Orchid Island Capital Announces May 2018 Monthly Dividend and April 30, 2018 RMBS Portfolio Characteristics
May 16 2018 - 5:29PM
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 May 2018. The dividend of $0.09 per
share will be paid June 8, 2018 to holders of record on May 31,
2018, with an ex-dividend date of May 30, 2018. The Company plans
on announcing its next dividend after its Board meeting on June 19,
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 May 16, 2018, the Company
had 52,160,408 shares outstanding. At March 31, 2018, the
Company had 53,072,169 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of April 30,
2018 are presented below. These figures are preliminary and subject
to change. The information contained herin is an
intra-quarter update created by the Company based on information
that the Company believes in 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.
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MBS Valuation
Characteristics |
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Asset Category |
CurrentFace |
Fair Value |
Percentageof Portfolio |
CurrentPrice |
WeightedAverageCoupon |
WeightedAverageMaturity |
Realized1-MonthCPRApril 2018 (Reportedin
May) |
Realized3-MonthCPRFebruary-
April2018CPR |
Hybrid/ARM |
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|
<3yr reset |
$ |
1,638 |
$ |
1,728 |
0.05 |
% |
105.52 |
3.95 |
% |
202 |
0.01 |
% |
0.01 |
% |
3yr-5yr
reset |
18,211 |
18,125 |
0.49 |
% |
99.53 |
2.71 |
% |
294 |
34.15 |
% |
20.56 |
% |
5yr-7yr
reset |
8,292 |
8,103 |
0.22 |
% |
97.72 |
2.33 |
% |
303 |
0.86 |
% |
0.80 |
% |
Total Hybrid/ARM |
28,141 |
27,956 |
0.76 |
% |
99.35 |
2.68 |
% |
291 |
22.35 |
% |
13.54 |
% |
Fixed Rate RMBS |
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Fixed Rate CMO |
150,000 |
155,693 |
4.21 |
% |
103.80 |
4.50 |
% |
291 |
3.61 |
% |
n/a |
|
Fixed Rate CMO Total |
150,000 |
155,693 |
4.21 |
% |
103.80 |
4.50 |
% |
291 |
3.61 |
% |
n/a |
|
Fixed Rate 15yr
3.5 |
3,316 |
3,366 |
0.09 |
% |
101.52 |
3.50 |
% |
126 |
44.63 |
% |
18.05 |
% |
Fixed
Rate 15yr 4.0 |
336,428 |
348,453 |
9.42 |
% |
103.57 |
4.00 |
% |
180 |
4.83 |
% |
n/a |
|
Fixed Rate 15yr Total |
339,744 |
351,819 |
9.51 |
% |
103.55 |
3.99 |
% |
179 |
5.35 |
% |
18.05 |
% |
Fixed
Rate 20yr 4.0 |
386,028 |
397,881 |
10.76 |
% |
103.07 |
4.00 |
% |
234 |
7.26 |
% |
5.30 |
% |
Fixed Rate 20yr Total |
386,028 |
397,881 |
10.76 |
% |
103.07 |
4.00 |
% |
234 |
7.26 |
% |
5.30 |
% |
Fixed Rate 30yr
4.0 |
772,115 |
791,006 |
21.38 |
% |
102.45 |
4.00 |
% |
234 |
5.12 |
% |
4.28 |
% |
Fixed Rate 30yr
4.5 |
1,717,557 |
1,805,700 |
48.81 |
% |
105.13 |
4.50 |
% |
350 |
10.35 |
% |
9.15 |
% |
Fixed
Rate 30yr 5.0 |
20,810 |
22,346 |
0.60 |
% |
107.38 |
5.00 |
% |
348 |
23.50 |
% |
11.71 |
% |
Fixed Rate 30yr Total |
2,510,482 |
2,619,052 |
70.80 |
% |
104.32 |
4.35 |
% |
350 |
8.85 |
% |
7.68 |
% |
Total Fixed Rate RMBS |
3,386,254 |
3,524,445 |
95.28 |
% |
104.08 |
4.28 |
% |
317 |
8.23 |
% |
7.37 |
% |
Structured RMBS |
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Interest-Only
Securities |
777,038 |
119,783 |
3.24 |
% |
15.42 |
3.83 |
% |
282 |
11.50 |
% |
12.03 |
% |
Inverse
Interest-Only Securities |
253,105 |
26,944 |
0.73 |
% |
10.65 |
3.76 |
% |
311 |
11.74 |
% |
10.83 |
% |
Total Structured RMBS |
1,030,144 |
146,727 |
3.97 |
% |
14.24 |
3.82 |
% |
287 |
11.56 |
% |
10.94 |
% |
Total Mortgage Assets |
4,444,538 |
3,699,128 |
100.00 |
% |
|
4.26 |
% |
320 |
9.12 |
% |
8.49 |
% |
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RMBS Assets by
Agency |
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Investment Company Act of 1940 Whole Pool
Test |
($ in
thousands) |
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($ in
thousands) |
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Percentage |
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Percentage |
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Fair |
of |
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Fair |
of |
Asset Category |
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Value(1) |
Portfolio |
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Asset Category |
|
Value(1) |
Portfolio |
As of April 30,
2018 |
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As of April 30,
2018 |
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Fannie Mae |
$ |
2,262,184 |
61.2 |
% |
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Whole Pool Assets |
