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CST: 17/06/2019 18:42:45   

Orchid Island Capital Announces June 2019 Monthly Dividend and May 31, 2019 RMBS Portfolio Characteristics

6 Days ago

  • June 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of May 31, 2019
  • Next Dividend Announcement Expected July 17, 2019

VERO BEACH, Fla., June 11, 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 June 2019. The dividend of $0.08 per share will be paid July 31, 2019, to holders of record on June 28, 2019, with an ex-dividend date of June 27, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on July 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 June 11, 2019, the Company had 53,507,949 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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 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, 2018.

RMBS Valuation Characteristics
($ in thousands)                                  
                        Realized Realized        
                        May 2019 Mar - May   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 Jun) in Jun)   (-50 BPS)(2)   (+50 BPS)(2)
Pass Through RMBS                                  
Post Reset ARM $ 1,132   $ 1,197 0.03 % $ 105.83 4.78 % 5.22 % 177 184 -   -   $ 7   $ (8 )
Fixed Rate CMO   665,655     693,481 19.20 %   104.18 4.26 % 4.60 % 15 342 16.85 % 14.18 %   (1,865 )   193  
15yr 4.0   397,728     418,787 11.59 %   105.29 4.00 % 4.53 % 12 165 8.17 % 9.24 %   6,636     (7,145 )
15yr Total   397,728     418,787 11.59 %   105.29 4.00 % 4.53 % 12 165 8.17 % 9.24 %   6,636     (7,145 )
20yr 4.0   86,719     91,787 2.54 %   105.84 4.00 % 4.48 % 22 214 10.95 % 10.00 %   1,812     (1,938 )
20yr Total   86,719     91,787 2.54 %   105.84 4.00 % 4.48 % 22 214 10.95 % 10.00 %   1,812     (1,938 )
30yr 3.0   260,163     259,065 7.17 %   99.58 3.00 % 4.29 % 1 358 3.92 % -     3,232     (5,599 )
30yr 3.5   115,498     119,224 3.30 %   103.23 3.50 % 4.30 % 9 348 9.00 % 8.79
  1,824     (2,685 )
30yr 4.0   743,180     781,683 21.64 %   105.18 4.00 % 4.67 % 13 345 7.48 % 8.12 %   8,815     (13,518 )
30yr 4.5   259,040     272,845 7.55 %   105.33 4.50 % 5.24 % 9 350 13.85 % 13.51 %   2,340     (3,230 )
30yr 5.0   778,387     847,021 23.45 %   108.82 5.00 % 5.52 % 12 347 12.66 % 13.68 %   7,540     (10,109 )
30yr Total   2,156,268     2,279,838 63.11 %   105.73 4.27 % 4.98 % 10 348 9.90 % 10.81 %   23,751     (35,141 )
Total Pass Through RMBS   3,307,502     3,485,090 96.48 %   105.37 4.23 % 4.84 % 12 321 11.16 % 11.63 %   30,341     (44,039 )
Structured RMBS                                  
Interest-Only Securities   787,350     102,122 2.83 %   12.97 3.76 % 4.35 % 64 252 14.74 % 12.38 %   (16,417 )   16,261  
Inverse Interest-Only Securities   212,234     25,121 0.70 %   11.84 2.67 % 4.86 % 59 292 10.98 % 9.99 %   1,250     (2,025 )
Total Structured RMBS   999,584     127,243 3.52 %   12.73 3.53 % 4.45 % 63 261 13.94 % 11.83 %   (15,167 )   14,236  
Total Mortgage Assets $ 4,307,086   $ 3,612,333 100.00 %     4.07 % 4.75 % 24 307 11.82 % 11.70 % $ 15,174   $ (29,803 )
                                   
                              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   (1,710,000 )   Nov-2021                     (22,166 )   22,166  
5-Year Treasury Future   (165,000 )   Sep-2019(3)                     (4,884 )   3,967  
TBA   (125,000 )   Jun-2019                     (1,423 )   2,357  
Swaptions   (350,000 )   Sep-2024                     (949 )   3,763  
Hedge Total $ (2,807,143 )                       $ (33,422 ) $ 36,253  
Rate Shock Grand Total                           $ (18,248 ) $ 6,450  


(1)   Amounts in the tables above include assets with a fair value of approximately $116.1 million purchased in May 2019, which settle in June 2019, and exclude assets with a fair value of approximately $448.9 million sold in May 2019, which settle in June 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 $117.37 at May 31, 2019.  The notional contract value of the short position was $193.7 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 May 31, 2019           As of May 31, 2019      
Fannie Mae $ 2,437,653 67.5 %     Non-Whole Pool Assets $ 1,234,031 34.2 %
Freddie Mac   1,171,650 32.4 %     Whole Pool Assets   2,378,302 65.8 %
Ginnie Mae   3,030 0.1 %     Total Mortgage Assets $ 3,612,333 100.0 %
Total Mortgage Assets $ 3,612,333 100.0 %            


(1)   Amounts in the tables above include assets with a fair value of approximately $116.1 million purchased in May 2019, which settle in June 2019 and exclude assets with a fair value of approximately $448.9 million sold in May 2019, which settle in June 2019.


Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of May 31, 2019   Borrowings(1)   Debt   Rate in Days Maturity
Barclays Capital Inc. $ 544,359   14.5%   2.63% 12 6/12/2019
RBC Capital Markets, LLC   459,588   12.3%   2.67% 34 7/15/2019
Wells Fargo Bank, N.A.   364,390   9.8%   2.61% 39 7/22/2019
Mirae Asset Securities (USA) Inc.   296,255   8.0%   2.64% 116 10/9/2019
J.P. Morgan Securities LLC   248,692   6.7%   2.61% 159 11/12/2019
ING Financial Markets LLC   225,275   6.0%   2.64% 50 7/31/2019
Mitsubishi UFJ Securities (USA), Inc   197,351   5.3%   2.60% 121 11/12/2019
South Street Securities, LLC   177,058   4.8%   2.61% 248 4/9/2020
Cantor Fitzgerald & Co   163,878   4.4%   2.63% 60 8/12/2019
ASL Capital Markets Inc.   159,022   4.3%   2.61% 92 10/7/2019
ABN AMRO Bank N.V.   152,165   4.1%   2.64% 67 8/6/2019
Citigroup Global Markets Inc   137,594   3.7%   2.66% 73 8/29/2019
ICBC Financial Services LLC   111,211   3.0%   2.64% 51 8/12/2019
ED&F Man Capital Markets Inc   97,735   2.6%   2.63% 85 10/7/2019
Guggenheim Securities, LLC   90,357   2.4%   2.62% 91 9/30/2019
FHLB-Cincinnati   80,539   2.2%   2.59% 3 6/3/2019
Natixis, New York Branch   54,126   1.5%   2.73% 14 6/14/2019
Lucid Cash Fund USG LLC   48,078   1.3%   2.65% 13 6/13/2019
Bank of Montreal   43,839   1.2%   2.69% 16 6/27/2019
Merrill Lynch, Pierce, Fenner & Smith   31,290   0.8%   2.78% 21 7/1/2019
J.V.B. Financial Group, LLC   24,040   0.6%   2.60% 50 8/15/2019
Lucid Prime Fund, LLC   17,252   0.5%   2.70% 13 6/13/2019
Total Borrowings $ 3,724,094   100.0%   2.63% 70 4/9/2020


(1)   In May 2019, the Company purchased assets with a fair value of approximately $116.1 million, which settle in June 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 $448.9 million, which settle in June 2019 that collateralize approximately $435.4 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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