- August 2018 Monthly Dividend of $0.08 Per Share
- RMBS Portfolio Characteristics as of July 31, 2018
- Next Dividend Announcement Expected September 17, 2018
VERO BEACH, Fla., Aug. 15, 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 August 2018. The dividend of $0.08 per share will be paid September 10, 2018, to holders of record on August 31, 2018, with an ex-dividend date of August 30, 2018. The Company plans on announcing its next dividend after the Board’s meeting on September 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 August 15, 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 July 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 Characteristics | |||||||||||||||
| ($ in thousands) | |||||||||||||||
| Realized | Realized | ||||||||||||||
| Jul 2018 | May - Jul | ||||||||||||||
| Weighted | CPR | 2018 CPR | |||||||||||||
| Percentage | Weighted | Average | (1-Month) | (3-Month) | |||||||||||
| Current | Fair | of | Current | Average | Maturity | (Reported | (Reported | ||||||||
| Type | Face | Value(1) | Portfolio | Price | Coupon | (Months) | in Aug) | in Aug) | |||||||
| Hybrid/ARM | |||||||||||||||
| <3y reset | $ | 1,621 | $ | 1,712 | 0.05 | % | $ | 105.66 | 3.95 | % | 199 | 72.73 | % | 45.64 | % |
| 3y-5y reset | 24,844 | 24,566 | 0.66 | % | 98.88 | 2.57 | % | 294 | 1.64 | % | 4.58 | % | |||
| Total Hybrid/ARM | 26,465 | 26,278 | 0.71 | % | 99.30 | 2.66 | % | 288 | 6.00 | % | 7.09 | % | |||
| Fixed Rate RMBS | |||||||||||||||
| Fixed Rate CMO | 518,404 | 535,897 | 14.31 | % | 103.37 | 4.39 | % | 297 | 6.61 | % | 6.81 | % | |||
| Fixed Rate CMO Total | 518,404 | 535,897 | 14.31 | % | 103.37 | 4.39 | % | 297 | 6.61 | % | 6.81 | % | |||
| 15yr 3.5 | 3,092 | 3,131 | 0.08 | % | 101.27 | 3.50 | % | 123 | 52.81 | % | 22.32 | % | |||
| 15yr 4.0 | 779,968 | 804,161 | 21.47 | % | 103.10 | 4.00 | % | 178 | 5.53 | % | 6.25 | % | |||
| 15yr Total | 783,060 | 807,292 | 21.55 | % | 103.09 | 4.00 | % | 177 | 5.73 | % | 6.41 | % | |||
| 20yr 4.0 | 209,880 | 216,312 | 5.77 | % | 103.06 | 4.00 | % | 235 | 9.34 | % | 8.81 | % | |||
| 20yr 4.5 | 19,700 | 20,569 | 0.55 | % | 104.41 | 4.50 | % | 238 | 8.57 | % | 6.06 | % | |||
| 20yr Total | 229,580 | 236,881 | 6.32 | % | 102.02 | 4.04 | % | 235 | 9.27 | % | 6.95 | % | |||
| 20yr 4.5 | 438,203 | 447,067 | 11.94 | % | 102.02 | 4.00 | % | 235 | 6.88 | % | 6.49 | % | |||
| 20yr 4.5 | 1,307,624 | 1,367,175 | 36.50 | % | 104.55 | 4.50 | % | 347 | 8.43 | % | 9.48 | % | |||
| 20yr 4.5 | 172,193 | 184,422 | 4.92 | % | 107.10 | 5.00 | % | 356 | 6.17 | % | 4.70 | % | |||
| 30yr Total | 1,918,020 | 1,998,664 | 53.36 | % | 104.20 | 4.43 | % | 347 | 7.88 | % | 8.37 | % | |||
| Total Fixed Rate RMBS | 3,449,064 | 3,578,734 | 95.54 | % | 103.76 | 4.30 | % | 294 | 7.32 | % | 7.95 | % | |||
| Total Pass Through RMBS | 3,475,529 | 3,605,012 | 96.25 | % | 103.73 | 4.29 | % | 294 | 7.31 | % | 7.94 | % | |||
| Structured RMBS | |||||||||||||||
| Interest-Only Securities | 740,789 | 115,999 | 3.10 | % | 15.66 | 3.83 | % | 279 | 11.65 | % | 12.31 | % | |||
| Inverse Interest-Only Securities | 242,396 | 24,516 | 0.65 | % | 10.11 | 3.60 | % | 308 | 14.06 | % | 12.47 | % | |||
| Total Structured RMBS | 983,185 | 140,515 | 3.75 | % | 14.29 | 3.79 | % | 284 | 12.25 | % | 12.35 | % | |||
