Loading, Please Wait...

CST: 15/10/2019 16:19:37   

Orchid Island Capital Announces September 2018 Monthly Dividend and August 31, 2018 RMBS Portfolio Characteristics

280 Days ago

  • September 2018 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of August 31, 2018
  • Next Dividend Announcement Expected October 17, 2018

VERO BEACH, Fla., Sept. 17, 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 September 2018. The dividend of $0.08 per share will be paid October 10, 2018, to holders of record on September 28, 2018, with an ex-dividend date of September 27, 2018. The Company plans on announcing its next dividend after the Board’s meeting on October 17, 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 September 17, 2018, the Company had 52,034,596 shares outstanding. At June 30, 2018, the Company had 52,034,596 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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. 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)                                    
                          Realized Realized        
                          Aug 2018 Jun - Aug        
                  Net     Weighted CPR 2018 CPR   Modeled   Modeled
            %     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 Sep) in Sep)   (-50 BPS)(2)   (+50 BPS)(2)
Hybrid/ARM                                    
<3y reset $ 1,367   $ 1,450 0.04 %   $ 106.07 4.07 % 5.08 % 166 195 1.61 % 43.59 % $ 9   $ (7 )
3y-5y reset   24,793     24,567 0.70 %     99.09 2.57 % 3.24 % 68 293 0.72 % 1.21 %   330     (345 )
Total Hybrid/ARM   26,160     26,017 0.74 %     99.45 2.65 % 3.33 % 73 288 0.77 % 3.43 %   339     (352 )
Fixed Rate RMBS                                    
Fixed Rate CMO   749,438     772,972 21.98 %     103.14 4.27 % 4.62 % 6 352 7.59 % 6.14 %   4,581     (9,519 )
Fixed Rate CMO Total   749,438     772,972 21.98 %     103.14 4.27 % 4.62 % 6 352 7.59 % 6.14 %   4,581     (9,519 )
15yr 3.5   2,885     2,925 0.08 %     101.38 3.50 % 3.83 % 59 120 2.19 % 22.81 %   55     (55 )
15yr 4.0   774,794     799,106 22.72 %     103.14 4.00 % 4.52 % 4 175 5.18 % 4.65 %   14,720     (15,847 )
15yr Total   777,679     802,031 22.80 %     103.13 4.00 % 4.51 % 4 175 5.17 % 4.76 %   14,775     (15,902 )
20yr 4.0   207,557     214,266 6.09 %     103.23 4.00 % 4.47 % 16 221 9.97 % 10.58 %   5,003     (5,180 )
20yr 4.5   19,506     20,354 0.58 %     104.35 4.50 % 5.15 % 4 235 23.71 % 13.37 %   289     (374 )
20yr Total   227,063     234,620 6.67 %     102.26 4.04 % 4.52 % 15 222 11.15 % 12.47 %   5,292     (5,554 )
30yr 4.0   326,975     334,376 9.51 %     102.26 4.00 % 4.48 % 18 339 4.19 % 6.17 %   7,874     (9,394 )
30yr 4.5   981,023     1,028,271 29.23 %     104.82 4.50 % 4.92 % 12 346 8.63 % 9.87 %   17,475     (22,984 )
30yr 5.0   170,988     183,190 5.21 %     107.14 5.00 % 5.50 % 6 353 5.19 % 5.30 %   2,622     (3,510 )
30yr Total   1,478,986     1,545,837 43.95 %     104.52 4.45 % 4.89 % 13 345 7.25 % 8.38 %   27,971     (35,888 )
Total Fixed Rate RMBS   3,233,166     3,355,460 95.40 %     103.78 4.27 % 4.71 % 9 297 7.10 % 7.19 %   52,619     (66,863 )
Total Pass Through RMBS   3,259,326     3,381,477 96.14 %     103.75 4.26 % 4.70 % 10 297 7.05 % 7.14 %   52,958     (67,215 )
Structured RMBS                                    
Interest-Only Securities   727,477     111,328 3.17 %     15.30 3.70 % 4.28 % 60 246 11.44 % 12.13 %   (14,291 )   9,821  
Inverse Interest-Only Securities   238,330     24,499 0.70 %     10.28 3.07 % 4.86 % 50 301 13.42 % 12.73 %   2,415     (3,047 )
Total Structured RMBS   965,807     135,827 3.86 %     14.06 3.54 % 4.42 % 57 260 11.92 % 12.27 %   (11,876 )   6,774  
Total Mortgage Assets $ 4,225,133   $ 3,517,304 100.00 %       4.09 % 4.64 % 21 289 8.17 % 8.62 % $ 41,082   $ (60,441 )
                                     
