Orchid Island Capital Announces May 2018 Monthly Dividend and April 30, 2018 RMBS Portfolio Characteristics

  • May 2018 Monthly Dividend of $0.09 Per Share
  • RMBS Portfolio Characteristics as of April 30, 2018
  • Next Dividend Announcement Expected June 19, 2018

VERO BEACH, Fla., May 16, 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 May 2018. The dividend of $0.09 per share will be paid June 8, 2018 to holders of record on May 31, 2018, with an ex-dividend date of May 30, 2018. The Company plans on announcing its next dividend after its Board meeting on June 19, 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 May 16, 2018, the Company had 52,160,408 shares outstanding. At March 31, 2018, the Company had 53,072,169 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 2018 are presented below. These figures are preliminary and subject to change.  The information contained herin is an intra-quarter update created by the Company based on information that the Company believes in 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.

                 
MBS Valuation Characteristics                
Asset Category Current
Face
Fair Value Percentage
of Portfolio
Current
Price
Weighted
Average
Coupon
Weighted
Average
Maturity
Realized
1-Month
CPR
April 2018
(Reported
in May)
Realized
3-Month
CPR
February
– April
2018
CPR
Hybrid/ARM                
<3yr reset $ 1,638 $ 1,728 0.05 % 105.52 3.95 % 202 0.01 % 0.01 %
3yr-5yr reset 18,211 18,125 0.49 % 99.53 2.71 % 294 34.15 % 20.56 %
5yr-7yr reset 8,292 8,103 0.22 % 97.72 2.33 % 303 0.86 % 0.80 %
Total Hybrid/ARM 28,141 27,956 0.76 % 99.35 2.68 % 291 22.35 % 13.54 %
Fixed Rate RMBS                
Fixed Rate CMO 150,000 155,693 4.21 % 103.80 4.50 % 291 3.61 % n/a  
Fixed Rate CMO Total 150,000 155,693 4.21 % 103.80 4.50 % 291 3.61 % n/a  
Fixed Rate 15yr 3.5 3,316 3,366 0.09 % 101.52 3.50 % 126 44.63 % 18.05 %
Fixed Rate 15yr 4.0 336,428 348,453 9.42 % 103.57 4.00 % 180 4.83 % n/a  
Fixed Rate 15yr Total 339,744 351,819 9.51 % 103.55 3.99 % 179 5.35 % 18.05 %
Fixed Rate 20yr 4.0 386,028 397,881 10.76 % 103.07 4.00 % 234 7.26 % 5.30 %
Fixed Rate 20yr Total 386,028 397,881 10.76 % 103.07 4.00 % 234 7.26 % 5.30 %
Fixed Rate 30yr 4.0 772,115 791,006 21.38 % 102.45 4.00 % 234 5.12 % 4.28 %
Fixed Rate 30yr 4.5 1,717,557 1,805,700 48.81 % 105.13 4.50 % 350 10.35 % 9.15 %
Fixed Rate 30yr 5.0 20,810 22,346 0.60 % 107.38 5.00 % 348 23.50 % 11.71 %
Fixed Rate 30yr Total 2,510,482 2,619,052 70.80 % 104.32 4.35 % 350 8.85 % 7.68 %
Total Fixed Rate RMBS 3,386,254 3,524,445 95.28 % 104.08 4.28 % 317 8.23 % 7.37 %
Structured RMBS                
Interest-Only Securities 777,038 119,783 3.24 % 15.42 3.83 % 282 11.50 % 12.03 %
Inverse Interest-Only Securities 253,105 26,944 0.73 % 10.65 3.76 % 311 11.74 % 10.83 %
Total Structured RMBS 1,030,144 146,727 3.97 % 14.24 3.82 % 287 11.56 % 10.94 %
Total Mortgage Assets 4,444,538 3,699,128 100.00 %   4.26 % 320 9.12 % 8.49 %
                         

           
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 April 30, 2018         As of April 30, 2018      
Fannie Mae $ 2,262,184 61.2 %   Whole Pool Assets $ 2,757,932 74.6 %
Freddie Mac   1,431,252 38.7 %   Non-Whole Pool Assets   941,196 25.4 %
Ginnie Mae   5,692 0.1 %   Total Mortgage Assets $ 3,699,128 100.0 %
Total Mortgage Assets $ 3,699,128 100.0 %          
                   

(1)  Amounts in the tables above include assets with a fair value of approximately $141.8 million purchased in April 2018, which settle in May 2018, and exclude assets with a fair value of approximately $130.3 million sold in April 2018, which settle in May 2018.

