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CST: 24/08/2019 12:48:19   

Orchid Island Capital Announces May 2019 Monthly Dividend and April 30, 2019 RMBS Portfolio Characteristics

100 Days ago

  • May 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of April 30, 2019
  • Next Dividend Announcement Expected June 11, 2019

VERO BEACH, Fla., May 15, 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 May 2019. The dividend of $0.08 per share will be paid June 28, 2019, to holders of record on May 31, 2019, with an ex-dividend date of May 30, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on June 11, 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 May 15, 2019, the Company had 53,392,967 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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 and the expected funding of purchased assets and anticipating 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        
                        Apr 2019 Feb - Apr   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 May) in May)   (-50 BPS)(2)   (+50 BPS)(2)
Pass Through RMBS                                  
Post Reset ARM $ 1,136   $ 1,202 0.04 % $ 105.81 4.78 % 5.22 % 176 185 0.00 % 40.67 % $ 7   $ (7 )
Fixed Rate CMO   681,367     706,390 20.81 %   103.67 4.26 % 4.61 % 14 343 15.35 % 11.55 %   56     (3,508 )
15yr 4.0   474,789     495,341 14.59 %   104.33 4.00 % 4.54 % 11 166 9.57 % 8.60 %   8,558     (9,097 )
15yr Total   474,789     495,341 14.59 %   104.33 4.00 % 4.54 % 11 166 9.57 % 8.60 %   8,558     (9,097 )
20yr 4.0   87,786     91,837 2.70 %   104.61 4.00 % 4.48 % 21 215 10.37 % 9.53 %   1,962     (2,049 )
20yr Total   87,786     91,837 2.70 %   104.61 4.00 % 4.48 % 21 215 10.37 % 9.53 %   1,962     (2,049 )
30yr 3.0   224,240     219,286 6.46 %   97.79 3.00 % 4.34 % 1 359 3.23 % -     4,839     (6,924 )
30yr 3.5   54,896     55,507 1.63 %   101.11 3.50 % 4.22 % 13 344 6.13 % -     1,044     (1,414 )
30yr 4.0   749,380     778,905 22.94 %   103.94 4.00 % 4.67 % 12 347 7.68 % 8.20 %   12,821     (18,291 )
30yr 4.5   468,037     490,963 14.46 %   104.90 4.50 % 5.11 % 8 352 12.65 % 12.48 %   4,205     (6,591 )
30yr 5.0   385,844     418,287 12.32 %   108.41 5.00 % 5.59 % 10 348 9.70 % 14.12 %   6,017     (7,482 )
30yr Total   1,882,397     1,962,948 57.82 %   104.28 4.20 % 4.91 % 9 350 8.72 % 11.21 %   28,926     (40,702 )
Total Pass Through RMBS   3,127,475     3,257,718 95.95 %   104.16 4.18 % 4.78 % 11 316 10.44 % 10.66 %   39,509     (55,363 )
Structured RMBS                                  
Interest-Only Securities   788,857     113,137 3.33 %   14.34 3.76 % 4.34 % 62 253 11.22 % 9.67 %   (17,821 )   14,663  
Inverse Interest-Only Securities   215,119     24,236 0.71 %   11.27 2.64 % 4.86 % 58 293 9.69 % 9.02 %   1,853     (2,699 )
Total Structured RMBS   1,003,976     137,373 4.05 %   13.68 3.52 % 4.45 % 61 262 10.89 % 9.53 %   (15,968 )   11,964  
Total Mortgage Assets $ 4,131,451   $ 3,395,091 100.00 %     4.02 % 4.70 % 23 303 10.56 % 10.30 % $ 23,541   $ (43,399 )
                                   
