Orchid Island Capital Announces June 2018 Monthly Dividend and May 31, 2018 RMBS Portfolio Characteristics

Vero Beach, Florida, UNITED STATES


  • June 2018 Monthly Dividend of $0.09 Per Share
  • RMBS Portfolio Characteristics as of May 31, 2018
  • Next Dividend Announcement Expected July 18, 2018

VERO BEACH, Fla., June 19, 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 June 2018. The dividend of $0.09 per share will be paid July 10, 2018, to holders of record on June 29, 2018, with an ex-dividend date of June 28, 2018.  The Company plans on announcing its next dividend after the Board's meeting on July 18, 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 June 19, 2018, the Company had 52,029,274 shares outstanding. At March 31, 2018, the Company had 53,072,169 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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           
($ in thousands)           
          RealizedRealized
          May 2018Mar - May 
         WeightedCPR2018 CPR 
     Percentage  WeightedAverage(1-Month)(3-Month)
  Current Fairof CurrentAverageMaturity(Reported(Reported
Type Face Value(1)Portfolio PriceCoupon(Months)in Jun)in Jun)
Hybrid/ARM           
<3y reset$1,632$1,7150.05%$105.073.94% 2010.01%0.01%
3y-5y reset 16,981 16,9480.46% 99.812.71% 29310.85%24.10%
5y-7y reset 8,286 8,1280.22% 98.092.33% 3020.82%0.81%
Total Hybrid/ARM 26,899 26,7910.73% 99.602.67% 2907.10%15.46%
Fixed Rate RMBS           
Fixed Rate CMO 353,652 367,87910.08% 104.024.35% 2955.46%n/a 
Fixed Rate CMO Total 353,652 367,87910.08% 104.024.35% 2955.46%n/a 
15yr 3.5 3,136 3,2450.09% 103.483.50% 1250.33%18.06%
15yr 4.0 381,080 394,04410.80% 103.404.00% 1796.06%6.86%
15yr Total 384,216 397,28910.89% 103.404.00% 1786.01%7.33%
20yr 4.0 382,457 394,55510.81% 103.164.00% 2339.24%7.34%
20yr 4.5 19,959 21,0320.58% 105.384.50% 2402.72%n/a 
20yr Total 402,416 415,58711.39% 103.274.03% 2338.92%7.34%
30yr 4.0 444,336 455,97412.50% 102.624.00% 2334.73%6.09%
30yr 4.5 1,574,881 1,655,44945.37% 105.124.50% 3498.99%9.81%
30yr 5.0 173,837 186,7485.12% 107.435.00% 3583.58%13.69%
30yr Total 2,193,054 2,298,17162.99% 104.794.44% 3497.70%9.01%
Total Fixed Rate RMBS 3,333,338 3,478,92695.35% 104.374.33% 3107.48%8.70%
Structured RMBS           
Interest-Only Securities 768,770 116,3643.19% 15.143.83% 28112.22%12.02%
Inverse Interest-Only Securities 249,425 26,7600.73% 10.733.70% 31112.72%11.25%
Total Structured RMBS 1,018,195 143,1243.92% 14.063.81% 28612.35%11.83%
Total Mortgage Assets$4,378,432$3,648,841100.00%  4.30% 3108.64%9.66%


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 May 31, 2018    As of May 31, 2018   
Fannie Mae$2,149,93958.9% Whole Pool Assets$2,435,08366.7%
Freddie Mac 1,493,46241.0% Non-Whole Pool Assets 1,213,75833.3%
Ginnie Mae 5,4400.1% Total Mortgage Assets$3,648,841100.0%
Total Mortgage Assets$3,648,841100.0%     
  1. Amounts in the tables above include assets with a fair value of approximately $113.9 million purchased in May 2018, which settle in June 2018, and exclude assets with a fair value of approximately $325.2 million sold in May 2018, which settle in June 2018.



