- December 2018 Monthly Dividend of $0.08 Per Share
- RMBS Portfolio Characteristics as of November 30, 2018
- Repurchased 1,288,497 shares through stock repurchase plan.
- Next Dividend Announcement Expected January 10, 2019
VERO BEACH, Fla., Dec. 10, 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 December 2018. The dividend of $0.08 per share will be paid January 10, 2019, to holders of record on December 31, 2018, with an ex-dividend date of December 28, 2018. The Company plans on announcing its next dividend after the Board’s meeting on January 10, 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 December 10, 2018, the Company had 50,710,671 shares outstanding, including 53,139 shares repurchased pursuant to the Company’s stock repurchase program through that date that have not yet settled. At September 30, 2018, the Company had 52,039,168 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of November 30, 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) | |||||||||||||||||||||||||||
| Realized | Realized | ||||||||||||||||||||||||||
| Nov 2018 | Sep – Nov | Modeled | Modeled | ||||||||||||||||||||||||
| Net | Weighted | CPR | 2018 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 Dec) | in Dec) | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||||
| ARM RMBS | |||||||||||||||||||||||||||
| ARM RMBS | $ | 1,351 | $ | 1,426 | 0.04 | % | $ | 105.54 | 4.75 | % | 5.19 | % | 169 | 192 | 0.01 | % | 0.05 | % | $ | 10 | $ | (8 | ) | ||||
| Total ARM RMBS | 1,351 | 1,426 | 0.04 | % | 105.54 | 4.75 | % | 5.19 | % | 169 | 192 | 0.01 | % | 0.05 | % | 10 | (8 | ) | |||||||||
| Fixed Rate RMBS | |||||||||||||||||||||||||||
| Fixed Rate CMO | 725,061 | 745,402 | 21.39 | % | 102.81 | 4.27 | % | 4.61 | % | 9 | 349 | 7.44 | % | 7.18 | % | 6,732 | (10,382 | ) | |||||||||
| Fixed Rate CMO Total | 725,061 | 745,402 | 21.39 | % | 102.81 | 4.27 | % | 4.61 | % | 9 | 349 | 7.44 | % | 7.18 | % | 6,732 | (10,382 | ) | |||||||||
| 15yr 3.5 | 2,756 | 2,776 | 0.08 | % | 100.71 | 3.50 | % | 3.84 | % | 62 | 117 | 12.06 | % | 12.57 | % | 53 | (53 | ) | |||||||||
| 15yr 4.0 | 626,938 | 642,188 | 18.42 | % | 102.43 | 4.00 | % | 4.51 | % | 6 | 172 | 6.80 | % | 6.18 | % | 12,203 | (12,730 | ) | |||||||||
| 15yr Total | 629,694 | 644,964 | 18.50 | % | 102.43 | 4.00 | % | 4.51 | % | 6 | 171 | 6.82 | % | 6.27 | % | 12,256 | (12,783 | ) | |||||||||
| 20yr 4.0 | 201,319 | 205,741 | 5.90 | % | 102.20 | 4.00 | % | 4.47 | % | 19 | 218 | 9.72 | % | 8.19 | % | 4,693 | (4,806 | ) | |||||||||
| 20yr 4.5 | 18,671 | 19,376 | 0.56 | % | 103.78 | 4.50 | % | 5.13 | % | 8 | 231 | 12.98 | % | 9.62 | % | 291 | (356 | ) | |||||||||
| 20yr Total | 219,990 | 225,117 | 6.46 | % | 101.06 | 4.04 | % | 4.52 | % | 18 | 219 | 9.99 | % | 8.31 | % | 4,984 | (5,162 | ) | |||||||||
| 30yr 4.0 | 258,721 | 261,469 | 7.50 | % | 101.06 | 4.00 | % | 4.49 | % | 23 | 334 | 4.94 | % | 5.18 | % | 6,568 | (7,458 | ) | |||||||||
| 30yr 4.5 | 1,233,543 | 1,277,521 | 36.65 | % | 103.57 | 4.50 | % | 4.93 | % | 12 | 347 | 6.63 | % | 7.43 | % | 22,876 | (28,439 | ) | |||||||||
