Aug 14, 2019

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)                                  
                        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

Orchid Island Capital, Inc.

Source: Orchid Island Capital, Inc.