| Total Mortgage Assets | $ | 4,458,714 | $ | 3,745,527 | 100.00 | % | 4.27 | % | 294 | 8.41 | % | 9.17 | % | ||
| 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 July 31, 2018 | As of July 31, 2018 | |||||||||
| Fannie Mae | $ | 2,241,090 | 59.8 | % | Whole Pool Assets | $ | 2,687,129 | 71.7 | % | |
| Freddie Mac | 1,499,150 | 40.1 | % | Non-Whole Pool Assets | 1,058,398 | 28.3 | % | |||
| Ginnie Mae | 5,287 | 0.1 | % | Total Mortgage Assets | $ | 3,745,527 | 100.0 | % | ||
| Total Mortgage Assets | $ | 3,745,527 | 100.0 | % | ||||||
(1) Amounts in the tables above include assets with a fair value of approximately $61.9 million purchased in July 2018, which settle in August 2018, and exclude assets with a fair value of approximately $57.2 million sold in July 2018, which settle in August 2018.
| Borrowings By Counterparty | ||||||||
| ($ in thousands) | ||||||||
| Weighted | ||||||||
| % of | Average | |||||||
| Total | Total | Maturity | Longest | |||||
| As of July 31, 2018 | Borrowings(1) | Debt | in Days | Maturity | ||||
| RBC Capital Markets, LLC | $ | 462,010 | 13.1 | % | 34 | 9/28/2018 | ||
| Mirae Asset Securities (USA) Inc. | 377,833 | 10.7 | % | 37 | 10/23/2018 | |||
| J.P. Morgan Securities LLC | 346,385 | 9.8 | % | 10 | 8/17/2018 | |||
| Mitsubishi UFJ Securities (USA), Inc | 229,586 | 6.5 | % | 37 | 9/17/2018 | |||
| ICBC Financial Services LLC | 198,184 | 5.6 | % | 34 | 9/14/2018 | |||
| Cantor Fitzgerald & Co | 185,269 | 5.2 | % | 15 | 8/15/2018 | |||
| Citigroup Global Markets Inc | 171,248 | 4.9 | % | 42 | 9/17/2018 | |||
| Wells Fargo Bank, N.A. | 163,599 | 4.6 | % | 22 | 8/27/2018 | |||
| ING Financial Markets LLC | 161,046 | 4.6 | % | 43 | 9/17/2018 | |||
| Natixis, New York Branch | 146,697 | 4.2 | % | 16 | 8/24/2018 | |||
| ABN AMRO Bank N.V. | 131,053 | 3.7 | % | 3 | 8/3/2018 | |||
| FHLB-Cincinnati | 100,032 | 2.8 | % | 1 | 8/1/2018 | |||
| KGS-Alpha Capital Markets, L.P | 99,545 | 2.8 | % | 27 | 9/14/2018 | |||
| Daiwa Securities America Inc. | 93,907 | 2.7 | % | 10 | 8/13/2018 | |||
| South Street Securities, LLC | 93,443 | 2.6 | % | 29 | 8/30/2018 | |||
| ASL Capital Markets Inc. | 91,202 | 2.6 | % | 33 | 9/17/2018 | |||
| Guggenheim Securities, LLC | 86,132 | 2.4 | % | 39 | 9/18/2018 | |||
| Nomura Securities International, Inc. | 80,805 | 2.3 | % | 38 | 10/22/2018 | |||
| ED&F Man Capital Markets Inc | 75,364 | 2.1 | % | 39 | 9/21/2018 | |||
| Barclays Capital, Inc. | 69,890 | 2.0 | % | 17 | 8/17/2018 | |||
| Lucid Cash Fund USG LLC | 56,095 | 1.6 | % | 9 | 8/9/2018 | |||
| Goldman, Sachs & Co | 51,489 | 1.5 | % | 10 | 8/10/2018 | |||
| Merrill Lynch, Pierce, Fenner & Smith Incorporated | 37,408 | 1.1 | % | 25 | 8/30/2018 | |||
| Mizuho Securities USA, Inc | 13,667 | 0.4 | % | 46 | 9/21/2018 | |||
| J.V.B. Financial Group, LLC | 8,504 | 0.2 | % | 45 | 9/14/2018 | |||
| Total Borrowings | $ | 3,530,393 | 100.0 | % | 27 | 10/23/2018 | ||
(1) In July 2018, the Company purchased assets with a fair value of approximately $61.9 million, which settle in August 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 $57.2 million, which settle in August 2018 that collateralize approximately $55.3 million of repurchase agreements included in the table above.