| 30yr 5.0 | 167,461 | 177,400 | 5.09 | % | 105.94 | 5.00 | % | 5.50 | % | 9 | 349 | 7.63 | % | 7.39 | % | 2,820 | (3,464 | ) | |||||||||
| 30yr Total | 1,659,725 | 1,716,390 | 49.24 | % | 103.41 | 4.47 | % | 4.92 | % | 13 | 346 | 6.47 | % | 7.02 | % | 32,264 | (39,361 | ) | |||||||||
| Total Fixed Rate RMBS | 3,234,470 | 3,331,873 | 95.59 | % | 103.01 | 4.30 | % | 4.74 | % | 11 | 304 | 6.99 | % | 7.12 | % | 56,236 | (67,688 | ) | |||||||||
| Total Pass Through RMBS | 3,235,821 | 3,333,299 | 95.63 | % | 103.01 | 4.30 | % | 4.74 | % | 11 | 304 | 6.99 | % | 7.12 | % | 56,246 | (67,696 | ) | |||||||||
| Structured RMBS | |||||||||||||||||||||||||||
| Interest-Only Securities | 782,741 | 129,691 | 3.72 | % | 16.57 | 3.73 | % | 4.32 | % | 57 | 255 | 8.89 | % | 9.88 | % | (12,373 | ) | 9,049 | |||||||||
| Inverse Interest-Only Securities | 228,742 | 22,517 | 0.65 | % | 9.84 | 2.82 | % | 4.86 | % | 53 | 298 | 11.47 | % | 10.54 | % | 2,879 | (3,354 | ) | |||||||||
| Total Structured RMBS | 1,011,483 | 152,208 | 4.37 | % | 15.05 | 3.53 | % | 4.44 | % | 56 | 265 | 9.49 | % | 10.09 | % | (9,494 | ) | 5,695 | |||||||||
| Total Mortgage Assets | $ | 4,247,304 | $ | 3,485,507 | 100.00 | % | 4.12 | % | 4.67 | % | 22 | 294 | 7.57 | % | 7.75 | % | $ | 46,752 | $ | (62,001 | ) | ||||||
| Interest | Interest | |||||||||||||||||||
| Average | Hedge | Rate | Rate | |||||||||||||||||
| Notional | Period | Sensitivity | Sensitivity | |||||||||||||||||
| Hedge | Balance | End | (-50 BPS)(1) | (+50 BPS)(1) | ||||||||||||||||
| Eurodollar Futures | (1,725,000 | ) | Feb-2020 | $ | (17,250 | ) | $ | 17,250 | ||||||||||||
| Swaps | (1,260,000 | ) | Oct-2020 | (13,144 | ) | 13,144 | ||||||||||||||
| 5-Year Treasury Future | (165,000 | ) | Dec-2018(3) | (5,408 | ) | 2,902 | ||||||||||||||
| TBA | (430,000 | ) | Dec-2018 | (10,725 | ) | 13,284 | ||||||||||||||
| Swaptions | (850,000 | ) | Mar-2028 | 381 | 23,523 | |||||||||||||||
| Hedge Total | (4,430,000 | ) | $ | (46,146 | ) | $ | 70,103 | |||||||||||||
| Rate Shock Grand Total | $ | 606 | $ | 8,102 | ||||||||||||||||
| (1) | Amounts in the tables above include assets with a fair value of approximately $232.5 million purchased in November 2018, which settle in December 2018, and exclude assets with a fair value of approximately $65.5 million sold in November 2018, which settle in December 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 $112.96 at November 30, 2018. The notional contract value of the short position was $186.4 million. |
| RMBS Assets by Agency | Investment Company Act of 1940 Whole Pool Test | |||||||||
| ($ in thousands) | ($ in thousands) | |||||||||
| Percentage | Percentage | |||||||||
| Fair | of | Fair | of | |||||||
| Asset Category | Value(1) | Portfolio | Asset Category | Value(1) | Portfolio | |||||
| As of November 30, 2018 | As of November 30, 2018 | |||||||||
| Fannie Mae | $ | 1,751,444 | 50.2 | % | Non-Whole Pool Assets | $ | 1,098,686 | 31.5 | % | |
| Freddie Mac | 1,729,634 | 49.7 | % | Whole Pool Assets | 2,386,821 | 68.5 | % | |||
