Orchid Island Capital Announces August 2019 Monthly Dividend and July 31, 2019 RMBS Portfolio Characteristics


  • August 2019 Monthly Dividend of $0.08 Per Share
  • Completed Public Offering of 7,000,000 Shares of Common Stock at a Price to the Public of $6.55 Per Share
  • RMBS Portfolio Characteristics as of July 31, 2019
  • Next Dividend Announcement Expected September 13, 2019

VERO BEACH, Fla., Aug. 14, 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 August 2019. The dividend of $0.08 per share will be paid September 30, 2019, to holders of record on August 30, 2019, with an ex-dividend date of August 29, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on September 13, 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 August 14, 2019, the Company had 63,054,298 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding. On August 2, 2019, the Company completed the public sale of 7,000,000 shares of its common stock at a price to the public of $6.55 per share.  The net proceeds received by the Company were approximately $44.3 million after deduction of underwriting discounts and commissions and other estimated offering expenses payable by the Company. 

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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 on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOS, and (ii) structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

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    
            Jul 2019May - Jul 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 Aug)in Aug) (-50 BPS)(2) (+50 BPS)(2)
Pass Through RMBS                 
Post Reset ARM$1,123 $1,1890.03%$105.864.78%5.21%179182- - $10 $(9)
Fixed Rate CMO 631,689  653,42018.47% 103.444.25%4.60%1833923.52%19.08% (747) (631)
15yr 4.0 387,628  412,16111.65% 106.334.00%4.53%1416212.50%10.57% 6,215  (6,742)
15yr Total 387,628  412,16111.65% 106.334.00%4.53%1416212.50%10.57% 6,215  (6,742)
20yr 4.0 84,934  91,0252.57% 107.174.00%4.48%242125.60%7.47% 1,721  (1,870)
20yr Total 84,934  91,0252.57% 107.174.00%4.48%242125.60%7.47% 1,721  (1,870)
30yr 3.0 84,271  85,7512.42% 101.763.00%3.92%2359n/a n/a  1,650  (2,272)
30yr 3.5 338,957  351,0469.92% 103.573.50%4.33%53544.12%9.81% 4,366  (6,841)
30yr 4.0 803,747  849,85724.03% 105.744.00%4.64%153436.60%7.07% 7,601  (12,570)
30yr 4.5 132,864  141,7904.01% 106.724.50%5.07%1634215.31%12.68% 1,198  (1,653)
30yr 5.0 759,253  831,49323.51% 109.515.00%5.52%1434417.95%14.39% 6,338  (8,515)
30yr Total 2,119,092  2,259,93763.89% 106.654.27%4.90%1334511.15%10.93% 21,153  (31,851)
Total Pass Through RMBS 3,224,466  3,417,73296.62% 105.994.23%4.79%1431913.71%12.63% 28,352  (41,103)
Structured RMBS                 
Interest-Only Securities 756,926  94,2132.66% 12.453.76%4.35%6625118.07%16.16% (16,606) 18,675 
Inverse Interest-Only Securities 206,189  25,3750.72% 12.312.80%4.86%6029019.68%14.41% 1,007  (1,764)
Total Structured RMBS 963,115  119,5883.38% 12.423.56%4.46%6425918.42%15.79% (15,599) 16,911 
Total Mortgage Assets$4,187,581 $3,537,320100.00%  4.07%4.71%2630514.83%13.45%$12,753 $(24,192)
                  
               Interest Interest
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance End          (-50 BPS)(2) (+50 BPS)(2)
Eurodollar Futures$(500,000) Apr-2020         $(3,750)$3,750 
Swaps (2,120,000) May-2022          (32,158) 32,158 
5-Year Treasury Future (165,000) Sep-2019(3)          (7,404) 1,572 
TBA Long 160,000  Oct-2019          2,128  (3,210)
TBA Short (125,000) Aug-2019          (1,153) 1,757 
Swaptions (250,000) Sep-2024          (87) 693 
Hedge Total$(3,000,000)           $(42,424)$36,720 
Rate Shock Grand Total             $(29,671)$12,528 
                    

(1) Amounts in the tables above include assets with a fair value of approximately $161.2 million purchased in July 2019, which settle in August 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 $117.55 at July 31, 2019.  The notional contract value of the short position was $194.0 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 July 31, 2019    As of July 31, 2019   
Fannie Mae$2,330,04765.9% Non-Whole Pool Assets$948,73626.8%
Freddie Mac 1,204,70234.0% Whole Pool Assets 2,588,58473.2%
Ginnie Mae 2,5710.1% Total Mortgage Assets$3,537,320100.0%
Total Mortgage Assets$3,537,320100.0%     
          

(1) Amounts in the tables above include assets with a fair value of approximately $161.2 million purchased in July 2019, which settle in August 2019.

         
Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of July 31, 2019 Borrowings Debt Ratein DaysMaturity
RBC Capital Markets, LLC$423,950 13.4% 2.55%219/12/2019
Wells Fargo Bank, N.A. 359,459 11.3% 2.54%219/20/2019
Mirae Asset Securities (USA) Inc. 301,766 9.5% 2.63%6512/9/2019
J.P. Morgan Securities LLC 248,221 7.8% 2.61%10111/12/2019
ABN AMRO Bank N.V. 215,550 6.8% 2.63%88/13/2019
Mitsubishi UFJ Securities (USA), Inc 205,272 6.4% 2.53%8111/12/2019
Citigroup Global Markets Inc 184,131 5.8% 2.65%239/20/2019
ASL Capital Markets Inc. 177,332 5.6% 2.61%3010/7/2019
South Street Securities, LLC 176,119 5.5% 2.61%1874/9/2020
Cantor Fitzgerald & Co 165,541 5.2% 2.62%138/19/2019
ING Financial Markets LLC 164,747 5.2% 2.52%208/30/2019
ICBC Financial Services LLC 105,636 3.3% 2.62%128/12/2019
Guggenheim Securities, LLC 94,331 3.0% 2.61%319/30/2019
FHLB-Cincinnati 81,100 2.5% 2.64%18/1/2019
ED&F Man Capital Markets Inc 60,384 1.9% 2.62%5510/7/2019
Daiwa Securities America Inc. 49,594 1.6% 2.60%128/12/2019
Lucid Cash Fund USG LLC 49,212 1.5% 2.58%158/15/2019
Bank of Montreal 42,702 1.3% 2.64%158/28/2019
Merrill Lynch, Pierce, Fenner & Smith 29,152 0.9% 2.73%88/12/2019
J.V.B. Financial Group, LLC 24,556 0.8% 2.58%98/15/2019
Lucid Prime Fund, LLC 14,922 0.5% 2.62%158/15/2019
Natixis, New York Branch 4,732 0.1% 2.55%158/15/2019
Mizuho Securities USA, Inc 4,698 0.1% 2.86%158/15/2019
Total Borrowings$3,183,107 100.0% 2.59%434/9/2020
           

(1) In July 2019, the Company purchased assets with a fair value of approximately $161.2 million, which settle in August 2019 that are expected to be funded by repurchase agreements.  The anticipated borrowings are not included in the table above.

Contact:

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