$ |
2,757,932 |
74.6 |
% |
Freddie Mac |
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1,431,252 |
38.7 |
% |
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Non-Whole
Pool Assets |
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941,196 |
25.4 |
% |
Ginnie
Mae |
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5,692 |
0.1 |
% |
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Total
Mortgage Assets |
$ |
3,699,128 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,699,128 |
100.0 |
% |
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(1) Amounts in the tables above include
assets with a fair value of approximately $141.8 million purchased
in April 2018, which settle in May 2018, and exclude assets with a
fair value of approximately $130.3 million sold in April 2018,
which settle in May 2018.
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Borrowings By
Counterparty |
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($ in
thousands) |
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Weighted |
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% of |
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Average |
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Total |
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Total |
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Maturity |
Longest |
As of April 30, 2018 |
|
Borrowings(1) |
|
Debt |
|
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
462,204 |
|
13.3 |
% |
|
75 |
8/10/2018 |
Mirae Asset Securities
(USA) Inc. |
|
390,061 |
|
11.3 |
% |
|
43 |
8/10/2018 |
RBC Capital Markets,
LLC |
|
268,045 |
|
7.7 |
% |
|
20 |
5/30/2018 |
Wells Fargo Bank,
N.A. |
|
231,621 |
|
6.7 |
% |
|
14 |
5/14/2018 |
Citigroup Global
Markets Inc |
|
215,375 |
|
6.2 |
% |
|
16 |
5/18/2018 |
Cantor Fitzgerald &
Co |
|
193,199 |
|
5.6 |
% |
|
15 |
5/15/2018 |
ING Financial Markets
LLC |
|
185,394 |
|
5.4 |
% |
|
10 |
5/11/2018 |
Mitsubishi UFJ
Securities (USA), Inc |
|
170,768 |
|
4.9 |
% |
|
24 |
7/23/2018 |
Guggenheim Securities,
LLC |
|
159,372 |
|
4.6 |
% |
|
43 |
6/13/2018 |
ICBC Financial Services
LLC |
|
144,374 |
|
4.2 |
% |
|
25 |
5/25/2018 |
Nomura Securities
International, Inc. |
|
130,319 |
|
3.8 |
% |
|
30 |
6/18/2018 |
KGS-Alpha Capital
Markets, L.P |
|
121,337 |
|
3.5 |
% |
|
46 |
8/14/2018 |
South Street
Securities, LLC |
|
121,227 |
|
3.5 |
% |
|
29 |
5/31/2018 |
Natixis, New York
Branch |
|
97,706 |
|
2.8 |
% |
|
17 |
5/25/2018 |
FHLB-Cincinnati |
|
90,730 |
|
2.6 |
% |
|
1 |
5/1/2018 |
ED&F Man Capital
Markets Inc |
|
81,553 |
|
2.4 |
% |
|
18 |
5/23/2018 |
ASL Capital Markets
Inc. |
|
72,270 |
|
2.1 |
% |
|
77 |
7/16/2018 |
Mizuho Securities USA,
Inc |
|
68,283 |
|
2.0 |
% |
|
28 |
7/26/2018 |
Daiwa Securities
America Inc. |
|
67,298 |
|
1.9 |
% |
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9 |
5/11/2018 |
Goldman, Sachs &
Co |
|
58,845 |
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1.7 |
% |
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11 |
5/11/2018 |
Lucid Cash Fund USG
LLC |
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39,853 |
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1.2 |
% |
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14 |
5/14/2018 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated |
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39,575 |
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1.1 |
% |
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23 |
5/30/2018 |
ABN AMRO Bank N.V. |
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38,129 |
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1.1 |
% |
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7 |
5/7/2018 |
J.V.B. Financial Group,
LLC |
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18,058 |
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0.5 |
% |
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14 |
5/14/2018 |
Total Borrowings |
$ |
3,465,596 |
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100.0 |
% |
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32 |
8/14/2018 |
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(1) In April 2018, the Company purchased
assets with a fair value of approximately $141.8 million, which
settle in May 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 $130.3 million, which settle in May
2018 that collateralize approximately $132.4 million of repurchase
agreements included in the table above.
