- 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) | |||||||||||||||||||||||||
| Realized | Realized | ||||||||||||||||||||||||
| Jul 2019 | May - Jul | Modeled | Modeled | ||||||||||||||||||||||
| Net | Weighted | CPR | 2019 CPR | Interest | 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 Aug) | in Aug) | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||
| Pass Through RMBS | |||||||||||||||||||||||||
| Post Reset ARM | $ | 1,123 | $ | 1,189 | 0.03 | % | $ | 105.86 | 4.78 | % | 5.21 | % | 179 | 182 | - | - | $ | 10 | $ | (9 | ) | ||||
| Fixed Rate CMO | 631,689 | 653,420 | 18.47 | % | 103.44 | 4.25 | % | 4.60 | % | 18 | 339 | 23.52 | % | 19.08 | % | (747 | ) | (631 | ) | ||||||
| 15yr 4.0 | 387,628 | 412,161 | 11.65 | % | 106.33 | 4.00 | % | 4.53 | % | 14 | 162 | 12.50 | % | 10.57 | % | 6,215 | (6,742 | ) | |||||||
| 15yr Total | 387,628 | 412,161 | 11.65 | % | 106.33 | 4.00 | % | 4.53 | % | 14 | 162 | 12.50 | % | 10.57 | % | 6,215 | (6,742 | ) | |||||||
| 20yr 4.0 | 84,934 | 91,025 | 2.57 | % | 107.17 | 4.00 | % | 4.48 | % | 24 | 212 | 5.60 | % | 7.47 | % | 1,721 | (1,870 | ) | |||||||
| 20yr Total | 84,934 | 91,025 | 2.57 | % | 107.17 | 4.00 | % | 4.48 | % | 24 | 212 | 5.60 | % | 7.47 | % | 1,721 | (1,870 | ) | |||||||
| 30yr 3.0 | 84,271 | 85,751 | 2.42 | % | 101.76 | 3.00 | % | 3.92 | % | 2 | 359 | n/a | n/a | 1,650 | (2,272 | ) | |||||||||
| 30yr 3.5 | 338,957 | 351,046 | 9.92 | % | 103.57 | 3.50 | % | 4.33 | % | 5 | 354 | 4.12 | % | 9.81 | % | 4,366 | (6,841 | ) | |||||||
| 30yr 4.0 | 803,747 | 849,857 | 24.03 | % | 105.74 | 4.00 | % | 4.64 | % | 15 | 343 | 6.60 | % | 7.07 | % | 7,601 | (12,570 | ) | |||||||
| 30yr 4.5 | 132,864 | 141,790 | 4.01 | % | 106.72 | 4.50 | % | 5.07 | % | 16 | 342 | 15.31 | % | 12.68 | % | 1,198 | (1,653 | ) | |||||||
| 30yr 5.0 | 759,253 | 831,493 | 23.51 | % | 109.51 | 5.00 | % | 5.52 | % | 14 | 344 | 17.95 | % | 14.39 | % | 6,338 | (8,515 | ) | |||||||
| 30yr Total | 2,119,092 | 2,259,937 | 63.89 | % | 106.65 | 4.27 | % | 4.90 | % | 13 | 345 | 11.15 | % | 10.93 | % | 21,153 | (31,851 | ) | |||||||
| Total Pass Through RMBS | 3,224,466 | 3,417,732 | 96.62 | % | 105.99 | 4.23 | % | 4.79 | % | 14 | 319 | 13.71 | % | 12.63 | % | 28,352 | (41,103 | ) | |||||||
| Structured RMBS | |||||||||||||||||||||||||
| Interest-Only Securities | 756,926 | 94,213 | 2.66 | % | 12.45 | 3.76 | % | 4.35 | % | 66 | 251 | 18.07 | % | 16.16 | % | (16,606 | ) | 18,675 | |||||||
| Inverse Interest-Only Securities | 206,189 | 25,375 | 0.72 | % | 12.31 | 2.80 | % | 4.86 | % | 60 | 290 | 19.68 | % | 14.41 | % | 1,007 | (1,764 | ) | |||||||
| Total Structured RMBS | 963,115 | 119,588 | 3.38 | % | 12.42 | 3.56 | % | 4.46 | % | 64 | 259 | 18.42 | % | 15.79 | % | (15,599 | ) | 16,911 | |||||||
| Total Mortgage Assets | $ | 4,187,581 | $ | 3,537,320 | 100.00 | % | 4.07 | % | 4.71 | % | 26 | 305 | 14.83 | % | 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 | |||||||||