| Ginnie Mae | 4,429 | 0.1 | % | Total Mortgage Assets | $ | 3,485,507 | 100.0 | % | ||
| Total Mortgage Assets | $ | 3,485,507 | 100.0 | % | ||||||
| (1) | Amounts in the tables above include assets with a fair value of approximately $232.5 million purchased in November 2018, which settle in December 2018, and exclude assets with a fair value of approximately $65.5 million sold in November 2018, which settle in December 2018. |
| Borrowings By Counterparty | ||||||||||
| ($ in thousands) | ||||||||||
| Weighted | Weighted | |||||||||
| % of | Average | Average | ||||||||
| Total | Total | Repo | Maturity | Longest | ||||||
| As of November 30, 2018 | Borrowings(1) | Debt | Rate | in Days | Maturity | |||||
| J.P. Morgan Securities LLC | $ | 485,040 | 15.6 | % | 2.42 | % | 22 | 1/15/2019 | ||
| RBC Capital Markets, LLC | 436,775 | 14.1 | % | 2.51 | % | 44 | 1/30/2019 | |||
| Mirae Asset Securities (USA) Inc. | 357,023 | 11.5 | % | 2.51 | % | 65 | 2/13/2019 | |||
| Wells Fargo Bank, N.A. | 264,885 | 8.5 | % | 2.43 | % | 18 | 12/26/2018 | |||
| Citigroup Global Markets Inc | 222,055 | 7.2 | % | 2.47 | % | 32 | 1/28/2019 | |||
| Mitsubishi UFJ Securities (USA), Inc | 205,879 | 6.6 | % | 2.55 | % | 78 | 2/19/2019 | |||
| ICBC Financial Services LLC | 183,034 | 5.9 | % | 2.36 | % | 16 | 12/20/2018 | |||
| Cantor Fitzgerald & Co | 173,558 | 5.6 | % | 2.54 | % | 75 | 2/13/2019 | |||
| ABN AMRO Bank N.V. | 153,860 | 5.0 | % | 2.28 | % | 6 | 12/13/2018 | |||
| ING Financial Markets LLC | 108,554 | 3.5 | % | 2.53 | % | 66 | 2/12/2019 | |||
| FHLB-Cincinnati | 97,710 | 3.1 | % | 2.39 | % | 3 | 12/3/2018 | |||
| South Street Securities, LLC | 82,841 | 2.7 | % | 2.57 | % | 61 | 2/14/2019 | |||
| Natixis, New York Branch | 71,947 | 2.3 | % | 2.52 | % | 16 | 12/21/2018 | |||
| Daiwa Securities America Inc. | 44,313 | 1.4 | % | 2.41 | % | 5 | 12/5/2018 | |||
| ASL Capital Markets Inc. | 39,041 | 1.3 | % | 2.55 | % | 75 | 2/13/2019 | |||
| Lucid Cash Fund USG LLC | 36,712 | 1.2 | % | 2.47 | % | 13 | 12/13/2018 | |||
| Bank of Montreal | 35,598 | 1.1 | % | 2.39 | % | 14 | 12/14/2018 | |||
| Guggenheim Securities, LLC | 26,394 | 0.9 | % | 2.39 | % | 13 | 12/13/2018 | |||
| Lucid Prime Fund, LLC | 21,690 | 0.7 | % | 2.51 | % | 13 | 12/13/2018 | |||
| Merrill Lynch, Pierce, Fenner & Smith | 19,246 | 0.6 | % | 2.89 | % | 28 | 12/28/2018 | |||
| ED&F Man Capital Markets Inc | 13,687 | 0.4 | % | 2.39 | % | 7 | 12/7/2018 | |||
| J.V.B. Financial Group, LLC | 10,042 | 0.3 | % | 2.54 | % | 77 | 2/15/2019 | |||
| Mizuho Securities USA, Inc | 9,682 | 0.3 | % | 2.42 | % | 21 | 12/21/2018 | |||
| Nomura Securities International, Inc. | 5,442 | 0.2 | % | 2.40 | % | 21 | 12/21/2018 | |||
| Total Borrowings | $ | 3,105,007 | 100.0 | % | 2.47 | % | 38 | 2/19/2019 | ||
| (1) | In November 2018, the Company purchased assets with a fair value of approximately $232.5 million, which settle in December 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 $65.5 million, which settle in December 2018 that collateralize approximately $63.0 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