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Orchid Island Capital Announces June 2018 Monthly Dividend and May 31, 2018 RMBS Portfolio Characteristics

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  • June 2018 Monthly Dividend of $0.09 Per Share
  • RMBS Portfolio Characteristics as of May 31, 2018
  • Next Dividend Announcement Expected July 18, 2018

VERO BEACH, Fla., June 19, 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 June 2018. The dividend of $0.09 per share will be paid July 10, 2018, to holders of record on June 29, 2018, with an ex-dividend date of June 28, 2018.  The Company plans on announcing its next dividend after the Board's meeting on July 18, 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 June 19, 2018, the Company had 52,029,274 shares outstanding. At March 31, 2018, the Company had 53,072,169 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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                      
($ in thousands)                      
                    Realized Realized
                    May 2018 Mar - May 
                  Weighted CPR 2018 CPR 
          Percentage     Weighted Average (1-Month) (3-Month)
    Current   Fair of   Current Average Maturity (Reported (Reported
Type   Face   Value(1) Portfolio   Price Coupon (Months) in Jun) in Jun)
Hybrid/ARM                      
<3y reset $ 1,632 $ 1,715 0.05 % $ 105.07 3.94 %  201 0.01 % 0.01 %
3y-5y reset   16,981   16,948 0.46 %   99.81 2.71 %  293 10.85 % 24.10 %
5y-7y reset   8,286   8,128 0.22 %   98.09 2.33 %  302 0.82 % 0.81 %
Total Hybrid/ARM   26,899   26,791 0.73 %   99.60 2.67 %  290 7.10 % 15.46 %
Fixed Rate RMBS                      
Fixed Rate CMO   353,652   367,879 10.08 %   104.02 4.35 %  295 5.46 % n/a  
Fixed Rate CMO Total   353,652   367,879 10.08 %   104.02 4.35 %  295 5.46 % n/a  
15yr 3.5   3,136   3,245 0.09 %   103.48 3.50 %  125 0.33 % 18.06 %
15yr 4.0   381,080   394,044 10.80 %   103.40 4.00 %  179 6.06 % 6.86 %
15yr Total   384,216   397,289 10.89 %   103.40 4.00 %  178 6.01 % 7.33 %
20yr 4.0   382,457   394,555 10.81 %   103.16 4.00 %  233 9.24 % 7.34 %
20yr 4.5   19,959   21,032 0.58 %   105.38 4.50 %  240 2.72 % n/a  
20yr Total   402,416   415,587 11.39 %   103.27 4.03 %  233 8.92 % 7.34 %
30yr 4.0   444,336   455,974 12.50 %   102.62 4.00 %  233 4.73 % 6.09 %
30yr 4.5   1,574,881   1,655,449 45.37 %   105.12 4.50 %  349 8.99 % 9.81 %
30yr 5.0   173,837   186,748 5.12 %   107.43 5.00 %  358 3.58 % 13.69 %
30yr Total   2,193,054   2,298,171 62.99 %   104.79 4.44 %  349 7.70 % 9.01 %
Total Fixed Rate RMBS   3,333,338   3,478,926 95.35 %   104.37 4.33 %  310 7.48 % 8.70 %
Structured RMBS                      
Interest-Only Securities   768,770   116,364 3.19 %   15.14 3.83 %  281 12.22 % 12.02 %
Inverse Interest-Only Securities   249,425   26,760 0.73 %   10.73 3.70 %  311 12.72 % 11.25 %
Total Structured RMBS   1,018,195   143,124 3.92 %   14.06 3.81 %  286 12.35 % 11.83 %
Total Mortgage Assets $ 4,378,432 $ 3,648,841 100.00 %     4.30 %  310 8.64 % 9.66 %


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 May 31, 2018         As of May 31, 2018      
Fannie Mae $ 2,149,939 58.9 %   Whole Pool Assets $ 2,435,083 66.7 %
Freddie Mac   1,493,462 41.0 %   Non-Whole Pool Assets   1,213,758 33.3 %
Ginnie Mae   5,440 0.1 %   Total Mortgage Assets $ 3,648,841 100.0 %
Total Mortgage Assets $ 3,648,841 100.0 %          
  1. Amounts in the tables above include assets with a fair value of approximately $113.9 million purchased in May 2018, which settle in June 2018, and exclude assets with a fair value of approximately $325.2 million sold in May 2018, which settle in June 2018.



Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of May 31, 2018   Borrowings(1)   Debt   in Days Maturity
Mirae Asset Securities (USA) Inc. $ 385,323   10.9 %   42 8/10/2018
J.P. Morgan Securities LLC   346,892   9.6 %   69 8/10/2018
RBC Capital Markets, LLC   315,102   8.7 %   21 6/29/2018
Mitsubishi UFJ Securities (USA), Inc   261,202   7.2 %   38 7/23/2018
Cantor Fitzgerald & Co   235,982   6.5 %   46 7/16/2018
Wells Fargo Bank, N.A.   224,820   6.2 %   13 6/13/2018
Citigroup Global Markets Inc   210,836   5.9 %   16 6/18/2018
ING Financial Markets LLC   166,274   4.6 %   10 6/11/2018
Guggenheim Securities, LLC   159,372   4.4 %   12 6/13/2018
ICBC Financial Services LLC   141,930   3.9 %   25 6/25/2018
ABN AMRO Bank N.V.   131,599   3.7 %   33 7/3/2018
Nomura Securities International, Inc.   129,118   3.6 %   22 7/24/2018
KGS-Alpha Capital Markets, L.P   120,715   3.3 %   26 8/14/2018
South Street Securities, LLC   118,154   3.3 %   56 7/30/2018
ASL Capital Markets Inc.   110,737   3.1 %   56 8/13/2018
Natixis, New York Branch   96,067   2.7 %   17 6/25/2018
FHLB-Cincinnati   90,640   2.5 %   1 6/1/2018
ED&F Man Capital Markets Inc   80,240   2.2 %   17 6/22/2018
Mizuho Securities USA, Inc   67,632   1.9 %   48 7/26/2018
Daiwa Securities America Inc.   66,129   1.8 %   9 6/11/2018
Goldman, Sachs & Co   54,283   1.5 %   71 8/10/2018
Lucid Cash Fund USG LLC   42,080   1.2 %   12 6/12/2018
Goldman, Sachs & Co   39,807   1.1 %   71 8/10/2018
J.V.B. Financial Group, LLC   8,532   0.2 %   14 6/14/2018
Total Borrowings $ 3,603,466   100.0 %   66,129 8/14/2018
  1. In May 2018, the Company purchased assets with a fair value of approximately $113.9 million, which settle in June 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 $325.2 million, which settle in June 2018 that collateralize approximately $310.6 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 May 31, 2018                    
Adjustable Rate RMBS $ 1,715 2   10.05% 2.00% $ 6   $ (5 )
Hybrid Adjustable Rate RMBS   25,075 55   7.57% 2.00%   355     (373 )
Fixed Rate RMBS   3,111,048 n/a   n/a n/a   60,294     (74,734 )
Fixed Rate CMO   367,879 n/a   n/a n/a   550     (3,834 )
Total Pass-through RMBS   3,505,717 n/a   n/a n/a   61,205     (78,946 )
Interest-Only Securities   116,364 n/a   n/a n/a   (14,020 )   9,549  
Inverse Interest-Only Securities   26,760 1   5.28% n/a   2,801     (3,395 )
Structured RMBS   143,124 n/a   n/a n/a   (11,219 )   6,154  
Total Mortgage Assets $ 3,648,841 n/a   n/a n/a $ 49,986   $ (72,792 )
                     
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 $ 1,475,000   Dec-2020 $ (18,438 ) $ 18,438  
Treasury Futures Contracts - Short Positions   165,000   Sep-2018   (2,975 )   5,511  
Payer Swaps   1,010,000   Aug-2022   (10,968 )   10,968  
Payer Swaption   750,000   Oct-2028   (7,765 )   18,821  
Receiver Swaption   100,000   Feb-2024   1,439     (618 )
TBA Short Positions   400,000   Jul-2018   (12,249 )   13,830  
Total Hedges         (50,956 )   66,950  
               
Grand Total       $ (970 ) $ (5,842 )
  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 $113.89 at May 31, 2018.  The notional contract value of the short position was $187.9 million.

Contact:

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

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