Orchid Island Capital Announces March 2017 Monthly Dividend and February 28, 2017 RMBS Portfolio Characteristics
March 08 2017 - 5:15PM
Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced
today that the Board of Directors declared a monthly cash dividend
for the month of March 2017. The dividend of $0.14 per share will
be paid April 10, 2017, to holders of record on March 31, 2017,
with an ex-dividend date of March 29, 2017.
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 March 8, 2017, the Company had 32,964,547
shares outstanding, the same number of shares outstanding as of
January 31, 2016. At December 31, 2016, the Company had 32,962,919
shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of February 28,
2017 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,
2016.
RMBS Valuation
Characteristics |
|
|
|
|
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
Weighted |
Realized |
|
|
|
Current |
|
|
Fair |
|
Current |
of |
Average |
Feb 2017 CPR |
Asset Category |
|
|
Face |
|
|
Value(1) |
|
Price |
Portfolio |
Coupon |
(Reported in Mar) |
As of February
28, 2017 |
|
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
|
$ |
1,919 |
|
$ |
2,038 |
|
106.23 |
|
0.06 |
% |
|
3.50 |
% |
38.32 |
% |
10-1
Hybrid Rate RMBS |
|
|
42,872 |
|
|
43,961 |
|
102.54 |
|
1.35 |
% |
|
2.55 |
% |
3.88 |
% |
Hybrid Adjustable Rate RMBS |
|
|
42,872 |
|
|
43,961 |
|
102.54 |
|
1.35 |
% |
|
2.55 |
% |
3.88 |
% |
15 Year Fixed Rate
RMBS |
|
|
82,190 |
|
|
85,642 |
|
104.20 |
|
2.62 |
% |
|
3.28 |
% |
11.02 |
% |
20 Year Fixed Rate
RMBS |
|
|
239,367 |
|
|
255,317 |
|
106.66 |
|
7.81 |
% |
|
4.00 |
% |
6.56 |
% |
30 Year
Fixed Rate RMBS |
|
|
2,546,113 |
|
|
2,735,250 |
|
107.43 |
|
83.72 |
% |
|
4.34 |
% |
4.67 |
% |
Total Fixed Rate RMBS |
|
|
2,867,670 |
|
|
3,076,209 |
|
107.27 |
|
94.15 |
% |
|
4.28 |
% |
5.01 |
% |
Total Pass-through RMBS |
|
|
2,912,461 |
|
|
3,122,208 |
|
107.20 |
|
95.56 |
% |
|
4.26 |
% |
5.01 |
% |
Interest-Only
Securities |
|
|
760,594 |
|
|
96,829 |
|
12.73 |
|
2.96 |
% |
|
3.71 |
% |
10.72 |
% |
Inverse
Interest-Only Securities |
|
|
246,589 |
|
|
48,328 |
|
19.60 |
|
1.48 |
% |
|
5.45 |
% |
10.52 |
% |
Structured RMBS |
|
|
1,007,183 |
|
|
145,157 |
|
14.41 |
|
4.44 |
% |
|
4.29 |
% |
10.67 |
% |
Total Mortgage Assets |
|
$ |
3,919,644 |
|
$ |
3,267,365 |
|
|
|
100.00 |
% |
|
4.26 |
% |
6.42 |
% |
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 February
28, 2017 |
|
|
|
|
|
As of February
28, 2017 |
|
|
|
Fannie Mae |
|
$ |
2,342,633 |
71.7 |
% |
|
Whole Pool Assets |
$ |
2,837,920 |
86.9 |
% |
Freddie Mac |
|
|
915,919 |
28.0 |
% |
|
Non Whole
Pool Assets |
|
429,445 |
13.1 |
% |
Ginnie
Mae |
|
|
8,813 |
0.3 |
% |
|
Total
Mortgage Assets |
$ |
3,267,365 |
100.0 |
% |
Total
Mortgage Assets |
|
$ |
3,267,365 |
100.0 |
% |
|
|
|
|
|
(1) Amounts in the tables above include assets
with a fair value of approximately $7.8 million purchased in
February 2017 which settle in March 2017.
