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


  • September 2018 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of August 31, 2018
  • Next Dividend Announcement Expected October 17, 2018

VERO BEACH, Fla., Sept. 17, 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 September 2018. The dividend of $0.08 per share will be paid October 10, 2018, to holders of record on September 28, 2018, with an ex-dividend date of September 27, 2018. The Company plans on announcing its next dividend after the Board’s meeting on October 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 September 17, 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 August 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    
             Aug 2018Jun - Aug    
         Net  WeightedCPR2018 CPR Modeled Modeled
      %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current  Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face  Value(1)Portfolio PriceCouponGWACAge(Months)in Sep)in Sep) (-50 BPS)(2) (+50 BPS)(2)
Hybrid/ARM                  
<3y reset$1,367 $1,4500.04% $106.074.07%5.08%1661951.61%43.59%$9 $(7)
3y-5y reset 24,793  24,5670.70%  99.092.57%3.24%682930.72%1.21% 330  (345)
Total Hybrid/ARM 26,160  26,0170.74%  99.452.65%3.33%732880.77%3.43% 339  (352)
Fixed Rate RMBS                  
Fixed Rate CMO 749,438  772,97221.98%  103.144.27%4.62%63527.59%6.14% 4,581  (9,519)
Fixed Rate CMO Total 749,438  772,97221.98%  103.144.27%4.62%63527.59%6.14% 4,581  (9,519)
15yr 3.5 2,885  2,9250.08%  101.383.50%3.83%591202.19%22.81% 55  (55)
15yr 4.0 774,794  799,10622.72%  103.144.00%4.52%41755.18%4.65% 14,720  (15,847)
15yr Total 777,679  802,03122.80%  103.134.00%4.51%41755.17%4.76% 14,775  (15,902)
20yr 4.0 207,557  214,2666.09%  103.234.00%4.47%162219.97%10.58% 5,003  (5,180)
20yr 4.5 19,506  20,3540.58%  104.354.50%5.15%423523.71%13.37% 289  (374)
20yr Total 227,063  234,6206.67%  102.264.04%4.52%1522211.15%12.47% 5,292  (5,554)
30yr 4.0 326,975  334,3769.51%  102.264.00%4.48%183394.19%6.17% 7,874  (9,394)
30yr 4.5 981,023  1,028,27129.23%  104.824.50%4.92%123468.63%9.87% 17,475  (22,984)
30yr 5.0 170,988  183,1905.21%  107.145.00%5.50%63535.19%5.30% 2,622  (3,510)
30yr Total 1,478,986  1,545,83743.95%  104.524.45%4.89%133457.25%8.38% 27,971  (35,888)
Total Fixed Rate RMBS 3,233,166  3,355,46095.40%  103.784.27%4.71%92977.10%7.19% 52,619  (66,863)
Total Pass Through RMBS 3,259,326  3,381,47796.14%  103.754.26%4.70%102977.05%7.14% 52,958  (67,215)
Structured RMBS                  
Interest-Only Securities 727,477  111,3283.17%  15.303.70%4.28%6024611.44%12.13% (14,291) 9,821 
Inverse Interest-Only Securities 238,330  24,4990.70%  10.283.07%4.86%5030113.42%12.73% 2,415  (3,047)
Total Structured RMBS 965,807  135,8273.86%  14.063.54%4.42%5726011.92%12.27% (11,876) 6,774 
Total Mortgage Assets$4,225,133 $3,517,304100.00%   4.09%4.64%212898.17%8.62%$41,082 $(60,441)
                   
                Int Int
  Average  Hedge          Rate Rate
  Notional  Period          Sensitivity Sensitivity
Hedge Balance  End          (-50 BPS)(2) (+50 BPS)(2) 
Eurodollar Futures 1,475,000  Dec-2020         $(18,438)$18,438 
Swaps 1,260,000  Aug-2022          (13,706) 13,706 
5-Year Treasury Future 165,000  Dec-2018          (4,058) 4,245 
TBA 400,000  Oct-2018          (10,686) 12,405 
Swaptions 950,000  Oct-2028          (3,737) 20,540 
Hedge Total 4,250,000            $(50,625)$69,334 
Rate Shock Grand Total              $(9,543)$8,893 
                    

(1) Amounts in the tables above exclude assets with a fair value of approximately $223.1 million sold in August 2018, which settle in September 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 $113.40 at August 31, 2018. The notional contract value of the short position was $187.1 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 August 31, 2018    As of August 31, 2018   
Fannie Mae$2,251,99664.0%     Non-Whole Pool Assets$1,140,89732.4%
Freddie Mac 1,260,53935.9% Whole Pool Assets 2,376,40767.6%
Ginnie Mae 4,7690.1% Total Mortgage Assets$3,517,304100.0%
Total Mortgage Assets$3,517,304100.0%     
          

(1) Amounts in the tables above exclude assets with a fair value of approximately $223.1 million sold in August 2018, which settle in September 2018.

         
Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total MaturityRepoLongest
As of August 31, 2018 Borrowings(1) Debt in DaysRateMaturity
RBC Bank$459,372 13.1% 352.20%10/30/2018
Mirae 369,038 10.5% 292.18%11/8/2018
JPMorgan 326,369 9.2% 82.15%9/28/2018
Wells Fargo Securities 273,071 7.7% 282.14%10/1/2018
Citigroup 249,947 7.1% 202.19%9/28/2018
Mitsubishi 226,646 6.4% 292.17%10/19/2018
ICBC 181,259 5.1% 462.22%11/20/2018
Cantor 178,467 5.1% 742.24%11/13/2018
ING 160,387 4.5% 202.18%11/29/2018
Natixis 130,745 3.7% 172.26%9/25/2018
ABN AMRO 129,650 3.7% 42.10%9/4/2018
Guggenheim 113,750 3.2% 262.17%11/13/2018
FHLB-Cincinnati 97,718 2.8% 42.05%9/4/2018
KGS 96,186 2.7% 152.15%9/17/2018
South Street Securities Llc 91,620 2.6% 302.16%11/13/2018
ASL CAP 87,449 2.5% 402.18%11/13/2018
ED&F Man 75,287 2.1% 252.16%11/7/2018
GS 73,234 2.1% 102.14%9/10/2018
Daiwa 56,940 1.6% 62.13%9/7/2018
Lucid Management 54,611 1.5% 132.18%9/13/2018
Nomura 43,944 1.2% 222.15%10/22/2018
JVB Financial 26,511 0.8% 392.18%10/16/2018
Mizuho Capital Markets 13,656 0.4% 222.17%9/27/2018
BOA 8,815 0.2% 72.58%9/10/2018
Lucid 5,512 0.2% 202.62%9/20/2018
Total Borrowings$3,530,184 100.0% 262.18%11/29/2018
           

(1) In August 2018, the Company sold assets with a fair value of approximately $223.1 million, which settle in September 2018 that collateralize approximately $210.1 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