               
Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of April 30, 2018   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 462,204   13.3 %   75 8/10/2018
Mirae Asset Securities (USA) Inc.   390,061   11.3 %   43 8/10/2018
RBC Capital Markets, LLC   268,045   7.7 %   20 5/30/2018
Wells Fargo Bank, N.A.   231,621   6.7 %   14 5/14/2018
Citigroup Global Markets Inc   215,375   6.2 %   16 5/18/2018
Cantor Fitzgerald & Co   193,199   5.6 %   15 5/15/2018
ING Financial Markets LLC   185,394   5.4 %   10 5/11/2018
Mitsubishi UFJ Securities (USA), Inc   170,768   4.9 %   24 7/23/2018
Guggenheim Securities, LLC   159,372   4.6 %   43 6/13/2018
ICBC Financial Services LLC   144,374   4.2 %   25 5/25/2018
Nomura Securities International, Inc.   130,319   3.8 %   30 6/18/2018
KGS-Alpha Capital Markets, L.P   121,337   3.5 %   46 8/14/2018
South Street Securities, LLC   121,227   3.5 %   29 5/31/2018
Natixis, New York Branch   97,706   2.8 %   17 5/25/2018
FHLB-Cincinnati   90,730   2.6 %   1 5/1/2018
ED&F Man Capital Markets Inc   81,553   2.4 %   18 5/23/2018
ASL Capital Markets Inc.   72,270   2.1 %   77 7/16/2018
Mizuho Securities USA, Inc   68,283   2.0 %   28 7/26/2018
Daiwa Securities America Inc.   67,298   1.9 %   9 5/11/2018
Goldman, Sachs & Co   58,845   1.7 %   11 5/11/2018
Lucid Cash Fund USG LLC   39,853   1.2 %   14 5/14/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   39,575   1.1 %   23 5/30/2018
ABN AMRO Bank N.V.   38,129   1.1 %   7 5/7/2018
J.V.B. Financial Group, LLC   18,058   0.5 %   14 5/14/2018
Total Borrowings $ 3,465,596   100.0 %   32 8/14/2018
                 

(1)  In April 2018, the Company purchased assets with a fair value of approximately $141.8 million, which settle in May 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 $130.3 million, which settle in May 2018 that collateralize approximately $132.4 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 April 30, 2018                    
Adjustable Rate RMBS $ 1,728 2   10.05 % 2.00 % $ 6   $ (5 )
Hybrid Adjustable Rate RMBS   26,228 56   7.59 % 2.00 %   382     (398 )
Fixed Rate RMBS   3,524,445 n/a   n/a   n/a     71,439     (86,636 )
Fixed Rate CMO   155,693 n/a   n/a   n/a     705     (2,071 )
Total Pass-through RMBS   3,552,401 n/a   n/a   n/a     72,532     (89,110 )
Interest-Only Securities   119,783 n/a   n/a   n/a     (13,624 )   9,039  
Inverse Interest-Only Securities   26,944 1   5.31 % n/a     3,036     (3,597 )
Structured RMBS   146,727 n/a   n/a   n/a     (10,588 )   5,443  
Total Mortgage Assets $ 3,699,128 n/a   n/a   n/a   $ 61,945   $ (83,667 )
                     
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 $ 1,454,545   Dec-20 $ (20,000 ) $ 20,000  
Treasury Futures Contracts – Short Positions   165,000   Jun-18   (4,097 )   4,574  
Payer Swaps   1,010,000   Aug-22   (11,933 )   11,933  
Payer Swaption   750,000   Aug-28   (9,562 )   20,584  
Receiver Swaption   100,000   Feb-24   1,251     (443 )
TBA Short Positions   400,000   Jun-18   (12,430 )   13,966  
Total Hedges         (56,771 )   70,614  
               
Grand Total       $ 5,173   $ (13,053 )
                   

(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 $113.5 at April 30, 2018.  The notional contract value of the short position was $187.3 million.

Contact:

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

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