Orchid Island Capital Announces November 2018 Monthly Dividend and October 31, 2018 RMBS Portfolio Characteristics

  • November 2018 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2018
  • Repurchased 966,484 shares through stock repurchase plan.
  • Next Dividend Announcement Expected December 10, 2018

VERO BEACH, Fla., Nov. 14, 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 November 2018. The dividend of $0.08 per share will be paid December 10, 2018, to holders of record on November 30, 2018, with an ex-dividend date of November 29, 2018.  The Company plans on announcing its next dividend after the Board’s meeting on December 10, 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 November 14, 2018, the Company had 51,072,684 shares outstanding, including 153,794 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 October 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)                                  
                        Realized Realized        
                        Oct 2018 Aug – Oct        
                Net     Weighted CPR 2018 CPR   Modeled
Interest
  Modeled
Interest
          %     Weighted     Average (1-Month) (3-Month)   Rate   Rate
    Current   Fair of   Current Average     Maturity (Reported (Reported   Sensitivity   Sensitivity
Type   Face   Value(1) Portfolio   Price Coupon GWAC Age (Months) in Nov) in Nov)   (-50 BPS)(2)   (+50 BPS)(2)
ARM RMBS                                  
ARM RMBS $ 1,356 $ 1,431 0.04 % $ 105.55 4.75 % 5.19 % 168 193 0.13 % 0.59 % $ 8   $ (7 )
Total ARM RMBS   1,356   1,431 0.04 %   105.55 4.75 % 5.19 % 168 193 0.13 % 0.59 %   8     (7 )
Fixed Rate RMBS                                  
Fixed Rate CMO   732,772   749,098 21.37 %   102.23 4.27 % 4.61 % 8 350 6.70 % 7.23 %   8,043     (12,496 )
Fixed Rate CMO Total   732,772   749,098 21.37 %   102.23 4.27 % 4.61 % 8 350 6.70 % 7.23 %   8,043     (12,496 )
15yr 3.5   2,840   2,846 0.08 %   100.22 3.50 % 3.83 % 61 118 23.91 % 9.42 %   55     (54 )
15yr 4.0   810,434   827,628 23.61 %   102.12 4.00 % 4.52 % 5 173 5.98 % 2.46 %   15,966     (16,828 )
15yr Total   813,274   830,474 23.69 %   102.11 4.00 % 4.51 % 6 172 6.04 % 5.02 %   16,021     (16,882 )
20yr 4.0   203,040   206,265 5.89 %   101.59 4.00 % 4.47 % 18 219 6.34 % 8.29 %   4,915     (5,029 )
20yr 4.5   18,723   19,321 0.55 %   103.20 4.50 % 5.13 % 7 233 0.33 % 13.50 %   320     (390 )
20yr Total   221,763   225,586 6.44 %   100.39 4.04 % 4.52 % 17 220 5.83 % 8.73 %   5,235     (5,419 )
30yr 4.0   309,409   310,606 8.86 %   100.39 4.00 % 4.48 % 20 337 2.86 % 4.56 %   8,542     (9,610 )
30yr 4.5   1,031,528   1,065,818 30.41 %   103.32 4.50 % 4.92 % 13 345 7.00 % 7.58 %   22,387     (27,127 )
30yr 5.0   168,487   178,126 5.08 %   105.72 5.00 % 5.50 % 8 351 5.68 % 6.45 %   3,121     (3,890 )
30yr Total   1,509,424   1,554,550 44.35 %   102.99 4.45 % 4.90 % 14 344 6.00 % 7.16 %   34,050     (40,627 )
Total Fixed Rate RMBS   3,277,233   3,359,708 95.84 %   102.52 4.27 % 4.71 % 11 294 6.16 % 7.00 %   63,349     (75,424 )
Total Pass Through RMBS   3,278,589   3,361,139 95.88 %   102.52 4.27 % 4.71 % 11 294 6.15 % 6.99 %   63,357     (75,431 )
Structured RMBS                                  
Interest-Only Securities   740,822   121,460 3.48 %   16.36 3.71 % 4.30 % 60 249 9.46 % 10.28 %   (12,127 )   8,120  
Inverse Interest-Only Securities   231,414   22,415 0.64 %   9.69 2.85 % 4.86 % 52 299 8.88 % 11.20 %   2,822     (3,206 )
Total Structured RMBS   972,236   143,875 4.12 %   14.80 3.51 % 4.43 % 58 261 9.32 % 10.51 %   (9,305 )   4,914  
Total Mortgage Assets $ 4,250,825 $ 3,505,014 100.0 %     4.10 % 4.65 % 22 287 6.88 % 7.87 % $ 54,052   $ (70,517 )
                                   

