Mar 13, 2019

Orchid Island Capital Announces March 2019 Monthly Dividend and February 28, 2019 RMBS Portfolio Characteristics

  • March 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of February 28, 2019
  • Next Dividend Announcement Expected April 17, 2019

VERO BEACH, Fla., March 13, 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 March 2019. The dividend of $0.08 per share will be paid April 30, 2019, to holders of record on March 29, 2019, with an ex-dividend date of March 28, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on April 17, 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 March 13, 2019, the Company had 49,018,779 shares outstanding. At December 31, 2018, the Company had 49,132,423 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 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 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, 2018.


                                   
RMBS Valuation Characteristics                                  
($ in thousands)                                  
                        Realized Realized        
                        Feb 2019 Dec - Feb   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 Portfolio   Price Coupon GWAC Age (Months) in Mar) in Mar)   (-50 BPS)(1)   (+50 BPS)(1)
ARM RMBS                                  
Post Rest ARM $ 1,337   $ 1,413 0.05 % $ 105.66 4.75 % 5.19 %  172  189 69.02 % 43.14 % $ 9   $ (7 )
Fixed Rate CMO   701,767     722,819 24.30 %   103.00 4.26 % 4.61 %  12  345 8.90 % 7.59 %   2,997     (6,809 )
15yr 4.0   519,826     538,634 18.11 %   103.62 4.00 % 4.53 %  9  168 7.54 % 6.37 %   9,621     (10,136 )
15yr Total   519,826     538,634 18.11 %   103.62 4.00 % 4.53 %  9  168 7.54 % 6.37 %   9,621     (10,136 )
20yr 4.0   89,738     92,767 3.12 %   103.38 4.00 % 4.48 %  19  217 9.52 % 7.53 %   2,041     (2,103 )
20yr Total   89,738     92,767 3.12 %   103.38 4.00 % 4.48 %  19  217 9.52 % 7.53 %   2,041     (2,103 )
30yr 4.0   303,061     311,695 10.48 %   102.85 4.00 % 4.55 %  22  336 5.39 % 5.48 %   6,606     (8,107 )
30yr 4.5   955,242     998,006 33.55 %   104.48 4.50 % 4.96 %  12  347 9.90 % 10.09 %   13,612     (18,663 )
30yr 5.0   162,596     173,802 5.84 %   106.89 5.00 % 5.50 %  12  346 13.45 % 10.88 %   2,362     (3,056 )
30yr Total   1,420,899     1,483,503 49.87 %   104.41 4.45 % 4.94 %  14  345 9.35 % 9.20 %   22,580     (29,826 )
Total Pass Through RMBS   2,733,567     2,839,136 95.44 %   103.86 4.30 % 4.76 %  13  307 8.92 % 8.11 %   37,248     (48,881 )
Structured RMBS                                  
Interest-Only Securities   753,908     112,560 3.78 %   14.93 3.74 % 4.33 %  60  253 7.11 % 7.35 %   (14,885 )   11,399  
Inverse Interest-Only Securities   219,974     23,229 0.78 %   10.56 2.63 % 4.86 %  56  295 8.76 % 9.65 %   2,338     (3,035 )
Total Structured RMBS   973,882     135,789 4.56 %   13.94 3.49 % 4.45 %  59  262 7.48 % 7.87 %   (12,547 )   8,364  
Total Mortgage Assets $ 3,707,449   $ 2,974,925 100.00 %     4.09 % 4.68 %  25  295 8.54 % 8.04 % $ 24,701   $ (40,517 )
                                   
                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(1)   (+50 BPS)(1)
Eurodollar Futures $ (1,725,000 )   Dec-2020                   $ (17,250 ) $ 17,250  
Swaps   (1,260,000 )   Oct-2020                     (10,725 )   10,725  
5-Year Treasury Future   (165,000 )   Jun-2019(2)                     (4,019 )   4,500  
TBA   (250,000 )   Mar-2018                     (5,208 )   6,086  
Hedge Total $ (3,400,000 )                       $ (37,202 ) $ 38,561  
Rate Shock Grand Total                           $ (12,501 ) $ (1,956 )
 
(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 $114.56 at February 28, 2019.  The notional contract value of the short position was $189.0 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 Portfolio   Asset Category   Value Portfolio
As of February 28, 2019         As of February 28, 2019      
Fannie Mae $ 1,461,823 49.1 %   Non-Whole Pool Assets $ 928,095 31.2 %
Freddie Mac   1,509,304 50.8 %   Whole Pool Assets   2,046,830 68.8 %
Ginnie Mae   3,798 0.1 %   Total Mortgage Assets $ 2,974,925 100.0 %
Total Mortgage Assets $ 2,974,925 100.0 %          
                   


                 
Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of February 28, 2019   Borrowings   Debt   Rate in Days Maturity
Mirae Asset Securities (USA) Inc. $ 371,010   13.3 %   2.66 % 49 5/13/2019
RBC Capital Markets, LLC   317,254   11.3 %   2.67 % 16 3/28/2019
Wells Fargo Bank, N.A.   306,180   10.9 %   2.64 % 17 3/26/2019
J.P. Morgan Securities LLC   257,599   9.2 %   2.65 % 15 3/15/2019
Cantor Fitzgerald & Co   249,621   8.9 %   2.63 % 12 3/15/2019
ING Financial Markets LLC   224,760   8.0 %   2.63 % 15 3/25/2019
Mitsubishi UFJ Securities (USA), Inc   203,012   7.2 %   2.67 % 67 5/15/2019
ABN AMRO Bank N.V.   148,320   5.3 %   2.65 % 35 4/4/2019
ICBC Financial Services LLC   124,773   4.4 %   2.66 % 14 3/15/2019
Citigroup Global Markets Inc   112,169   4.0 %   2.67 % 25 3/29/2019
ASL Capital Markets Inc.   90,729   3.2 %   2.67 % 75 5/14/2019
FHLB-Cincinnati   82,688   2.9 %   2.67 % 1 3/1/2019
South Street Securities, LLC   74,905   2.7 %   2.63 % 29 3/29/2019
Natixis, New York Branch   56,589   2.0 %   2.77 % 15 3/15/2019
Lucid Cash Fund USG LLC   48,776   1.7 %   2.68 % 14 3/14/2019
Bank of Montreal   35,447   1.3 %   2.66 % 15 3/15/2019
Guggenheim Securities, LLC   26,762   1.0 %   2.66 % 1 3/1/2019
J.V.B. Financial Group, LLC   24,546   0.9 %   2.63 % 21 3/25/2019
Lucid Prime Fund, LLC   20,153   0.7 %   2.73 % 14 3/14/2019
Merrill Lynch, Pierce, Fenner & Smith   15,807   0.6 %   3.04 % 28 3/28/2019
ED&F Man Capital Markets Inc   13,469   0.5 %   2.63 % 7 3/7/2019
Total Borrowings $ 2,804,569   100.0 %   2.66 % 27 5/15/2019
                     


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.