Orchid Island Capital Announces December 2017 Monthly Dividend and November 30, 2017 RMBS Portfolio Characteristics
December 13 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 December 2017. The dividend of $0.14 per share
will be paid January 10, 2018, to holders of record on December 29,
2017, with an ex-dividend date of December 28, 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 December 13, 2017, the Company had
51,571,065 shares outstanding. At September 30, 2017, the Company
had 45,308,169 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of November 30,
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. 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 |
Nov 2017 CPR |
Asset Category |
|
Face |
|
Value(1) |
|
Price |
Portfolio |
Coupon |
(Reported in Dec) |
As of November
30, 2017 |
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,665 |
$ |
1,768 |
$ |
106.13 |
0.04 |
% |
3.94 |
% |
0.01 |
% |
10-1
Hybrid Rate RMBS |
|
40,503 |
|
41,212 |
|
101.75 |
1.04 |
% |
2.55 |
% |
6.73 |
% |
Hybrid Adjustable Rate RMBS |
|
40,503 |
|
41,212 |
|
101.75 |
1.04 |
% |
2.55 |
% |
6.73 |
% |
15 Year Fixed Rate
RMBS |
|
39,763 |
|
41,340 |
|
103.97 |
1.04 |
% |
3.50 |
% |
8.90 |
% |
20 Year Fixed Rate
RMBS |
|
298,941 |
|
315,960 |
|
105.69 |
7.98 |
% |
4.00 |
% |
3.72 |
% |
30 Year
Fixed Rate RMBS |
|
3,202,439 |
|
3,433,875 |
|
107.23 |
86.78 |
% |
4.38 |
% |
9.25 |
% |
Total Fixed Rate RMBS |
|
3,541,143 |
|
3,791,175 |
|
107.06 |
95.81 |
% |
4.33 |
% |
8.78 |
% |
Total Pass-through RMBS |
|
3,583,311 |
|
3,834,155 |
|
107.00 |
96.90 |
% |
4.32 |
% |
8.75 |
% |
Interest-Only
Securities |
|
716,812 |
|
88,407 |
|
12.33 |
2.23 |
% |
3.76 |
% |
13.85 |
% |
Inverse
Interest-Only Securities |
|
270,283 |
|
34,414 |
|
12.73 |
0.87 |
% |
4.29 |
% |
9.79 |
% |
Structured RMBS |
|
987,095 |
|
122,821 |
|
12.44 |
3.10 |
% |
3.91 |
% |
12.74 |
% |
Total Mortgage Assets |
$ |
4,570,406 |
$ |
3,956,976 |
|
|
100.00 |
% |
4.30 |
% |
9.61 |
% |
|
|
|
|
|
|
|
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, 2017 |
|
|
|
|
As of November
30, 2017 |
|
|
|
Fannie Mae |
$ |
2,460,219 |
62.2 |
% |
|
Whole Pool Assets |
$ |
3,347,761 |
84.6 |
% |
Freddie Mac |
|
1,490,709 |
37.6 |
% |
|
Non-Whole
Pool Assets |
|
609,215 |
15.4 |
% |
Ginnie
Mae |
|
6,048 |
0.2 |
% |
|
Total
Mortgage Assets |
$ |
3,956,976 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,956,976 |
100.0 |
% |
|
|
|
|
|
(1) Amounts in the
tables above exclude assets with a fair value of approximately
$119.0 million sold in November 2017, which settle in December
2017.