Borrowings By Counterparty       
($ in thousands)       
      Weighted 
    % of Average 
  Total Total MaturityLongest
As of May 31, 2018 Borrowings(1) Debt in DaysMaturity
Mirae Asset Securities (USA) Inc.$385,323 10.9% 428/10/2018
J.P. Morgan Securities LLC 346,892 9.6% 698/10/2018
RBC Capital Markets, LLC 315,102 8.7% 216/29/2018
Mitsubishi UFJ Securities (USA), Inc 261,202 7.2% 387/23/2018
Cantor Fitzgerald & Co 235,982 6.5% 467/16/2018
Wells Fargo Bank, N.A. 224,820 6.2% 136/13/2018
Citigroup Global Markets Inc 210,836 5.9% 166/18/2018
ING Financial Markets LLC 166,274 4.6% 106/11/2018
Guggenheim Securities, LLC 159,372 4.4% 126/13/2018
ICBC Financial Services LLC 141,930 3.9% 256/25/2018
ABN AMRO Bank N.V. 131,599 3.7% 337/3/2018
Nomura Securities International, Inc. 129,118 3.6% 227/24/2018
KGS-Alpha Capital Markets, L.P 120,715 3.3% 268/14/2018
South Street Securities, LLC 118,154 3.3% 567/30/2018
ASL Capital Markets Inc. 110,737 3.1% 568/13/2018
Natixis, New York Branch 96,067 2.7% 176/25/2018
FHLB-Cincinnati 90,640 2.5% 16/1/2018
ED&F Man Capital Markets Inc 80,240 2.2% 176/22/2018
Mizuho Securities USA, Inc 67,632 1.9% 487/26/2018
Daiwa Securities America Inc. 66,129 1.8% 96/11/2018
Goldman, Sachs & Co 54,283 1.5% 718/10/2018
Lucid Cash Fund USG LLC 42,080 1.2% 126/12/2018
Goldman, Sachs & Co 39,807 1.1% 718/10/2018
J.V.B. Financial Group, LLC 8,532 0.2% 146/14/2018
Total Borrowings$3,603,466 100.0% 66,1298/14/2018
  1. In May 2018, the Company purchased assets with a fair value of approximately $113.9 million, which settle in June 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 $325.2 million, which settle in June 2018 that collateralize approximately $310.6 million of repurchase agreements included in the table above. 


RMBS Risk Measures          
($ in thousands)          
Mortgage Assets          
   Weighted       
   Average WeightedWeighted Modeled Modeled
   Months AverageAverage Interest Interest
   To Next LifetimePeriodic Rate Rate
  FairCoupon Reset CapCap Per Year Sensitivity Sensitivity
Asset Category Value(if applicable) (if applicable)(if applicable) (-50 BPS)(1) (+50 BPS)(1)
As of May 31, 2018          
Adjustable Rate RMBS$1,7152 10.05%2.00%$6 $(5)
Hybrid Adjustable Rate RMBS 25,07555 7.57%2.00% 355  (373)
Fixed Rate RMBS 3,111,048n/a n/an/a 60,294  (74,734)
Fixed Rate CMO 367,879n/a n/an/a 550  (3,834)
Total Pass-through RMBS 3,505,717n/a n/an/a 61,205  (78,946)
Interest-Only Securities 116,364n/a n/an/a (14,020) 9,549 
Inverse Interest-Only Securities 26,7601 5.28%n/a 2,801  (3,395)
Structured RMBS 143,124n/a n/an/a (11,219) 6,154 
Total Mortgage Assets$3,648,841n/a n/an/a$49,986 $(72,792)
           
Funding Hedges          
        Modeled Modeled
        Interest Interest
     AverageHedge Rate Rate
     NotionalPeriod 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 (2,975) 5,511 
Payer Swaps 1,010,000 Aug-2022 (10,968) 10,968 
Payer Swaption 750,000 Oct-2028 (7,765) 18,821 
Receiver Swaption 100,000 Feb-2024 1,439  (618)
TBA Short Positions 400,000 Jul-2018 (12,249) 13,830 
Total Hedges    (50,956) 66,950 
        
Grand Total   $(970)$(5,842)
  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 $113.89 at May 31, 2018.  The notional contract value of the short position was $187.9 million.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400