Orchid Island Capital Announces February 2018 Monthly Dividend and January 31, 2018 RMBS Portfolio Characteristics
February 14 2018 - 5:50PM
Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced
today that the Board of Directors declared a monthly cash dividend
for the month of February 2018. The dividend of $0.11 per share
will be paid March 9, 2018, to holders of record on February 28,
2018, with an ex-dividend date of February 27, 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 February 14, 2018, the Company had
53,065,790 shares outstanding. At December 31, 2017, the Company
had 53,061,904 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of January 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 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) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
Weighted |
Realized |
|
|
Current |
|
Fair |
|
Current |
of |
Average |
Jan 2018 CPR |
Asset Category |
|
Face |
|
Value(1) |
|
Price |
Portfolio |
Coupon |
(Reported in Feb) |
As of January
31, 2018 |
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,654 |
$ |
1,747 |
$ |
105.61 |
0.04 |
% |
3.95 |
% |
0.01 |
% |
10-1
Hybrid Rate RMBS |
|
26,654 |
|
26,663 |
|
100.04 |
0.69 |
% |
2.59 |
% |
2.98 |
% |
Hybrid Adjustable Rate RMBS |
|
26,654 |
|
26,663 |
|
100.04 |
0.69 |
% |
2.59 |
% |
2.98 |
% |
15 Year Fixed Rate
RMBS |
|
38,517 |
|
39,663 |
|
102.98 |
1.02 |
% |
3.50 |
% |
4.14 |
% |
20 Year Fixed Rate
RMBS |
|
501,575 |
|
524,160 |
|
104.50 |
13.49 |
% |
4.00 |
% |
3.88 |
% |
30 Year
Fixed Rate RMBS |
|
2,984,986 |
|
3,159,809 |
|
105.86 |
81.33 |
% |
4.32 |
% |
5.60 |
% |
Total Fixed Rate RMBS |
|
3,525,078 |
|
3,723,632 |
|
105.63 |
95.84 |
% |
4.26 |
% |
5.34 |
% |
Total Pass-through RMBS |
|
3,553,386 |
|
3,752,042 |
|
105.59 |
96.58 |
% |
4.25 |
% |
5.32 |
% |
Interest-Only
Securities |
|
739,032 |
|
102,218 |
|
13.83 |
2.63 |
% |
3.79 |
% |
10.70 |
% |
Inverse
Interest-Only Securities |
|
263,123 |
|
30,845 |
|
11.72 |
0.79 |
% |
4.06 |
% |
10.40 |
% |
Structured RMBS |
|
1,002,155 |
|
133,063 |
|
13.28 |
3.42 |
% |
3.85 |
% |
10.62 |
% |
Total Mortgage Assets |
$ |
4,555,541 |
$ |
3,885,105 |
|
|
100.00 |
% |
4.24 |
% |
6.44 |
% |
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 January
31, 2018 |
|
|
|
|
As of January
31, 2018 |
|
|
|
Fannie Mae |
$ |
2,323,223 |
59.8 |
% |
|
Whole Pool Assets |
$ |
3,064,511 |
78.9 |
% |
Freddie Mac |
|
1,555,967 |
40.0 |
% |
|
Non-Whole
Pool Assets |
|
820,594 |
21.1 |
% |
Ginnie
Mae |
|
5,915 |
0.2 |
% |
|
Total
Mortgage Assets |
$ |
3,885,105 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,885,105 |
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
Amounts in the tables above include assets with a fair value
of approximately $10.1 million purchased in January 2018, which
settle in February 2018, and exclude assets with a fair value of
approximately $228.7 million sold in January 2018, which settle in
February 2018. |
Borrowings By
Counterparty |
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
% of |
|
Average |
|
|
|
Total |
|
Total |
|
Maturity |
Longest |
As of January 31, 2018 |
|
Borrowings(1) |
|
Debt |
|
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
603,161 |
|
15.3 |
% |
|
108 |
8/10/2018 |
Mirae Asset Securities
(USA) Inc. |
|
402,817 |
|
10.3 |
% |
|
62 |
8/10/2018 |
Wells Fargo Bank,
N.A. |
|
297,322 |
|
7.6 |
% |
|
12 |
2/12/2018 |
Citigroup Global
Markets Inc |
|
225,857 |
|
5.8 |
% |
|
41 |
3/19/2018 |
RBC Capital Markets,