                                Int   Int
    Average     Hedge                     Rate   Rate
    Notional     Period                     Sensitivity   Sensitivity
Hedge   Balance     End                     (-50 BPS)(2)   (+50 BPS)(2) 
Eurodollar Futures   1,475,000     Dec-2020                   $ (18,438 ) $ 18,438  
Swaps   1,260,000     Aug-2022                     (13,706 )   13,706  
5-Year Treasury Future   165,000     Dec-2018                     (4,058 )   4,245  
TBA   400,000     Oct-2018                     (10,686 )   12,405  
Swaptions   950,000     Oct-2028                     (3,737 )   20,540  
Hedge Total   4,250,000                         $ (50,625 ) $ 69,334  
Rate Shock Grand Total                             $ (9,543 ) $ 8,893  
                                       

(1) Amounts in the tables above exclude assets with a fair value of approximately $223.1 million sold in August 2018, which settle in September 2018.
(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 $113.40 at August 31, 2018. The notional contract value of the short position was $187.1 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 August 31, 2018         As of August 31, 2018      
Fannie Mae $ 2,251,996 64.0 %       Non-Whole Pool Assets $ 1,140,897 32.4 %
Freddie Mac   1,260,539 35.9 %   Whole Pool Assets   2,376,407 67.6 %
Ginnie Mae   4,769 0.1 %   Total Mortgage Assets $ 3,517,304 100.0 %
Total Mortgage Assets $ 3,517,304 100.0 %          
                   

(1) Amounts in the tables above exclude assets with a fair value of approximately $223.1 million sold in August 2018, which settle in September 2018.

                 
Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Maturity Repo Longest
As of August 31, 2018   Borrowings(1)   Debt   in Days Rate Maturity
RBC Bank $ 459,372   13.1 %   35 2.20 % 10/30/2018
Mirae   369,038   10.5 %   29 2.18 % 11/8/2018
JPMorgan   326,369   9.2 %   8 2.15 % 9/28/2018
Wells Fargo Securities   273,071   7.7 %   28 2.14 % 10/1/2018
Citigroup   249,947   7.1 %   20 2.19 % 9/28/2018
Mitsubishi   226,646   6.4 %   29 2.17 % 10/19/2018
ICBC   181,259   5.1 %   46 2.22 % 11/20/2018
Cantor   178,467   5.1 %   74 2.24 % 11/13/2018
ING   160,387   4.5 %   20 2.18 % 11/29/2018
Natixis   130,745   3.7 %   17 2.26 % 9/25/2018
ABN AMRO   129,650   3.7 %   4 2.10 % 9/4/2018
Guggenheim   113,750   3.2 %   26 2.17 % 11/13/2018
FHLB-Cincinnati   97,718   2.8 %   4 2.05 % 9/4/2018
KGS   96,186   2.7 %   15 2.15 % 9/17/2018
South Street Securities Llc   91,620   2.6 %   30 2.16 % 11/13/2018
ASL CAP   87,449   2.5 %   40 2.18 % 11/13/2018
ED&F Man   75,287   2.1 %   25 2.16 % 11/7/2018
GS   73,234   2.1 %   10 2.14 % 9/10/2018
Daiwa   56,940   1.6 %   6 2.13 % 9/7/2018
Lucid Management   54,611   1.5 %   13 2.18 % 9/13/2018
Nomura   43,944   1.2 %   22 2.15 % 10/22/2018
JVB Financial   26,511   0.8 %   39 2.18 % 10/16/2018
Mizuho Capital Markets   13,656   0.4 %   22 2.17 % 9/27/2018
BOA   8,815   0.2 %   7 2.58 % 9/10/2018
Lucid   5,512   0.2 %   20 2.62 % 9/20/2018
Total Borrowings $ 3,530,184   100.0 %   26 2.18 % 11/29/2018
                     

(1) In August 2018, the Company sold assets with a fair value of approximately $223.1 million, which settle in September 2018 that collateralize approximately $210.1 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

Is your business listed correctly on America’s largest city directory network of 1,000 portals?