Orchid Island Capital Announces November 2018 Monthly Dividend and October 31, 2018 RMBS Portfolio Characteristics


  • November 2018 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2018
  • Repurchased 966,484 shares through stock repurchase plan.
  • Next Dividend Announcement Expected December 10, 2018

VERO BEACH, Fla., Nov. 14, 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 November 2018. The dividend of $0.08 per share will be paid December 10, 2018, to holders of record on November 30, 2018, with an ex-dividend date of November 29, 2018.  The Company plans on announcing its next dividend after the Board’s meeting on December 10, 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 November 14, 2018, the Company had 51,072,684 shares outstanding, including 153,794 shares repurchased pursuant to the Company’s stock repurchase program through that date that have not yet settled. At September 30, 2018, the Company had 52,039,168 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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. 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    
            Oct 2018Aug - Oct    
        Net  WeightedCPR2018 CPR Modeled
Interest
 Modeled
Interest
     %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face Value(1)Portfolio PriceCouponGWACAge(Months)in Nov)in Nov) (-50 BPS)(2) (+50 BPS)(2)
ARM RMBS                 
ARM RMBS$1,356$1,4310.04%$105.554.75%5.19%1681930.13%0.59%$8 $(7)
Total ARM RMBS 1,356 1,4310.04% 105.554.75%5.19%1681930.13%0.59% 8  (7)
Fixed Rate RMBS                 
Fixed Rate CMO 732,772 749,09821.37% 102.234.27%4.61%83506.70%7.23% 8,043  (12,496)
Fixed Rate CMO Total 732,772 749,09821.37% 102.234.27%4.61%83506.70%7.23% 8,043  (12,496)
15yr 3.5 2,840 2,8460.08% 100.223.50%3.83%6111823.91%9.42% 55  (54)
15yr 4.0 810,434 827,62823.61% 102.124.00%4.52%51735.98%2.46% 15,966  (16,828)
15yr Total 813,274 830,47423.69% 102.114.00%4.51%61726.04%5.02% 16,021  (16,882)
20yr 4.0 203,040 206,2655.89% 101.594.00%4.47%182196.34%8.29% 4,915  (5,029)
20yr 4.5 18,723 19,3210.55% 103.204.50%5.13%72330.33%13.50% 320  (390)
20yr Total 221,763 225,5866.44% 100.394.04%4.52%172205.83%8.73% 5,235  (5,419)
30yr 4.0 309,409 310,6068.86% 100.394.00%4.48%203372.86%4.56% 8,542  (9,610)
30yr 4.5 1,031,528 1,065,81830.41% 103.324.50%4.92%133457.00%7.58% 22,387  (27,127)
30yr 5.0 168,487 178,1265.08% 105.725.00%5.50%83515.68%6.45% 3,121  (3,890)
30yr Total 1,509,424 1,554,55044.35% 102.994.45%4.90%143446.00%7.16% 34,050  (40,627)
Total Fixed Rate RMBS 3,277,233 3,359,70895.84% 102.524.27%4.71%112946.16%7.00% 63,349  (75,424)
Total Pass Through RMBS 3,278,589 3,361,13995.88% 102.524.27%4.71%112946.15%6.99% 63,357  (75,431)
Structured RMBS                 
Interest-Only Securities 740,822 121,4603.48% 16.363.71%4.30%602499.46%10.28% (12,127) 8,120 
Inverse Interest-Only Securities 231,414 22,4150.64% 9.692.85%4.86%522998.88%11.20% 2,822  (3,206)
Total Structured RMBS 972,236 143,8754.12% 14.803.51%4.43%582619.32%10.51% (9,305) 4,914 
Total Mortgage Assets$4,250,825$3,505,014100.0%  4.10%4.65%222876.88%7.87%$54,052 $(70,517)
                  


                  
               Interest Interest
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance End          (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures (1,725,000) Feb-2020         $(17,250)$17,250
Swaps (1,260,000) Oct-2020          (13,477) 13,477
5-Year Treasury Future (165,000) Dec-2018(3)          (3,630) 4,594
TBA (500,000) Nov-2018          (13,801) 16,258
Swaptions (850,000) Mar-2028          (5,031) 24,820
Hedge Total (4,500,000)           $(53,189)$76,399
Rate Shock Grand Total             $863 $5,882
                   

(1) Amounts in the tables above exclude assets with a fair value of approximately $13.6 million sold in October 2018, which settle in November 2018.
(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 $112.38 at October 31, 2018.  The notional contract value of the short position was $185.4 million.

      
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 October 31, 2018    As of October 31, 2018   
Fannie Mae$1,983,01656.6% Non-Whole Pool Assets$1,116,83431.9%
Freddie Mac 1,517,10243.3% Whole Pool Assets 2,388,18068.1%
Ginnie Mae 4,8960.1% Total Mortgage Assets$3,505,014100.0%
Total Mortgage Assets$3,505,014100.0%     
          

(1) Amounts in the tables above exclude assets with a fair value of approximately $13.6 million sold in October 2018, which settle in November 2018.

         
Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of October 31, 2018 Borrowings(1) Debt Ratein DaysMaturity
J.P. Morgan Securities LLC$481,212 14.2% 2.37%351/14/2019
RBC Capital Markets, LLC 447,484 13.4% 2.41%461/30/2019
Mirae Asset Securities (USA) Inc. 369,342 11.1% 2.29%1011/23/2018
Wells Fargo Bank, N.A. 265,778 8.0% 2.37%2711/30/2018
Citigroup Global Markets Inc 239,712 7.2% 2.40%1911/28/2018
Mitsubishi UFJ Securities (USA), Inc 220,094 6.6% 2.34%1711/19/2018
ICBC Financial Services LLC 186,561 5.6% 2.30%3212/13/2018
Cantor Fitzgerald & Co 178,673 5.4% 2.24%1311/13/2018
ABN AMRO Bank N.V. 153,860 4.6% 2.28%3612/13/2018
ED&F Man Capital Markets Inc 121,029 3.6% 2.25%911/9/2018
ING Financial Markets LLC 112,007 3.4% 2.33%1311/29/2018
FHLB-Cincinnati 98,013 2.9% 2.30%111/1/2018
Natixis, New York Branch 89,660 2.7% 2.55%1811/23/2018
South Street Securities, LLC 80,063 2.4% 2.35%2811/29/2018
Guggenheim Securities, LLC 57,514 1.7% 2.29%1511/16/2018
Lucid Cash Fund USG LLC 53,383 1.6% 2.43%1511/15/2018
Bank of Montreal 49,342 1.5% 2.37%1411/14/2018
Daiwa Securities America Inc. 45,131 1.4% 2.36%511/5/2018
ASL Capital Markets Inc. 41,197 1.2% 2.26%1411/19/2018
J.V.B. Financial Group, LLC 15,374 0.5% 2.36%1511/15/2018
Mizuho Securities USA, Inc 10,083 0.3% 2.37%2111/21/2018
Merrill Lynch, Pierce, Fenner & Smith 8,855 0.3% 2.78%611/13/2018
Lucid Prime Fund, LLC 5,591 0.2% 2.84%1511/15/2018
Nomura Securities International, Inc. 5,442 0.2% 2.40%5112/21/2018
Total Borrowings$3,335,400 100.0% 2.35%241/30/2019
           

(1) In October 2018, the Company sold assets with a fair value of approximately $13.6 million, which settle in November 2018 that collateralize approximately $13.2 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