Orchid Island Capital Announces February 2018 Monthly Dividend and January 31, 2018 RMBS Portfolio Characteristics

  • February 2018 Monthly Dividend of $0.11 Per Share
  • RMBS Portfolio Characteristics as of January 31, 2018

VERO BEACH, Fla., Feb. 14, 2018 (GLOBE NEWSWIRE) — Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of February 2018. The dividend of $0.11 per share will be paid March 9, 2018, to holders of record on February 28, 2018, with an ex-dividend date of February 27, 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 February 14, 2018, the Company had 53,065,790 shares outstanding. At December 31, 2017, the Company had 53,061,904 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 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)                  
              Percentage Weighted Realized
    Current   Fair   Current of Average Jan 2018 CPR
Asset Category   Face   Value(1)   Price Portfolio Coupon (Reported in Feb)
As of January 31, 2018                  
Adjustable Rate RMBS $ 1,654 $ 1,747 $ 105.61 0.04 % 3.95 % 0.01 %
10-1 Hybrid Rate RMBS   26,654   26,663   100.04 0.69 % 2.59 % 2.98 %
Hybrid Adjustable Rate RMBS   26,654   26,663   100.04 0.69 % 2.59 % 2.98 %
15 Year Fixed Rate RMBS   38,517   39,663   102.98 1.02 % 3.50 % 4.14 %
20 Year Fixed Rate RMBS   501,575   524,160   104.50 13.49 % 4.00 % 3.88 %
30 Year Fixed Rate RMBS   2,984,986   3,159,809   105.86 81.33 % 4.32 % 5.60 %
Total Fixed Rate RMBS   3,525,078   3,723,632   105.63 95.84 % 4.26 % 5.34 %
Total Pass-through RMBS   3,553,386   3,752,042   105.59 96.58 % 4.25 % 5.32 %
Interest-Only Securities   739,032   102,218   13.83 2.63 % 3.79 % 10.70 %
Inverse Interest-Only Securities   263,123   30,845   11.72 0.79 % 4.06 % 10.40 %
Structured RMBS   1,002,155   133,063   13.28 3.42 % 3.85 % 10.62 %
Total Mortgage Assets $ 4,555,541 $ 3,885,105     100.00 % 4.24 % 6.44 %

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 January 31, 2018         As of January 31, 2018      
Fannie Mae $ 2,323,223 59.8 %   Whole Pool Assets $ 3,064,511 78.9 %
Freddie Mac   1,555,967 40.0 %   Non-Whole Pool Assets   820,594 21.1 %
Ginnie Mae   5,915 0.2 %   Total Mortgage Assets $ 3,885,105 100.0 %
Total Mortgage Assets $ 3,885,105 100.0 %            
                     
(1)   Amounts in the tables above include assets with a fair value of approximately $10.1 million purchased in January 2018, which settle in February 2018, and exclude assets with a fair value of approximately $228.7 million sold in January 2018, which settle in February 2018.

Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of January 31, 2018   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 603,161   15.3 %   108 8/10/2018
Mirae Asset Securities (USA) Inc.   402,817   10.3 %   62 8/10/2018
Wells Fargo Bank, N.A.   297,322   7.6 %   12 2/12/2018
Citigroup Global Markets Inc   225,857   5.8 %   41 3/19/2018
RBC Capital Markets, LLC   219,183   5.6 %   40 3/12/2018
Guggenheim Securities, LLC   213,281   5.5 %   43 3/27/2018
Cantor Fitzgerald & Co   203,829   5.2 %   16 2/16/2018
Mizuho Securities USA, Inc   195,900   5.0 %   16 2/22/2018
ING Financial Markets LLC   192,964   4.9 %   37 3/12/2018
Mitsubishi UFJ Securities (USA), Inc   184,733   4.7 %   16 2/21/2018
ED&F Man Capital Markets Inc   167,519   4.3 %   19 3/19/2018
Goldman, Sachs & Co   156,862   4.0 %   23 3/29/2018
ICBC Financial Services LLC   151,117   3.9 %   30 3/2/2018
Nomura Securities International, Inc.   136,972   3.5 %   41 3/19/2018
KGS-Alpha Capital Markets, L.P   124,525   3.2 %   71 8/14/2018
Natixis, New York Branch   104,563   2.7 %   20 2/26/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   104,366   2.7 %   10 2/14/2018
FHLB-Cincinnati   93,415   2.4 %   1 2/1/2018
Daiwa Securities America Inc.   68,546   1.8 %   10 2/12/2018
Lucid Cash Fund USG LLC   32,778   0.8 %   15 2/15/2018
J.V.B. Financial Group, LLC   18,820   0.5 %   32 3/13/2018
South Street Securities, LLC   10,948   0.3 %   28 2/28/2018
Total Borrowings $ 3,909,478   100.0 %   43 8/14/2018
 
(1)   In January 2018, the Company purchased assets with a fair value of approximately $10.1 million, which settle in February 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 $228.7 million, which settle in February 2018 that collateralize approximately $220.9 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 January 31, 2018                    
Adjustable Rate RMBS $ 1,747 5   10.05% 2.00% $ 10   $ (5 )
Hybrid Adjustable Rate RMBS   26,663 59   7.59% 2.00%   389     (404 )
Total Fixed Rate RMBS   3,723,632 n/a   n/a n/a   67,158     (93,954 )
Total Pass-through RMBS   3,752,042 n/a   n/a n/a   67,557     (94,363 )
Interest-Only Securities   102,218 n/a   n/a n/a   (15,650 )   7,676  
Inverse Interest-Only Securities   30,845 1   5.25% n/a   2,369     (4,129 )
Structured RMBS   133,063 n/a   n/a n/a   (13,281 )   3,547  
Total Mortgage Assets $ 3,885,105 n/a   n/a n/a $ 54,276   $ (90,816 )
                     
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 $ 1,183,333   Dec-2020 $ (16,098 ) $ 17,750  
Treasury Futures Contracts – Short Positions   305,000   Mar-2018   (9,415 )   8,490  
Payer Swaps   1,010,000   Aug-2022   (13,193 )   13,193  
Payer Swaption   500,000   Jan-2028   (3,335 )   8,239  
TBA Short Positions   350,000   Feb-2018   (11,938 )   14,745  
Total Hedges         (53,979 )   62,417  
               
Grand Total       $ 297   $ (28,399 )
(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 and ten year treasury futures contracts were valued at prices of $114.71 and $121.58, respectively, at January 31, 2018.  The notional contract value of the short position was $359.5 million.


Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

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