Borrowings By
Counterparty |
|
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
% of |
|
Average |
|
|
|
|
Total |
|
Total |
|
Maturity |
Longest |
As of February 28, 2017 |
|
|
Borrowings(1) |
|
Debt |
|
in Days |
Maturity |
Citigroup Global
Markets Inc |
|
$ |
292,372 |
|
9.6 |
% |
|
18 |
5/30/2017 |
J.P. Morgan Securities
LLC |
|
|
280,492 |
|
9.2 |
% |
|
13 |
3/17/2017 |
Wells Fargo Bank,
N.A. |
|
|
248,598 |
|
8.2 |
% |
|
11 |
3/13/2017 |
ICBC Financial Services
LLC |
|
|
244,580 |
|
8.0 |
% |
|
12 |
3/15/2017 |
RBC Capital Markets,
LLC |
|
|
233,901 |
|
7.7 |
% |
|
13 |
3/13/2017 |
Cantor Fitzgerald &
Co |
|
|
228,962 |
|
7.5 |
% |
|
46 |
4/21/2017 |
Mitsubishi UFJ
Securities (USA), Inc |
|
|
207,296 |
|
6.8 |
% |
|
46 |
4/17/2017 |
South Street
Securities, LLC |
|
|
174,672 |
|
5.7 |
% |
|
7 |
3/21/2017 |
ED&F Man Capital
Markets Inc |
|
|
154,916 |
|
5.1 |
% |
|
36 |
5/24/2017 |
Goldman, Sachs &
Co |
|
|
150,764 |
|
5.0 |
% |
|
13 |
3/23/2017 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated |
|
|
150,682 |
|
5.0 |
% |
|
25 |
5/1/2017 |
KGS-Alpha Capital
Markets, L.P |
|
|
146,357 |
|
4.8 |
% |
|
23 |
5/25/2017 |
Guggenheim Securities,
LLC |
|
|
145,913 |
|
4.8 |
% |
|
10 |
3/14/2017 |
Daiwa Securities
America Inc. |
|
|
124,801 |
|
4.1 |
% |
|
13 |
3/20/2017 |
Natixis, New York
Branch |
|
|
87,219 |
|
2.9 |
% |
|
8 |
3/17/2017 |
Nomura Securities
International, Inc. |
|
|
69,891 |
|
2.3 |
% |
|
22 |
3/29/2017 |
FHLB-Cincinnati |
|
|
54,245 |
|
1.8 |
% |
|
1 |
3/1/2017 |
Mizuho
Securities USA, Inc |
|
|
45,645 |
|
1.5 |
% |
|
12 |
3/14/2017 |
Total
Borrowings |
|
$ |
3,041,306 |
|
100.0 |
% |
|
20 |
5/30/2017 |
(1) In February 2017, the Company purchased
assets with a fair value of approximately $7.8 million which settle
in March 2017 that are expected to be funded by repurchase
agreements. These anticipated borrowings are not included in
the table above.
RMBS Risk
Measures |
|
|
|
|
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
|
|
|
|
Average |
|
Weighted |
Weighted |
|
Modeled |
|
Modeled |
|
|
|
|
Months |
|
Average |
Average |
|
Interest |
|
Interest |
|
|
|
|
To Next |
|
Lifetime |
Periodic |
|
Rate |
|
Rate |
|
|
|
Fair |
Coupon Reset |
|
Cap |
Cap Per Year |
|
Sensitivity |
|
Sensitivity |
Asset Category |
|
|
Value |
(if applicable) |
|
(if applicable) |
(if applicable) |
|
(-50 BPS)(1) |
|
(+50 BPS)(1) |
As of February
28, 2017 |
|
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
|
$ |
2,038 |
4 |
|
10.05 |
% |
2.00 |
% |
$ |
10 |
|
$ |
(9 |
) |
Hybrid Adjustable Rate
RMBS |
|
|
43,961 |
71 |
|
7.55 |
% |
2.00 |
% |
|
679 |
|
|
(765 |
) |
Total
Fixed Rate RMBS |
|
|
3,076,209 |
n/a |
|
n/a |
|
n/a |
|
61,976 |
|
|
(76,006 |
) |
Total
Pass-through RMBS |
|
|
3,122,208 |
n/a |
|
n/a |
|
n/a |
|
62,665 |
|
|
(76,780 |
) |
Interest-Only
Securities |
|
|
96,829 |
n/a |
|
n/a |
|
n/a |
|
(11,954 |
) |
|
9,238 |
|
Inverse
Interest-Only Securities |
|
|
48,328 |
1 |
|
6.22 |
% |
n/a |
|
1,921 |
|
|
(3,160 |
) |
Structured RMBS |
|
|
145,157 |
n/a |
|
n/a |
|
n/a |
|
(10,033 |
) |
|
6,078 |
|
Total
Mortgage Assets |
|
$ |
3,267,365 |
n/a |
|
n/a |
|
n/a |
$ |
52,632 |
|
$ |
(70,702 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Funding Hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Modeled |
|
Modeled |
|
|
|
|
|
|
|
|
|
Interest |
|
Interest |
|
|
|
|
|
|
Average |
Hedge |
|
Rate |
|
Rate |
|
|
|
|
|
|
Notional |
Period |
|
Sensitivity |
|
Sensitivity |
|
|
|
|
|
|
Balance(2) |
End Date |
|
(-50 BPS)(1) |
|
(+50 BPS)(1) |
Eurodollar
Futures Contracts - Short Positions |
$ |
643,750 |
|
Dec-2020 |
$ |
(11,554 |
) |
$ |
12,875 |
|
Treasury
Futures Contracts - Short Positions |
|
465,000 |
|
Jun-2027 |
|
(17,939 |
) |
|
17,508 |
|
Payer Swaps |
|
|
|
|
|
700,000 |
|
Dec-2021 |
|
(9,933 |
) |
|
9,933 |
|
TBA Short
Positions |
|
|
|
|
|
447,000 |
|
Mar-2017 |
|
(9,772 |
) |
|
11,755 |
|
Total
Hedges |
|
|
|
|
|
|
|
|
(49,198 |
) |
|
52,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Grand
Total |
|
|
|
|
|
|
|
$ |
3,434 |
|
$ |
(18,631 |
) |
(1) 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.
(2) Treasury futures contracts were valued at a price of $124.58
at February 28, 2017. The nominal value of the short position
was $579.3 million.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
From Aug 2024 to Sep 2024
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
From Sep 2023 to Sep 2024