| Fair | of | Fair | of | |||||||
| Asset Category | Value(1) | Portfolio | Asset Category | Value(1) | Portfolio | |||||
| As of July 31, 2019 | As of July 31, 2019 | |||||||||
| Fannie Mae | $ | 2,330,047 | 65.9 | % | Non-Whole Pool Assets | $ | 948,736 | 26.8 | % | |
| Freddie Mac | 1,204,702 | 34.0 | % | Whole Pool Assets | 2,588,584 | 73.2 | % | |||
| Ginnie Mae | 2,571 | 0.1 | % | Total Mortgage Assets | $ | 3,537,320 | 100.0 | % | ||
| Total Mortgage Assets | $ | 3,537,320 | 100.0 | % | ||||||
(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) | ||||||||||
| Weighted | Weighted | |||||||||
| % of | Average | Average | ||||||||
| Total | Total | Repo | Maturity | Longest | ||||||
| As of July 31, 2019 | Borrowings | Debt | Rate | in Days | Maturity | |||||
| RBC Capital Markets, LLC | $ | 423,950 | 13.4 | % | 2.55 | % | 21 | 9/12/2019 | ||
| Wells Fargo Bank, N.A. | 359,459 | 11.3 | % | 2.54 | % | 21 | 9/20/2019 | |||
| Mirae Asset Securities (USA) Inc. | 301,766 | 9.5 | % | 2.63 | % | 65 | 12/9/2019 | |||
| J.P. Morgan Securities LLC | 248,221 | 7.8 | % | 2.61 | % | 101 | 11/12/2019 | |||
| ABN AMRO Bank N.V. | 215,550 | 6.8 | % | 2.63 | % | 8 | 8/13/2019 | |||
| Mitsubishi UFJ Securities (USA), Inc | 205,272 | 6.4 | % | 2.53 | % | 81 | 11/12/2019 | |||
| Citigroup Global Markets Inc | 184,131 | 5.8 | % | 2.65 | % | 23 | 9/20/2019 | |||
| ASL Capital Markets Inc. | 177,332 | 5.6 | % | 2.61 | % | 30 | 10/7/2019 | |||
| South Street Securities, LLC | 176,119 | 5.5 | % | 2.61 | % | 187 | 4/9/2020 | |||
| Cantor Fitzgerald & Co | 165,541 | 5.2 | % | 2.62 | % | 13 | 8/19/2019 | |||
| ING Financial Markets LLC | 164,747 | 5.2 | % | 2.52 | % | 20 | 8/30/2019 | |||
| ICBC Financial Services LLC | 105,636 | 3.3 | % | 2.62 | % | 12 | 8/12/2019 | |||
| Guggenheim Securities, LLC | 94,331 | 3.0 | % | 2.61 | % | 31 | 9/30/2019 | |||
| FHLB-Cincinnati | 81,100 | 2.5 | % | 2.64 | % | 1 | 8/1/2019 | |||
| ED&F Man Capital Markets Inc | 60,384 | 1.9 | % | 2.62 | % | 55 | 10/7/2019 | |||
| Daiwa Securities America Inc. | 49,594 | 1.6 | % | 2.60 | % | 12 | 8/12/2019 | |||
| Lucid Cash Fund USG LLC | 49,212 | 1.5 | % | 2.58 | % | 15 | 8/15/2019 | |||
| Bank of Montreal | 42,702 | 1.3 | % | 2.64 | % | 15 | 8/28/2019 | |||
| Merrill Lynch, Pierce, Fenner & Smith | 29,152 | 0.9 | % | 2.73 | % | 8 | 8/12/2019 | |||
| J.V.B. Financial Group, LLC | 24,556 | 0.8 | % | 2.58 | % | 9 | 8/15/2019 | |||
| Lucid Prime Fund, LLC | 14,922 | 0.5 | % | 2.62 | % | 15 | 8/15/2019 | |||
| Natixis, New York Branch | 4,732 | 0.1 | % | 2.55 | % | 15 | 8/15/2019 | |||
| Mizuho Securities USA, Inc | 4,698 | 0.1 | % | 2.86 | % | 15 | 8/15/2019 | |||
| Total Borrowings | $ | 3,183,107 | 100.0 | % | 2.59 | % | 43 | 4/9/2020 | ||
(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