|
|
|
|
|
|
|
|
Borrowings By
Counterparty |
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
% of |
|
Average |
|
|
|
Total |
|
Total |
|
Maturity |
Longest |
As of November 30, 2017 |
|
Borrowings(1) |
|
Debt |
|
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
575,229 |
|
15.0 |
% |
|
173 |
8/10/2018 |
Mirae Asset Securities
(USA) Inc. |
|
359,514 |
|
9.3 |
% |
|
112 |
8/10/2018 |
Wells Fargo Bank,
N.A. |
|
275,257 |
|
7.1 |
% |
|
11 |
12/11/2017 |
ICBC Financial Services
LLC |
|
247,114 |
|
6.4 |
% |
|
13 |
12/13/2017 |
Cantor Fitzgerald &
Co |
|
242,372 |
|
6.3 |
% |
|
28 |
1/16/2018 |
Citigroup Global
Markets Inc |
|
231,470 |
|
6.0 |
% |
|
34 |
1/16/2018 |
Guggenheim Securities,
LLC |
|
228,125 |
|
5.9 |
% |
|
29 |
1/12/2018 |
RBC Capital Markets,
LLC |
|
221,504 |
|
5.7 |
% |
|
43 |
1/12/2018 |
Mizuho Securities USA,
Inc |
|
201,823 |
|
5.2 |
% |
|
17 |
1/22/2018 |
Mitsubishi UFJ
Securities (USA), Inc |
|
187,974 |
|
4.9 |
% |
|
48 |
1/22/2018 |
Goldman, Sachs &
Co |
|
168,481 |
|
4.4 |
% |
|
17 |
12/29/2017 |
ED&F Man Capital
Markets Inc |
|
144,915 |
|
3.8 |
% |
|
76 |
2/22/2018 |
South Street
Securities, LLC |
|
143,554 |
|
3.7 |
% |
|
14 |
1/29/2018 |
Nomura Securities
International, Inc. |
|
135,829 |
|
3.5 |
% |
|
46 |
1/29/2018 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated |
|
106,155 |
|
2.7 |
% |
|
9 |
12/13/2017 |
Natixis, New York
Branch |
|
105,160 |
|
2.7 |
% |
|
17 |
12/27/2017 |
FHLB-Cincinnati |
|
96,112 |
|
2.5 |
% |
|
1 |
12/1/2017 |
Daiwa Securities
America Inc. |
|
70,924 |
|
1.8 |
% |
|
11 |
12/13/2017 |
KGS-Alpha Capital
Markets, L.P |
|
65,704 |
|
1.7 |
% |
|
101 |
8/14/2018 |
Lucid Cash Fund USG
LLC |
|
25,137 |
|
0.7 |
% |
|
15 |
12/15/2017 |
ING Financial Markets
LLC |
|
17,185 |
|
0.4 |
% |
|
1 |
12/1/2017 |
J.V.B.
Financial Group, LLC |
|
12,980 |
|
0.3 |
% |
|
13 |
12/13/2017 |
Total
Borrowings |
$ |
3,862,518 |
|
100.0 |
% |
|
58 |
8/14/2018 |
(1) In November 2017,
the Company sold assets with a fair value of approximately $119.0
million which settle in December 2017 that collateralize
approximately $115.9 million of repurchase agreements included in
the table above.
|
|
|
|
|
|
|
|
|
|
|
RMBS Risk
Measures |
|
|
|
|
|
|
|
|
|
|
($ 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 November
30, 2017 |
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,768 |
6 |
|
10.05 |
% |
2.00 |
% |
$ |
12 |
|
$ |
(8 |
) |
Hybrid Adjustable Rate
RMBS |
|
41,212 |
62 |
|
7.55 |
% |
2.00 |
% |
|
552 |
|
|
(632 |
) |
Total
Fixed Rate RMBS |
|
3,791,175 |
n/a |
|
n/a |
n/a |
|
52,812 |
|
|
(76,970 |
) |
Total
Pass-through RMBS |
|
3,834,155 |
n/a |
|
n/a |
n/a |
|
53,376 |
|
|
(77,610 |
) |
Interest-Only
Securities |
|
88,407 |
n/a |
|
n/a |
n/a |
|
(13,633 |
) |
|
11,368 |
|
Inverse
Interest-Only Securities |
|
34,414 |
1 |
|
5.18 |
% |
n/a |
|
2,088 |
|
|
(3,235 |
) |
Structured RMBS |
|
122,821 |
n/a |
|
n/a |
n/a |
|
(11,545 |
) |
|
8,133 |
|
Total
Mortgage Assets |
$ |
3,956,976 |
n/a |
|
n/a |
n/a |
$ |
41,831 |
|
$ |
(69,477 |
) |
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
1,130,769 |
|
Dec-2020 |
$ |
(16,387 |
) |
$ |
18,375 |
|
Treasury
Futures Contracts - Short Positions |
|
140,000 |
|
Mar-2018 |
|
(5,470 |
) |
|
5,233 |
|
Payer
Swaps |
|
1,010,000 |
|
Aug-2022 |
|
(13,545 |
) |
|
13,545 |
|
Payer
Swaption |
|
200,000 |
|
Sep-2025 |
|
(2,253 |
) |
|
3,954 |
|
TBA Short Positions |
|
363,000 |
|
Jan-2018 |
|
(8,381 |
) |
|
11,067 |
|
Total Hedges |
|
|
|
|
(46,036 |
) |
|
52,174 |
|
|
|
|
|
|
|
|
|
Grand Total |
|
|
|
$ |
(4,205 |
) |
$ |
(17,303 |
) |
- 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.
- Treasury futures contracts were valued at a price of $124.05 at
November 30, 2017. The notional contract value of the short
position was $173.7 million.
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400