                                   
                              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                     (13,477 )   13,477
5-Year Treasury Future   (165,000 )   Dec-2018(3)                     (3,630 )   4,594
TBA   (500,000 )   Nov-2018                     (13,801 )   16,258
Swaptions   (850,000 )   Mar-2028                     (5,031 )   24,820
Hedge Total   (4,500,000 )                       $ (53,189 ) $ 76,399
Rate Shock Grand Total                           $ 863   $ 5,882
                                     

(1) Amounts in the tables above exclude assets with a fair value of approximately $13.6 million sold in October 2018, which settle in November 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 $112.38 at October 31, 2018.  The notional contract value of the short position was $185.4 million.

           
RMBS Assets by Agency         Investment Company Act of 1940 Whole Pool Test
($ in thousands)         ($ in thousands)      
      Percentage         Percentage
    Fair of       Fair of
Asset Category   Value(1) Portfolio   Asset Category   Value(1) Portfolio
As of October 31, 2018         As of October 31, 2018      
Fannie Mae $ 1,983,016 56.6 %   Non-Whole Pool Assets $ 1,116,834 31.9 %
Freddie Mac   1,517,102 43.3 %   Whole Pool Assets   2,388,180 68.1 %
Ginnie Mae   4,896 0.1 %   Total Mortgage Assets $ 3,505,014 100.0 %
Total Mortgage Assets $ 3,505,014 100.0 %          
                   

(1) Amounts in the tables above exclude assets with a fair value of approximately $13.6 million sold in October 2018, which settle in November 2018.

                 
Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of October 31, 2018   Borrowings(1)   Debt   Rate in Days Maturity
J.P. Morgan Securities LLC $ 481,212   14.2 %   2.37 % 35 1/14/2019
RBC Capital Markets, LLC   447,484   13.4 %   2.41 % 46 1/30/2019
Mirae Asset Securities (USA) Inc.   369,342   11.1 %   2.29 % 10 11/23/2018
Wells Fargo Bank, N.A.   265,778   8.0 %   2.37 % 27 11/30/2018
Citigroup Global Markets Inc   239,712   7.2 %   2.40 % 19 11/28/2018
Mitsubishi UFJ Securities (USA), Inc   220,094   6.6 %   2.34 % 17 11/19/2018
ICBC Financial Services LLC   186,561   5.6 %   2.30 % 32 12/13/2018
Cantor Fitzgerald & Co   178,673   5.4 %   2.24 % 13 11/13/2018
ABN AMRO Bank N.V.   153,860   4.6 %   2.28 % 36 12/13/2018
ED&F Man Capital Markets Inc   121,029   3.6 %   2.25 % 9 11/9/2018
ING Financial Markets LLC   112,007   3.4 %   2.33 % 13 11/29/2018
FHLB-Cincinnati   98,013   2.9 %   2.30 % 1 11/1/2018
Natixis, New York Branch   89,660   2.7 %   2.55 % 18 11/23/2018
South Street Securities, LLC   80,063   2.4 %   2.35 % 28 11/29/2018
Guggenheim Securities, LLC   57,514   1.7 %   2.29 % 15 11/16/2018
Lucid Cash Fund USG LLC   53,383   1.6 %   2.43 % 15 11/15/2018
Bank of Montreal   49,342   1.5 %   2.37 % 14 11/14/2018
Daiwa Securities America Inc.   45,131   1.4 %   2.36 % 5 11/5/2018
ASL Capital Markets Inc.   41,197   1.2 %   2.26 % 14 11/19/2018
J.V.B. Financial Group, LLC   15,374   0.5 %   2.36 % 15 11/15/2018
Mizuho Securities USA, Inc   10,083   0.3 %   2.37 % 21 11/21/2018
Merrill Lynch, Pierce, Fenner & Smith   8,855   0.3 %   2.78 % 6 11/13/2018
Lucid Prime Fund, LLC   5,591   0.2 %   2.84 % 15 11/15/2018
Nomura Securities International, Inc.   5,442   0.2 %   2.40 % 51 12/21/2018
Total Borrowings $ 3,335,400   100.0 %   2.35 % 24 1/30/2019
                     

(1) In October 2018, the Company sold assets with a fair value of approximately $13.6 million, which settle in November 2018 that collateralize approximately $13.2 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