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

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  • 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)                      
                  Percentage Weighted Realized
    Current     Fair     Current of Average Oct 2017 CPR
Asset Category   Face     Value(1)     Price Portfolio Coupon (Reported in Nov)
As of October 31, 2017                      
Adjustable Rate RMBS $ 1,671   $ 1,775   $ 106.20 0.04 % 3.94 % 0.01 %
10-1 Hybrid Rate RMBS   40,971     41,897     102.26 1.04 % 2.55 % 7.85 %
Hybrid Adjustable Rate RMBS   40,971     41,897     102.26 1.04 % 2.55 % 7.85 %
15 Year Fixed Rate RMBS   40,470     42,329     104.59 1.05 % 3.50 % 12.50 %
20 Year Fixed Rate RMBS   294,940     313,115     106.16 7.75 % 4.00 % 3.41 %
30 Year Fixed Rate RMBS   3,246,222     3,499,085     107.79 86.62 % 4.40 % 9.33 %
Total Fixed Rate RMBS   3,581,632     3,854,529     107.62 95.42 % 4.36 % 8.93 %
Total Pass-through RMBS   3,624,274     3,898,201     107.56 96.50 % 4.34 % 8.91 %
Interest-Only Securities   733,084     89,260     12.18 2.21 % 3.75 % 14.41 %
Inverse Interest-Only Securities   352,266     52,285     14.84 1.29 % 4.46 % 10.90 %
Structured RMBS   1,085,350     141,545     13.04 3.50 % 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   Maturity Longest
As of October 31, 2017   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 587,210   15.1 %   163 8/10/2018
Mirae Asset Securities (USA) Inc.   341,371   8.8 %   91 8/10/2018
Wells Fargo Bank, N.A.   274,064   7.0 %   9 11/9/2017
ICBC Financial Services LLC   245,943   6.3 %   13 11/13/2017
Cantor Fitzgerald & Co   237,557   6.1 %   17 11/20/2017
Citigroup Global Markets Inc   236,352   6.1 %   19 1/16/2018
Guggenheim Securities, LLC   227,226   5.8 %   58 1/12/2018
RBC Capital Markets, LLC   217,557   5.6 %   73 1/12/2018
Mitsubishi UFJ Securities (USA), Inc   203,722   5.2 %   21 1/22/2018
Mizuho Securities USA, Inc   203,149   5.2 %   14 11/21/2017
Goldman, Sachs & Co   169,463   4.4 %   17 11/30/2017
ED&F Man Capital Markets Inc   150,139   3.9 %   14 11/22/2017
Nomura Securities International, Inc.   139,490   3.6 %   61 1/29/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   137,566   3.5 %   10 11/13/2017
South Street Securities, LLC   129,474   3.3 %   12 11/27/2017
Natixis, New York Branch   128,339   3.3 %   17 11/27/2017
FHLB-Cincinnati   98,526   2.5 %   1 11/1/2017
Daiwa Securities America Inc.   75,326   1.9 %   11 11/13/2017
KGS-Alpha Capital Markets, L.P   66,351   1.7 %   110 8/14/2018
Lucid Cash Fund USG LLC   25,372   0.7 %   20 11/20/2017
Total Borrowings $ 3,894,197   100.0 %   53 8/14/2018
 (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   Weighted Weighted   Modeled   Modeled
      Months   Average Average   Interest   Interest
      To Next   Lifetime Periodic   Rate   Rate
    Fair Coupon Reset   Cap Cap 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 $ 1,775 7   10.05% 2.00% $ 13   $ (10 )
Hybrid Adjustable Rate RMBS   41,897 63   7.55% 2.00%   544     (634 )
Total Fixed Rate RMBS   3,854,529 n/a   n/a n/a   53,912     (77,532 )
Total Pass-through RMBS   3,898,201 n/a   n/a n/a   54,469     (78,176 )
Interest-Only Securities   89,260 n/a   n/a n/a   (13,482 )   11,435  
Inverse Interest-Only Securities   52,285 1   5.43% n/a   2,039     (3,958 )
Structured RMBS   141,545 n/a   n/a n/a   (11,443 )   7,477  
Total Mortgage Assets $ 4,039,746 n/a   n/a n/a $ 43,026   $ (70,699 )
                     
Funding Hedges                    
                Modeled   Modeled
                Interest   Interest
          Average Hedge   Rate   Rate
          Notional Period   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 

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