Orchid Island Capital Announces February 2019 Monthly Dividend and January 31, 2019 RMBS Portfolio Characteristics
  • February 2019 Monthly Dividend of $0.08 Per Share
  • RMBS Portfolio Characteristics as of January 31, 2019
  • Repurchased 469,975 shares through stock repurchase plan during January 2019.
  • Next Dividend Announcement Expected March 13, 2019

VERO BEACH, Fla., Feb. 13, 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 February 2019. The dividend of $0.08 per share will be paid March 29, 2019, to holders of record on February 28, 2019, with an ex-dividend date of February 27, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on March 13, 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 February 13, 2019, the Company had 48,662,448 shares outstanding. At December 31, 2018, the Company had 49,132,423 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 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, 2017.

RMBS Valuation Characteristics                 
($ in thousands)                 
                  
  Current 
Face
 Fair
Value(1)
%
of
Portfolio
 Current
Price
Net
Weighted
Average
Coupon
GWACAgeWeighted
Average
Maturity
(Months)
Realized
Jan 2019
CPR
(1-Month)
(Reported
in Feb)
Realized
Nov - Jan
2019 CPR
(3-Month)
(Reported
in Feb)
 Modeled
Interest
Rate
Sensitivity
(-50 BPS)(2)
 Modeled
Interest
Rate
Sensitivity
(+50 BPS)(2)
ARM RMBS                 
Post Rest ARM$1,342 $1,4320.05%$106.734.75%5.19%1711900.07%0.04%$10 $(9)
Fixed Rate CMO 710,344  735,11024.83% 103.494.27%4.61%113468.00%7.10% 1,821  (5,465)
15yr 4.0 524,838  544,04318.38% 103.664.00%4.53%81696.13%5.95% 9,583  (10,161)
15yr Total 524,838  544,04318.38% 103.664.00%4.53%81696.13%5.95% 9,583  (10,161)
20yr 4.0 90,217  93,5703.16% 103.724.00%4.48%182182.68%6.62% 2,022  (2,101)
20yr Total 90,217  93,5703.16% 103.724.00%4.48%182182.68%6.62% 2,022  (2,101)
30yr 4.0 304,365  313,89610.60% 103.134.00%4.55%213374.19%5.12% 6,246  (7,795)
30yr 4.5 920,867  963,47532.54% 104.634.50%4.96%1134812.70%9.81% 11,133  (15,769)
30yr 5.0 164,020  175,7445.94% 107.155.00%5.50%113478.41%8.89% 2,133  (2,799)
30yr Total 1,389,252  1,453,11549.08% 104.604.45%4.93%1334510.28%8.41% 19,512  (26,363)
Total Pass Through RMBS 2,715,993  2,827,27095.49% 104.104.30%4.76%123078.49%7.39% 32,948  (44,099)
Structured RMBS                 
Interest-Only Securities 762,892  109,9933.72% 14.423.74%4.33%592546.82%7.90% (15,014) 12,111 
Inverse Interest-Only Securities 222,678  23,4710.79% 10.542.61%4.86%552969.27%10.56% 2,205  (2,899)
Total Structured RMBS 985,570  133,4644.51% 13.543.48%4.45%582637.37%8.50% (12,809) 9,212 
Total Mortgage Assets$3,701,563 $2,960,734100.00%  4.08%4.67%242968.18%7.73%$20,139 $(34,887)
                  
Hedge Average
Notional
Balance
 Hedge
Period
End
          Interest
Rate
Sensitivity
(-50 BPS)(1)
 Interest
Rate
Sensitivity
(+50 BPS)(1)
Eurodollar Futures$(1,725,000) Dec-2020         $(17,250)$17,250 
Swaps (1,260,000) Oct-2020          (9,226) 9,101
 
5-Year Treasury Future (165,000) Mar-2019(3)          (3,820) 4,590 
TBA (250,000) Jan-2018          (6,270) 7,454 
Swaptions (700,000) Jan-2028          -  696 
Hedge Total$(4,100,000)           $(36,566)$39,091
 
Rate Shock Grand Total             $(16,427)$4,204
 

(1)  Amounts in the tables above include assets with a fair value of approximately $210.0 million purchased in January 2019, which settle in February 2019, and exclude assets with a fair value of approximately $240.0 million sold in January 2019, which settle in February 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 $114.86 at January 31, 2019.  The notional contract value of the short position was $189.5 million.

RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test
($ in thousands)    ($ in thousands)   
Asset Category Fair
Value(1)
Percentage
of
Portfolio
 Asset Category Fair
Value(1)
Percentage
of
Portfolio
As of January 31, 2019    As of January 31, 2019   
Fannie Mae$1,429,26248.3% Non-Whole Pool Assets$938,67231.7%
Freddie Mac 1,527,61651.6% Whole Pool Assets 2,022,06268.3%
Ginnie Mae 3,8560.1% Total Mortgage Assets$2,960,734100.0%
Total Mortgage Assets$2,960,734100.0%     

(1)   Amounts in the tables above include assets with a fair value of approximately $210.0 million purchased in January 2019, which settle in February 2019, and exclude assets with a fair value of approximately $240.0 million sold in January 2019, which settle in February 2019.



Borrowings By Counterparty        
($ in thousands)        
As of January 31, 2019 Total
Borrowings(1)
 % of
Total
Debt
 Weighted
Average
Repo
Rate
Weighted
Average
Maturity
in Days
Longest
Maturity
Mirae Asset Securities (USA) Inc.$377,892 13.6% 2.54%113/26/2019
RBC Capital Markets, LLC 365,474 13.1% 2.67%283/4/2019
ING Financial Markets LLC 325,422 11.6% 2.62%203/25/2019
Wells Fargo Bank, N.A. 262,708 9.4% 2.65%283/26/2019
Cantor Fitzgerald & Co 250,505 9.0% 2.56%143/7/2019
Mitsubishi UFJ Securities (USA), Inc 204,795 7.3% 2.55%162/19/2019
J.P. Morgan Securities LLC 154,797 5.5% 2.67%152/19/2019
ABN AMRO Bank N.V. 148,355 5.3% 2.57%42/4/2019
ICBC Financial Services LLC 138,423 4.9% 2.68%313/15/2019
Citigroup Global Markets Inc 112,084 4.0% 2.66%232/27/2019
FHLB-Cincinnati 96,382 3.4% 2.69%12/1/2019
South Street Securities, LLC 86,516 3.1% 2.64%272/28/2019
Natixis, New York Branch 57,154 2.0% 2.78%142/15/2019
Lucid Cash Fund USG LLC 49,812 1.8% 2.70%142/14/2019
ASL Capital Markets Inc. 42,794 1.5% 2.55%132/13/2019
Bank of Montreal 35,447 1.3% 2.66%433/15/2019
Guggenheim Securities, LLC 26,762 1.0% 2.66%293/1/2019
Lucid Prime Fund, LLC 20,841 0.7% 2.75%142/14/2019
Merrill Lynch, Pierce, Fenner & Smith 16,916 0.6% 3.05%282/28/2019
ED&F Man Capital Markets Inc 13,415 0.5% 2.60%72/7/2019
J.V.B. Financial Group, LLC 10,042 0.4% 2.54%152/15/2019
Total Borrowings$2,796,536 100.0% 2.62%193/26/2019

(1)  In January 2019, the Company sold assets with a fair value of approximately $240.0 million, which settle in February 2019 that collateralize approximately $221.7 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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