- June 2019 Monthly Dividend of $0.08 Per Share
- RMBS Portfolio Characteristics as of May 31, 2019
- Next Dividend Announcement Expected July 17, 2019
VERO BEACH, Fla., June 11, 2019 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") ORC announced today that the Board of Directors (the "Board") declared a monthly cash dividend for the month of June 2019. The dividend of $0.08 per share will be paid July 31, 2019, to holders of record on June 28, 2019, with an ex-dividend date of June 27, 2019. The Company plans on announcing its next dividend after the Board's meeting on July 17, 2019.
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 11, 2019, the Company had 53,507,949 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of May 31, 2019 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, 2018.
| RMBS Valuation Characteristics | |||||||||||||||||||||||||
| ($ in thousands) | |||||||||||||||||||||||||
| Realized | Realized | ||||||||||||||||||||||||
| May 2019 | Mar - May | Modeled | Modeled | ||||||||||||||||||||||
| Net | Weighted | CPR | 2019 CPR | Interest | Interest | ||||||||||||||||||||
| % | Weighted | Average | (1-Month) | (3-Month) | Rate | Rate | |||||||||||||||||||
| Current | Fair | of | Current | Average | Maturity | (Reported | (Reported | Sensitivity | Sensitivity | ||||||||||||||||
| Type | Face | Value(1) | Portfolio | Price | Coupon | GWAC | Age | (Months) | in Jun) | in Jun) | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||
| Pass Through RMBS | |||||||||||||||||||||||||
| Post Reset ARM | $ | 1,132 | $ | 1,197 | 0.03 | % | $ | 105.83 | 4.78 | % | 5.22 | % | 177 | 184 | - | - | $ | 7 | $ | (8 | ) | ||||
| Fixed Rate CMO | 665,655 | 693,481 | 19.20 | % | 104.18 | 4.26 | % | 4.60 | % | 15 | 342 | 16.85 | % | 14.18 | % | (1,865 | ) | 193 | |||||||
| 15yr 4.0 | 397,728 | 418,787 | 11.59 | % | 105.29 | 4.00 | % | 4.53 | % | 12 | 165 | 8.17 | % | 9.24 | % | 6,636 | (7,145 | ) | |||||||
| 15yr Total | 397,728 | 418,787 | 11.59 | % | 105.29 | 4.00 | % | 4.53 | % | 12 | 165 | 8.17 | % | 9.24 | % | 6,636 | (7,145 | ) | |||||||
| 20yr 4.0 | 86,719 | 91,787 | 2.54 | % | 105.84 | 4.00 | % | 4.48 | % | 22 | 214 | 10.95 | % | 10.00 | % | 1,812 | (1,938 | ) | |||||||
| 20yr Total | 86,719 | 91,787 | 2.54 | % | 105.84 | 4.00 | % | 4.48 | % | 22 | 214 | 10.95 | % | 10.00 | % | 1,812 | (1,938 | ) | |||||||
| 30yr 3.0 | 260,163 | 259,065 | 7.17 | % | 99.58 | 3.00 | % | 4.29 | % | 1 | 358 | 3.92 | % | - | 3,232 | (5,599 | ) | ||||||||
| 30yr 3.5 | 115,498 | 119,224 | 3.30 | % | 103.23 | 3.50 | % | 4.30 | % | 9 | 348 | 9.00 | % | 8.79 | % | 1,824 | (2,685 | ) | |||||||
| 30yr 4.0 | 743,180 | 781,683 | 21.64 | % | 105.18 | 4.00 | % | 4.67 | % | 13 | 345 | 7.48 | % | 8.12 | % | 8,815 | (13,518 | ) | |||||||
| 30yr 4.5 | 259,040 | 272,845 | 7.55 | % | 105.33 | 4.50 | % | 5.24 | % | 9 | 350 | 13.85 | % | 13.51 | % | 2,340 | (3,230 | ) | |||||||