| RMBS Risk Measures | ||||||||||||
| ($ in thousands) | ||||||||||||
| Mortgage Assets | ||||||||||||
| Weighted | ||||||||||||
| Average | Weighted | Weighted | Modeled | Modeled | ||||||||
| Months | Average | Average | Interest | Interest | ||||||||
| To Next | Lifetime | Periodic | Rate | Rate | ||||||||
| Fair | Coupon Reset | Cap | Cap Per Year | Sensitivity | Sensitivity | |||||||
| Asset Category | Value | (if applicable) | (if applicable) | (if applicable) | (-50 BPS)(1) | (+50 BPS)(1) | ||||||
| As of July 31, 2018 | ||||||||||||
| Adjustable Rate RMBS | $ | 1,712 | 10 | 9.97% | 2.00% | $ | 5 | $ | (3 | ) | ||
| Hybrid Adjustable Rate RMBS | 24,566 | 54 | 7.57% | 2.00% | 337 | (350 | ) | |||||
| Fixed Rate RMBS | 3,042,837 | n/a | n/a | n/a | 57,835 | (68,684 | ) | |||||
| Fixed Rate CMO | 535,897 | n/a | n/a | n/a | 2,669 | (6,098 | ) | |||||
| Total Pass-through RMBS | 3,605,012 | n/a | n/a | n/a | 60,846 | (75,135 | ) | |||||
| Interest-Only Securities | 115,999 | n/a | n/a | n/a | (13,929 | ) | 9,599 | |||||
| Inverse Interest-Only Securities | 24,516 | 1 | 6.30% | n/a | 2,662 | (3,224 | ) | |||||
| Structured RMBS | 140,515 | n/a | n/a | n/a | (11,267 | ) | 6,375 | |||||
| Total Mortgage Assets | $ | 3,745,527 | n/a | n/a | n/a | $ | 49,579 | $ | (68,760 | ) | ||
| Funding Hedges | ||||||||||||
| Modeled | Modeled | |||||||||||
| Interest | Interest | |||||||||||
| Average | Hedge | Rate | Rate | |||||||||
| Notional | Period | 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 | (4,555 | ) | 3,948 | |||||||
| Payer Swaps | 1,010,000 | Aug-2022 | (10,182 | ) | 10,182 | |||||||
| Payer Swaption | 950,000 | Oct-2028 | (6,904 | ) | 23,696 | |||||||
| Receiver Swaption | 100,000 | Feb-2024 | 1,125 | (302 | ) | |||||||
| TBA Short Positions | 400,000 | n/a | (11,116 | ) | 13,028 | |||||||
| Total Hedges | (50,070 | ) | 68,990 | |||||||||
| Grand Total | $ | (491 | ) | $ | 230 | |||||||
(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 $113.13 at July 31, 2018. The notional contract value of the short position was $186.7 million.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400