                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(2)   (+50 BPS)(2)
Eurodollar Futures $ (457,143 )   Dec-2020                   $ (4,000 ) $ 4,000  
Swaps   (1,760,000 )   Sep-2020                     (22,359 )   22,359  
5-Year Treasury Future   (165,000 )   Jun-2019(3)                     (4,095 )   4,534  
TBA   (250,000 )   May-2019                     (4,349 )   6,289  
Swaptions   (100,000 )   Jun-2026                     (87 )   1,304  
Hedge Total $ (2,732,143 )                       $ (34,890 ) $ 38,486  
Rate Shock Grand Total                           $ (11,349 ) $ (4,913 )


     
(1)   Amounts in the tables above include assets with a fair value of approximately $202.2 million purchased in April 2019, which settle in May 2019, and exclude assets with a fair value of approximately $248.2 million sold in April 2019, which settle in May 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 $115.64 at April 30, 2019.  The notional contract value of the short position was $190.8 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 April 30, 2019         As of April 30, 2019      
Fannie Mae $ 1,967,242 57.9 %   Non-Whole Pool Assets $ 1,243,228 36.6 %
Freddie Mac   1,424,448 42.0 %   Whole Pool Assets   2,151,863 63.4 %
Ginnie Mae   3,401 0.1 %   Total Mortgage Assets $ 3,395,091 100.0 %
Total Mortgage Assets $ 3,395,091 100.0 %          


     
(1)   Amounts in the tables above include assets with a fair value of approximately $202.2 million purchased in April 2019, which settle in May 2019 and exclude assets with a fair value of approximately $248.2 million sold in April 2019, which settle in May 2019.
     


                 
Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of April 30, 2019   Borrowings(1)   Debt   Rate in Days Maturity
RBC Capital Markets, LLC $ 469,669   14.5 %   2.69 % 36 7/15/2019
Mirae Asset Securities (USA) Inc.   369,666   11.4 %   2.65 % 106 10/9/2019
Wells Fargo Bank, N.A.   368,141   11.3 %   2.67 % 21 6/10/2019
J.P. Morgan Securities LLC   252,512   7.8 %   2.70 % 15 5/15/2019
ING Financial Markets LLC   225,957   6.9 %   2.65 % 61 7/24/2019
Cantor Fitzgerald & Co   204,110   6.3 %   2.68 % 17 6/5/2019
Mitsubishi UFJ Securities (USA), Inc   198,607   6.1 %   2.66 % 41 7/22/2019
South Street Securities, LLC   196,440   6.0 %   2.63 % 226 4/9/2020
ABN AMRO Bank N.V.   153,738   4.7 %   2.62 % 6 5/6/2019
ASL Capital Markets Inc.   136,771   4.2 %   2.65 % 64 10/7/2019
Citigroup Global Markets Inc   130,772   4.0 %   2.70 % 28 7/16/2019
ICBC Financial Services LLC   112,926   3.5 %   2.64 % 24 6/11/2019
ED&F Man Capital Markets Inc   97,735   3.0 %   2.63 % 116 10/7/2019
FHLB-Cincinnati   81,499   2.5 %   2.88 % 1 5/1/2019
Natixis, New York Branch   54,845   1.7 %   2.76 % 15 5/15/2019
Lucid Cash Fund USG LLC   48,678   1.5 %   2.65 % 16 5/16/2019
Bank of Montreal   42,816   1.3 %   2.70 % 42 6/14/2019
Guggenheim Securities, LLC   33,015   1.0 %   2.62 % 28 5/28/2019
Merrill Lynch, Pierce, Fenner & Smith   32,413   1.0 %   2.81 % 21 5/30/2019
J.V.B. Financial Group, LLC   24,447   0.8 %   2.64 % 44 7/3/2019
Lucid Prime Fund, LLC   17,802   0.5 %   2.72 % 16 5/16/2019
Total Borrowings $ 3,252,559   100.0 %   2.67 % 53 4/9/2020


     
(1)   In April 2019, the Company purchased assets with a fair value of approximately $202.2 million, which settle in May 2019 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 $248.2 million, which settle in May 2019 that collateralize approximately $241.2 million of repurchase agreements included in the table above. 
     

Contact:

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

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