• 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”) (NYSE: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)                 
            RealizedRealized    
            May 2019Mar - May Modeled Modeled
        Net  WeightedCPR2019 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 Jun)in Jun) (-50 BPS)(2) (+50 BPS)(2)
Pass Through RMBS                 
Post Reset ARM$1,132 $1,1970.03%$105.834.78%5.22%177184- - $7 $(8)
Fixed Rate CMO 665,655  693,48119.20% 104.184.26%4.60%1534216.85%14.18% (1,865) 193 
15yr 4.0 397,728  418,78711.59% 105.294.00%4.53%121658.17%9.24% 6,636  (7,145)
15yr Total 397,728  418,78711.59% 105.294.00%4.53%121658.17%9.24% 6,636  (7,145)
20yr 4.0 86,719  91,7872.54% 105.844.00%4.48%2221410.95%10.00% 1,812  (1,938)
20yr Total 86,719  91,7872.54% 105.844.00%4.48%2221410.95%10.00% 1,812  (1,938)
30yr 3.0 260,163  259,0657.17% 99.583.00%4.29%13583.92%-  3,232  (5,599)
30yr 3.5 115,498  119,2243.30% 103.233.50%4.30%93489.00%8.79
 1,824  (2,685)
30yr 4.0 743,180  781,68321.64% 105.184.00%4.67%133457.48%8.12% 8,815  (13,518)
30yr 4.5 259,040  272,8457.55% 105.334.50%5.24%935013.85%13.51% 2,340  (3,230)
30yr 5.0 778,387  847,02123.45% 108.825.00%5.52%1234712.66%13.68% 7,540  (10,109)
30yr Total 2,156,268  2,279,83863.11% 105.734.27%4.98%103489.90%10.81% 23,751  (35,141)
Total Pass Through RMBS 3,307,502  3,485,09096.48% 105.374.23%4.84%1232111.16%11.63% 30,341  (44,039)
Structured RMBS                 
Interest-Only Securities 787,350  102,1222.83% 12.973.76%4.35%6425214.74%12.38% (16,417) 16,261 
Inverse Interest-Only Securities 212,234  25,1210.70% 11.842.67%4.86%5929210.98%9.99% 1,250  (2,025)
Total Structured RMBS 999,584  127,2433.52% 12.733.53%4.45%6326113.94%11.83% (15,167) 14,236 
Total Mortgage Assets$4,307,086 $3,612,333100.00%  4.07%4.75%2430711.82%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
  Fairof    Fairof
Asset Category Value(1)Portfolio  Asset Category Value(1)Portfolio
As of May 31, 2019     As of May 31, 2019   
Fannie Mae$2,437,65367.5%  Non-Whole Pool Assets$1,234,03134.2%
Freddie Mac 1,171,65032.4%  Whole Pool Assets 2,378,30265.8%
Ginnie Mae 3,0300.1%  Total Mortgage Assets$3,612,333100.0%
Total Mortgage Assets$3,612,333100.0%      


(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)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of May 31, 2019 Borrowings(1) Debt Ratein DaysMaturity
Barclays Capital Inc.$544,359 14.5% 2.63%126/12/2019
RBC Capital Markets, LLC 459,588 12.3% 2.67%347/15/2019
Wells Fargo Bank, N.A. 364,390 9.8% 2.61%397/22/2019
Mirae Asset Securities (USA) Inc. 296,255 8.0% 2.64%11610/9/2019
J.P. Morgan Securities LLC 248,692 6.7% 2.61%15911/12/2019
ING Financial Markets LLC 225,275 6.0% 2.64%507/31/2019
Mitsubishi UFJ Securities (USA), Inc 197,351 5.3% 2.60%12111/12/2019
South Street Securities, LLC 177,058 4.8% 2.61%2484/9/2020
Cantor Fitzgerald & Co 163,878 4.4% 2.63%608/12/2019
ASL Capital Markets Inc. 159,022 4.3% 2.61%9210/7/2019
ABN AMRO Bank N.V. 152,165 4.1% 2.64%678/6/2019
Citigroup Global Markets Inc 137,594 3.7% 2.66%738/29/2019
ICBC Financial Services LLC 111,211 3.0% 2.64%518/12/2019
ED&F Man Capital Markets Inc 97,735 2.6% 2.63%8510/7/2019
Guggenheim Securities, LLC 90,357 2.4% 2.62%919/30/2019
FHLB-Cincinnati 80,539 2.2% 2.59%36/3/2019
Natixis, New York Branch 54,126 1.5% 2.73%146/14/2019
Lucid Cash Fund USG LLC 48,078 1.3% 2.65%136/13/2019
Bank of Montreal 43,839 1.2% 2.69%166/27/2019
Merrill Lynch, Pierce, Fenner & Smith 31,290 0.8% 2.78%217/1/2019
J.V.B. Financial Group, LLC 24,040 0.6% 2.60%508/15/2019
Lucid Prime Fund, LLC 17,252 0.5% 2.70%136/13/2019
Total Borrowings$3,724,094 100.0% 2.63%704/9/2020


(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