc. 80,805 2.3% 3810/22/2018
ED&F Man Capital Markets Inc 75,364 2.1% 399/21/2018
Barclays Capital, Inc. 69,890 2.0% 178/17/2018
Lucid Cash Fund USG LLC 56,095 1.6% 98/9/2018
Goldman, Sachs & Co 51,489 1.5% 108/10/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 37,408 1.1% 258/30/2018
Mizuho Securities USA, Inc 13,667 0.4% 469/21/2018
J.V.B. Financial Group, LLC 8,504 0.2% 459/14/2018
Total Borrowings$3,530,393 100.0% 2710/23/2018

(1) In July 2018, the Company purchased assets with a fair value of approximately $61.9 million, which settle in August 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 $57.2 million, which settle in August 2018 that collateralize approximately $55.3 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 July 31, 2018
Adjustable Rate RMBS$1,71210 9.97%2.00%$5 $(3)
Hybrid Adjustable Rate RMBS 24,56654 7.57%2.00% 337 (350)
Fixed Rate RMBS 3,042,837n/a n/an/a 57,835 (68,684)
Fixed Rate CMO 535,897n/a n/an/a 2,669 (6,098)
Total Pass-through RMBS 3,605,012n/a n/an/a 60,846 (75,135)
Interest-Only Securities 115,999n/a n/an/a (13,929) 9,599
Inverse Interest-Only Securities 24,5161 6.30%n/a 2,662 (3,224)
Structured RMBS 140,515n/a n/an/a (11,267) 6,375
Total Mortgage Assets$3,745,527n/a n/an/a$49,579 $(68,760)
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$1,475,000Dec-2020$(18,438)$18,438
Treasury Futures Contracts - Short Positions 165,000Sep-2018 (4,555) 3,948
Payer Swaps 1,010,000Aug-2022 (10,182) 10,182
Payer Swaption 950,000Oct-2028 (6,904) 23,696
Receiver Swaption 100,000Feb-2024 1,125 (302)
TBA Short Positions 400,000n/a (11,116) 13,028
Total Hedges (50,070) 68,990
Grand Total $(491)$230

(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 $113.13 at July 31, 2018. The notional contract value of the short position was $186.7 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.