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

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  • 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)                      
                    Realized Realized
                    Jul 2018 May - Jul
                  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 Aug) in Aug)
Hybrid/ARM                      
<3y reset $ 1,621 $ 1,712 0.05 % $ 105.66 3.95 % 199 72.73 % 45.64 %
3y-5y reset   24,844   24,566 0.66 %   98.88 2.57 % 294 1.64 % 4.58 %
Total Hybrid/ARM   26,465   26,278 0.71 %   99.30 2.66 % 288 6.00 % 7.09 %
Fixed Rate RMBS                      
Fixed Rate CMO   518,404   535,897 14.31 %   103.37 4.39 % 297 6.61 % 6.81 %
Fixed Rate CMO Total   518,404   535,897 14.31 %   103.37 4.39 % 297 6.61 % 6.81 %
15yr 3.5   3,092   3,131 0.08 %   101.27 3.50 % 123 52.81 % 22.32 %
15yr 4.0   779,968   804,161 21.47 %   103.10 4.00 % 178 5.53 % 6.25 %
15yr Total   783,060   807,292 21.55 %   103.09 4.00 % 177 5.73 % 6.41 %
20yr 4.0   209,880   216,312 5.77 %   103.06 4.00 % 235 9.34 % 8.81 %
20yr 4.5   19,700   20,569 0.55 %   104.41 4.50 % 238 8.57 % 6.06 %
20yr Total   229,580   236,881 6.32 %   102.02 4.04 % 235 9.27 % 6.95 %
20yr 4.5   438,203   447,067 11.94 %   102.02 4.00 % 235 6.88 % 6.49 %
20yr 4.5   1,307,624   1,367,175 36.50 %   104.55 4.50 % 347 8.43 % 9.48 %
20yr 4.5   172,193   184,422 4.92 %   107.10 5.00 % 356 6.17 % 4.70 %
30yr Total   1,918,020   1,998,664 53.36 %   104.20 4.43 % 347 7.88 % 8.37 %
Total Fixed Rate RMBS   3,449,064   3,578,734 95.54 %   103.76 4.30 % 294 7.32 % 7.95 %
Total Pass Through RMBS   3,475,529   3,605,012 96.25 %   103.73 4.29 % 294 7.31 % 7.94 %
Structured RMBS                      
Interest-Only Securities   740,789   115,999 3.10 %   15.66 3.83 % 279 11.65 % 12.31 %
Inverse Interest-Only Securities   242,396   24,516 0.65 %   10.11 3.60 % 308 14.06 % 12.47 %
Total Structured RMBS   983,185   140,515 3.75 %   14.29 3.79 % 284 12.25 % 12.35 %
Total Mortgage Assets $ 4,458,714 $ 3,745,527 100.00 %     4.27 % 294 8.41 % 9.17 %
                               


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 July 31, 2018         As of July 31, 2018      
Fannie Mae $ 2,241,090 59.8 %   Whole Pool Assets $ 2,687,129 71.7 %
Freddie Mac   1,499,150 40.1 %   Non-Whole Pool Assets   1,058,398 28.3 %
Ginnie Mae   5,287 0.1 %   Total Mortgage Assets $ 3,745,527 100.0 %
Total Mortgage Assets $ 3,745,527 100.0 %          
                   

(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   Maturity Longest
As of July 31, 2018   Borrowings(1)   Debt   in Days Maturity
RBC Capital Markets, LLC $ 462,010   13.1 %   34 9/28/2018
Mirae Asset Securities (USA) Inc.   377,833   10.7 %   37 10/23/2018
J.P. Morgan Securities LLC   346,385   9.8 %   10 8/17/2018
Mitsubishi UFJ Securities (USA), Inc   229,586   6.5 %   37 9/17/2018
ICBC Financial Services LLC   198,184   5.6 %   34 9/14/2018
Cantor Fitzgerald & Co   185,269   5.2 %   15 8/15/2018
Citigroup Global Markets Inc   171,248   4.9 %   42 9/17/2018
Wells Fargo Bank, N.A.   163,599   4.6 %   22 8/27/2018
ING Financial Markets LLC   161,046   4.6 %   43 9/17/2018
Natixis, New York Branch   146,697   4.2 %   16 8/24/2018
ABN AMRO Bank N.V.   131,053   3.7 %   3 8/3/2018
FHLB-Cincinnati   100,032   2.8 %   1 8/1/2018
KGS-Alpha Capital Markets, L.P   99,545   2.8 %   27 9/14/2018
Daiwa Securities America Inc.   93,907   2.7 %   10 8/13/2018
South Street Securities, LLC   93,443   2.6 %   29 8/30/2018
ASL Capital Markets Inc.   91,202   2.6 %   33 9/17/2018
Guggenheim Securities, LLC   86,132   2.4 %   39 9/18/2018
Nomura Securities International, Inc.   80,805   2.3 %   38 10/22/2018
ED&F Man Capital Markets Inc   75,364   2.1 %   39 9/21/2018
Barclays Capital, Inc.   69,890   2.0 %   17 8/17/2018
Lucid Cash Fund USG LLC   56,095   1.6 %   9 8/9/2018
Goldman, Sachs & Co   51,489   1.5 %   10 8/10/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   37,408   1.1 %   25 8/30/2018
Mizuho Securities USA, Inc   13,667   0.4 %   46 9/21/2018
J.V.B. Financial Group, LLC   8,504   0.2 %   45 9/14/2018
Total Borrowings $ 3,530,393   100.0 %   27 10/23/2018
                 

(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   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 July 31, 2018                    
Adjustable Rate RMBS $ 1,712 10   9.97% 2.00% $ 5   $ (3 )
Hybrid Adjustable Rate RMBS   24,566 54   7.57% 2.00%   337     (350 )
Fixed Rate RMBS   3,042,837 n/a   n/a n/a   57,835     (68,684 )
Fixed Rate CMO   535,897 n/a   n/a n/a   2,669     (6,098 )
Total Pass-through RMBS   3,605,012 n/a   n/a n/a   60,846     (75,135 )
Interest-Only Securities   115,999 n/a   n/a n/a   (13,929 )   9,599  
Inverse Interest-Only Securities   24,516 1   6.30% n/a   2,662     (3,224 )
Structured RMBS   140,515 n/a   n/a n/a   (11,267 )   6,375  
Total Mortgage Assets $ 3,745,527 n/a   n/a n/a $ 49,579   $ (68,760 )
                     
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   (4,555 )   3,948  
Payer Swaps   1,010,000 Aug-2022   (10,182 )   10,182  
Payer Swaption   950,000 Oct-2028   (6,904 )   23,696  
Receiver Swaption   100,000 Feb-2024   1,125     (302 )
TBA Short Positions   400,000 n/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

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