LLC |
|
219,183 |
|
5.6 |
% |
|
40 |
3/12/2018 |
Guggenheim Securities,
LLC |
|
213,281 |
|
5.5 |
% |
|
43 |
3/27/2018 |
Cantor Fitzgerald &
Co |
|
203,829 |
|
5.2 |
% |
|
16 |
2/16/2018 |
Mizuho Securities USA,
Inc |
|
195,900 |
|
5.0 |
% |
|
16 |
2/22/2018 |
ING Financial Markets
LLC |
|
192,964 |
|
4.9 |
% |
|
37 |
3/12/2018 |
Mitsubishi UFJ
Securities (USA), Inc |
|
184,733 |
|
4.7 |
% |
|
16 |
2/21/2018 |
ED&F Man Capital
Markets Inc |
|
167,519 |
|
4.3 |
% |
|
19 |
3/19/2018 |
Goldman, Sachs &
Co |
|
156,862 |
|
4.0 |
% |
|
23 |
3/29/2018 |
ICBC Financial Services
LLC |
|
151,117 |
|
3.9 |
% |
|
30 |
3/2/2018 |
Nomura Securities
International, Inc. |
|
136,972 |
|
3.5 |
% |
|
41 |
3/19/2018 |
KGS-Alpha Capital
Markets, L.P |
|
124,525 |
|
3.2 |
% |
|
71 |
8/14/2018 |
Natixis, New York
Branch |
|
104,563 |
|
2.7 |
% |
|
20 |
2/26/2018 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated |
|
104,366 |
|
2.7 |
% |
|
10 |
2/14/2018 |
FHLB-Cincinnati |
|
93,415 |
|
2.4 |
% |
|
1 |
2/1/2018 |
Daiwa Securities
America Inc. |
|
68,546 |
|
1.8 |
% |
|
10 |
2/12/2018 |
Lucid Cash Fund USG
LLC |
|
32,778 |
|
0.8 |
% |
|
15 |
2/15/2018 |
J.V.B. Financial Group,
LLC |
|
18,820 |
|
0.5 |
% |
|
32 |
3/13/2018 |
South
Street Securities, LLC |
|
10,948 |
|
0.3 |
% |
|
28 |
2/28/2018 |
Total
Borrowings |
$ |
3,909,478 |
|
100.0 |
% |
|
43 |
8/14/2018 |
|
(1) In January 2018, the Company purchased
assets with a fair value of approximately $10.1 million, which
settle in February 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 $228.7 million, which
settle in February 2018 that collateralize approximately $220.9
million of repurchase agreements included in the table
above. |
RMBS Risk
Measures |
|
|
|
|
|
|
|
|
|
|
($ 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 January
31, 2018 |
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,747 |
5 |
|
10.05% |
2.00% |
$ |
10 |
|
$ |
(5 |
) |
Hybrid Adjustable Rate
RMBS |
|
26,663 |
59 |
|
7.59% |
2.00% |
|
389 |
|
|
(404 |
) |
Total
Fixed Rate RMBS |
|
3,723,632 |
n/a |
|
n/a |
n/a |
|
67,158 |
|
|
(93,954 |
) |
Total
Pass-through RMBS |
|
3,752,042 |
n/a |
|
n/a |
n/a |
|
67,557 |
|
|
(94,363 |
) |
Interest-Only
Securities |
|
102,218 |
n/a |
|
n/a |
n/a |
|
(15,650 |
) |
|
7,676 |
|
Inverse
Interest-Only Securities |
|
30,845 |
1 |
|
5.25% |
n/a |
|
2,369 |
|
|
(4,129 |
) |
Structured RMBS |
|
133,063 |
n/a |
|
n/a |
n/a |
|
(13,281 |
) |
|
3,547 |
|
Total
Mortgage Assets |
$ |
3,885,105 |
n/a |
|
n/a |
n/a |
$ |
54,276 |
|
$ |
(90,816 |
) |
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
1,183,333 |
|
Dec-2020 |
$ |
(16,098 |
) |
$ |
17,750 |
|
Treasury
Futures Contracts - Short Positions |
|
305,000 |
|
Mar-2018 |
|
(9,415 |
) |
|
8,490 |
|
Payer
Swaps |
|
1,010,000 |
|
Aug-2022 |
|
(13,193 |
) |
|
13,193 |
|
Payer
Swaption |
|
500,000 |
|
Jan-2028 |
|
(3,335 |
) |
|
8,239 |
|
TBA Short Positions |
|
350,000 |
|
Feb-2018 |
|
(11,938 |
) |
|
14,745 |
|
Total Hedges |
|
|
|
|
(53,979 |
) |
|
62,417 |
|
|
|
|
|
|
|
|
|
Grand Total |
|
|
|
$ |
297 |
|
$ |
(28,399 |
) |
(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)
Five and ten year treasury futures contracts were valued at
prices of $114.71 and $121.58, respectively, at January 31,
2018. The notional contract value of the short position was
$359.5 million. |
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
From Mar 2024 to Apr 2024
Orchid Island Capital (NYSE:ORC)
Historical Stock Chart
From Apr 2023 to Apr 2024