| 30yr 5.0 | 778,387 | 847,021 | 23.45 | % | 108.82 | 5.00 | % | 5.52 | % | 12 | 347 | 12.66 | % | 13.68 | % | 7,540 | (10,109 | ) | |||||||
| 30yr Total | 2,156,268 | 2,279,838 | 63.11 | % | 105.73 | 4.27 | % | 4.98 | % | 10 | 348 | 9.90 | % | 10.81 | % | 23,751 | (35,141 | ) | |||||||
| Total Pass Through RMBS | 3,307,502 | 3,485,090 | 96.48 | % | 105.37 | 4.23 | % | 4.84 | % | 12 | 321 | 11.16 | % | 11.63 | % | 30,341 | (44,039 | ) | |||||||
| Structured RMBS | |||||||||||||||||||||||||
| Interest-Only Securities | 787,350 | 102,122 | 2.83 | % | 12.97 | 3.76 | % | 4.35 | % | 64 | 252 | 14.74 | % | 12.38 | % | (16,417 | ) | 16,261 | |||||||
| Inverse Interest-Only Securities | 212,234 | 25,121 | 0.70 | % | 11.84 | 2.67 | % | 4.86 | % | 59 | 292 | 10.98 | % | 9.99 | % | 1,250 | (2,025 | ) | |||||||
| Total Structured RMBS | 999,584 | 127,243 | 3.52 | % | 12.73 | 3.53 | % | 4.45 | % | 63 | 261 | 13.94 | % | 11.83 | % | (15,167 | ) | 14,236 | |||||||
| Total Mortgage Assets | $ | 4,307,086 | $ | 3,612,333 | 100.00 | % | 4.07 | % | 4.75 | % | 24 | 307 | 11.82 | % | 11.70 | % | $ | 15,174 | $ | (29,803 | ) | ||||
| Interest | Interest | ||||||||||||||||||||||||
| Average | Hedge | Rate | Rate | ||||||||||||||||||||||
| Notional | Period | Sensitivity | Sensitivity | ||||||||||||||||||||||
| Hedge | Balance | End | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||||||||||
| Eurodollar Futures | $ | (457,143 | ) | Dec-2020 | $ | (4,000 | ) | $ | 4,000 | ||||||||||||||||
| Swaps | (1,710,000 | ) | Nov-2021 | (22,166 | ) | 22,166 | |||||||||||||||||||
| 5-Year Treasury Future | (165,000 | ) | Sep-2019(3) | (4,884 | ) | 3,967 | |||||||||||||||||||
| TBA | (125,000 | ) | Jun-2019 | (1,423 | ) | 2,357 | |||||||||||||||||||
| Swaptions | (350,000 | ) | Sep-2024 | (949 | ) | 3,763 | |||||||||||||||||||
| Hedge Total | $ | (2,807,143 | ) | $ | (33,422 | ) | $ | 36,253 | |||||||||||||||||
| Rate Shock Grand Total | $ | (18,248 | ) | $ | 6,450 | ||||||||||||||||||||
| (1) | Amounts in the tables above include assets with a fair value of approximately $116.1 million purchased in May 2019, which settle in June 2019, and exclude assets with a fair value of approximately $448.9 million sold in May 2019, which settle in June 2019. | |
| (2) | 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. | |
| (3) | Five year treasury futures contracts were valued at prices of $117.37 at May 31, 2019. The notional contract value of the short position was $193.7 million. |
| RMBS Assets by Agency | Investment Company Act of 1940 Whole Pool Test | ||||||||||
| ($ in thousands) | ($ in thousands) | ||||||||||
| Percentage | Percentage | ||||||||||
| Fair | of | Fair | of | ||||||||
| Asset Category | Value(1) | Portfolio | Asset Category | Value(1) | Portfolio | ||||||
| As of May 31, 2019 | As of May 31, 2019 | ||||||||||
| Fannie Mae | $ | 2,437,653 | 67.5 | % | Non-Whole Pool Assets | $ | 1,234,031 | 34.2 | % | ||