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RMBS Risk
Measures |
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($ in
thousands) |
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Mortgage Assets |
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Weighted |
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Average |
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Weighted |
Weighted |
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Modeled |
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Modeled |
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Months |
|
Average |
Average |
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Interest |
|
Interest |
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To Next |
|
Lifetime |
Periodic |
|
Rate |
|
Rate |
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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 April 30,
2018 |
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Adjustable Rate
RMBS |
$ |
1,728 |
2 |
|
10.05 |
% |
2.00 |
% |
$ |
6 |
|
$ |
(5 |
) |
Hybrid Adjustable Rate
RMBS |
|
26,228 |
56 |
|
7.59 |
% |
2.00 |
% |
|
382 |
|
|
(398 |
) |
Fixed Rate RMBS |
|
3,524,445 |
n/a |
|
n/a |
|
n/a |
|
|
71,439 |
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|
(86,636 |
) |
Fixed
Rate CMO |
|
155,693 |
n/a |
|
n/a |
|
n/a |
|
|
705 |
|
|
(2,071 |
) |
Total
Pass-through RMBS |
|
3,552,401 |
n/a |
|
n/a |
|
n/a |
|
|
72,532 |
|
|
(89,110 |
) |
Interest-Only
Securities |
|
119,783 |
n/a |
|
n/a |
|
n/a |
|
|
(13,624 |
) |
|
9,039 |
|
Inverse
Interest-Only Securities |
|
26,944 |
1 |
|
5.31 |
% |
n/a |
|
|
3,036 |
|
|
(3,597 |
) |
Structured RMBS |
|
146,727 |
n/a |
|
n/a |
|
n/a |
|
|
(10,588 |
) |
|
5,443 |
|
Total
Mortgage Assets |
$ |
3,699,128 |
n/a |
|
n/a |
|
n/a |
|
$ |
61,945 |
|
$ |
(83,667 |
) |
|
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Funding Hedges |
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Modeled |
|
Modeled |
|
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|
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Interest |
|
Interest |
|
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Average |
Hedge |
|
Rate |
|
Rate |
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Notional |
Period |
|
Sensitivity |
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Sensitivity |
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Balance(2) |
End Date |
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(-50 BPS)(1) |
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(+50 BPS)(1) |
Eurodollar
Futures Contracts - Short Positions |
$ |
1,454,545 |
|
Dec-20 |
$ |
(20,000 |
) |
$ |
20,000 |
|
Treasury
Futures Contracts - Short Positions |
|
165,000 |
|
Jun-18 |
|
(4,097 |
) |
|
4,574 |
|
Payer
Swaps |
|
1,010,000 |
|
Aug-22 |
|
(11,933 |
) |
|
11,933 |
|
Payer
Swaption |
|
750,000 |
|
Aug-28 |
|
(9,562 |
) |
|
20,584 |
|
Receiver
Swaption |
|
100,000 |
|
Feb-24 |
|
1,251 |
|
|
(443 |
) |
TBA Short Positions |
|
400,000 |
|
Jun-18 |
|
(12,430 |
) |
|
13,966 |
|
Total Hedges |
|
|
|
|
(56,771 |
) |
|
70,614 |
|
|
|
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Grand Total |
|
|
|
$ |
5,173 |
|
$ |
(13,053 |
) |
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(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 year treasury futures contracts were valued at prices of
$113.5 at April 30, 2018. The notional contract value of the
short position was $187.3 million.
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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