Orchid Island Capital Announces December 2018 Monthly Dividend and November 30, 2018 RMBS Portfolio Characteristics


  • December 2018 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of November 30, 2018
  • Repurchased 1,288,497 shares through stock repurchase plan.
  • Next Dividend Announcement Expected January 10, 2019

VERO BEACH, Fla., Dec. 10, 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 December 2018. The dividend of $0.08 per share will be paid January 10, 2019, to holders of record on December 31, 2018, with an ex-dividend date of December 28, 2018.  The Company plans on announcing its next dividend after the Board’s meeting on January 10, 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 December 10, 2018, the Company had 50,710,671 shares outstanding, including 53,139 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 November 30, 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)                    
              RealizedRealized     
              Nov 2018Sep - Nov  Modeled Modeled
          Net  WeightedCPR2018 CPR  Interest 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 Dec)in Dec)  (-50 BPS)(2) (+50 BPS)(2)
ARM RMBS                    
ARM RMBS$1,351 $1,4260.04% $105.544.75%5.19%1691920.01%0.05% $10 $(8)
Total ARM RMBS 1,351  1,4260.04%  105.544.75%5.19%1691920.01%0.05%  10  (8)
Fixed Rate RMBS                    
Fixed Rate CMO 725,061  745,40221.39%  102.814.27%4.61%93497.44%7.18%  6,732  (10,382)
Fixed Rate CMO Total 725,061  745,40221.39%  102.814.27%4.61%93497.44%7.18%  6,732  (10,382)
15yr 3.5 2,756  2,7760.08%  100.713.50%3.84%6211712.06%12.57%  53  (53)
15yr 4.0 626,938  642,18818.42%  102.434.00%4.51%61726.80%6.18%  12,203  (12,730)
15yr Total 629,694  644,96418.50%  102.434.00%4.51%61716.82%6.27%  12,256  (12,783)
20yr 4.0 201,319  205,7415.90%  102.204.00%4.47%192189.72%8.19%  4,693  (4,806)
20yr 4.5 18,671  19,3760.56%  103.784.50%5.13%823112.98%9.62%  291  (356)
20yr Total 219,990  225,1176.46%  101.064.04%4.52%182199.99%8.31%  4,984  (5,162)
30yr 4.0 258,721  261,4697.50%  101.064.00%4.49%233344.94%5.18%  6,568  (7,458)
30yr 4.5 1,233,543  1,277,52136.65%  103.574.50%4.93%123476.63%7.43%  22,876  (28,439)
30yr 5.0 167,461  177,4005.09%  105.945.00%5.50%93497.63%7.39%  2,820  (3,464)
30yr Total 1,659,725  1,716,39049.24%  103.414.47%4.92%133466.47%7.02%  32,264  (39,361)
Total Fixed Rate RMBS 3,234,470  3,331,87395.59%  103.014.30%4.74%113046.99%7.12%  56,236  (67,688)
Total Pass Through RMBS 3,235,821  3,333,29995.63%  103.014.30%4.74%113046.99%7.12%  56,246  (67,696)
Structured RMBS                    
Interest-Only Securities 782,741  129,6913.72%  16.573.73%4.32%572558.89%9.88%  (12,373) 9,049 
Inverse Interest-Only Securities 228,742  22,5170.65%  9.842.82%4.86%5329811.47%10.54%  2,879  (3,354)
Total Structured RMBS 1,011,483  152,2084.37%  15.053.53%4.44%562659.49%10.09%  (9,494) 5,695 
Total Mortgage Assets$4,247,304 $3,485,507100.00%   4.12%4.67%222947.57%7.75% $46,752 $(62,001)
                     


               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          (13,144) 13,144 
5-Year Treasury Future (165,000) Dec-2018(3)          (5,408) 2,902
 
TBA (430,000) Dec-2018          (10,725) 13,284 
Swaptions (850,000) Mar-2028          381
  23,523
 
Hedge Total (4,430,000)           $(46,146)$70,103
 
Rate Shock Grand Total             $606
 $8,102 


(1) Amounts in the tables above include assets with a fair value of approximately $232.5 million purchased in November 2018, which settle in December 2018, and exclude assets with a fair value of approximately $65.5 million sold in November 2018, which settle in December 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 $112.96 at November 30, 2018.  The notional contract value of the short position was $186.4 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 November 30, 2018    As of November 30, 2018   
Fannie Mae$1,751,44450.2% Non-Whole Pool Assets$1,098,68631.5%
Freddie Mac 1,729,63449.7% Whole Pool Assets 2,386,82168.5%
Ginnie Mae 4,4290.1% Total Mortgage Assets$3,485,507100.0%
Total Mortgage Assets$3,485,507100.0%     


(1) Amounts in the tables above include assets with a fair value of approximately $232.5 million purchased in November 2018, which settle in December 2018, and exclude assets with a fair value of approximately $65.5 million sold in November 2018, which settle in December 2018.


Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of November 30, 2018 Borrowings(1) Debt Ratein DaysMaturity
J.P. Morgan Securities LLC$485,040 15.6% 2.42%221/15/2019
RBC Capital Markets, LLC 436,775 14.1% 2.51%441/30/2019
Mirae Asset Securities (USA) Inc. 357,023 11.5% 2.51%652/13/2019
Wells Fargo Bank, N.A. 264,885 8.5% 2.43%1812/26/2018
Citigroup Global Markets Inc 222,055 7.2% 2.47%321/28/2019
Mitsubishi UFJ Securities (USA), Inc 205,879 6.6% 2.55%782/19/2019
ICBC Financial Services LLC 183,034 5.9% 2.36%1612/20/2018
Cantor Fitzgerald & Co 173,558 5.6% 2.54%752/13/2019
ABN AMRO Bank N.V. 153,860 5.0% 2.28%612/13/2018
ING Financial Markets LLC 108,554 3.5% 2.53%662/12/2019
FHLB-Cincinnati 97,710 3.1% 2.39%312/3/2018
South Street Securities, LLC 82,841 2.7% 2.57%612/14/2019
Natixis, New York Branch 71,947 2.3% 2.52%1612/21/2018
Daiwa Securities America Inc. 44,313 1.4% 2.41%512/5/2018
ASL Capital Markets Inc. 39,041 1.3% 2.55%752/13/2019
Lucid Cash Fund USG LLC 36,712 1.2% 2.47%1312/13/2018
Bank of Montreal 35,598 1.1% 2.39%1412/14/2018
Guggenheim Securities, LLC 26,394 0.9% 2.39%1312/13/2018
Lucid Prime Fund, LLC 21,690 0.7% 2.51%1312/13/2018
Merrill Lynch, Pierce, Fenner & Smith 19,246 0.6% 2.89%2812/28/2018
ED&F Man Capital Markets Inc 13,687 0.4% 2.39%712/7/2018
J.V.B. Financial Group, LLC 10,042 0.3% 2.54%772/15/2019
Mizuho Securities USA, Inc 9,682 0.3% 2.42%2112/21/2018
Nomura Securities International, Inc. 5,442 0.2% 2.40%2112/21/2018
Total Borrowings$3,105,007 100.0% 2.47%382/19/2019


(1) In November 2018, the Company purchased assets with a fair value of approximately $232.5 million, which settle in December 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 $65.5 million, which settle in December 2018 that collateralize approximately $63.0 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