| Freddie Mac | 1,171,650 | 32.4 | % | Whole Pool Assets | 2,378,302 | 65.8 | % | ||||
| Ginnie Mae | 3,030 | 0.1 | % | Total Mortgage Assets | $ | 3,612,333 | 100.0 | % | |||
| Total Mortgage Assets | $ | 3,612,333 | 100.0 | % | |||||||
| (1) | Amounts in the tables above include assets with a fair value of approximately $116.1 million purchased in May 2019, which settle in June 2019 and exclude assets with a fair value of approximately $448.9 million sold in May 2019, which settle in June 2019. |
| Borrowings By Counterparty | ||||||||
| ($ in thousands) | ||||||||
| Weighted | Weighted | |||||||
| % of | Average | Average | ||||||
| Total | Total | Repo | Maturity | Longest | ||||
| As of May 31, 2019 | Borrowings(1) | Debt | Rate | in Days | Maturity | |||
| Barclays Capital Inc. | $ | 544,359 | 14.5% | 2.63% | 12 | 6/12/2019 | ||
| RBC Capital Markets, LLC | 459,588 | 12.3% | 2.67% | 34 | 7/15/2019 | |||
| Wells Fargo Bank, N.A. | 364,390 | 9.8% | 2.61% | 39 | 7/22/2019 | |||
| Mirae Asset Securities (USA) Inc. | 296,255 | 8.0% | 2.64% | 116 | 10/9/2019 | |||
| J.P. Morgan Securities LLC | 248,692 | 6.7% | 2.61% | 159 | 11/12/2019 | |||
| ING Financial Markets LLC | 225,275 | 6.0% | 2.64% | 50 | 7/31/2019 | |||
| Mitsubishi UFJ Securities (USA), Inc | 197,351 | 5.3% | 2.60% | 121 | 11/12/2019 | |||
| South Street Securities, LLC | 177,058 | 4.8% | 2.61% | 248 | 4/9/2020 | |||
| Cantor Fitzgerald & Co | 163,878 | 4.4% | 2.63% | 60 | 8/12/2019 | |||
| ASL Capital Markets Inc. | 159,022 | 4.3% | 2.61% | 92 | 10/7/2019 | |||
| ABN AMRO Bank N.V. | 152,165 | 4.1% | 2.64% | 67 | 8/6/2019 | |||
| Citigroup Global Markets Inc | 137,594 | 3.7% | 2.66% | 73 | 8/29/2019 | |||
| ICBC Financial Services LLC | 111,211 | 3.0% | 2.64% | 51 | 8/12/2019 | |||
| ED&F Man Capital Markets Inc | 97,735 | 2.6% | 2.63% | 85 | 10/7/2019 | |||
| Guggenheim Securities, LLC | 90,357 | 2.4% | 2.62% | 91 | 9/30/2019 | |||
| FHLB-Cincinnati | 80,539 | 2.2% | 2.59% | 3 | 6/3/2019 | |||
| Natixis, New York Branch | 54,126 | 1.5% | 2.73% | 14 | 6/14/2019 | |||
| Lucid Cash Fund USG LLC | 48,078 | 1.3% | 2.65% | 13 | 6/13/2019 | |||
| Bank of Montreal | 43,839 | 1.2% | 2.69% | 16 | 6/27/2019 | |||
| Merrill Lynch, Pierce, Fenner & Smith | 31,290 | 0.8% | 2.78% | 21 | 7/1/2019 | |||
| J.V.B. Financial Group, LLC | 24,040 | 0.6% | 2.60% | 50 | 8/15/2019 | |||
| Lucid Prime Fund, LLC | 17,252 | 0.5% | 2.70% | 13 | 6/13/2019 | |||
| Total Borrowings | $ | 3,724,094 | 100.0% | 2.63% | 70 | 4/9/2020 |
| (1) | In May 2019, the Company purchased assets with a fair value of approximately $116.1 million, which settle in June 2019 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 $448.9 million, which settle in June 2019 that collateralize approximately $435.4 million of repurchase agreements included in the table above. |
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
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