Orchid Island Capital Announces August 2018 Monthly Dividend and July 31, 2018 RMBS Portfolio Characteristics
August 15 2018 - 5:15PM
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 August 2018. The dividend of $0.08
per share will be paid September 10, 2018, to holders of record on
August 31, 2018, with an ex-dividend date of August 30, 2018.
The Company plans on announcing its next dividend after the Board’s
meeting on September 17, 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 August 15, 2018, the Company had
52,034,596 shares outstanding. At June 30, 2018, the Company had
52,034,596 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of July 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.
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RMBS Valuation
Characteristics |
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($ in
thousands) |
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Realized |
Realized |
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Jul 2018 |
May - Jul |
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|
|
Weighted |
CPR |
2018 CPR |
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Percentage |
|
|
Weighted |
Average |
(1-Month) |
(3-Month) |
|
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Current |
|
Fair |
of |
|
Current |
Average |
Maturity |
(Reported |
(Reported |
Type |
|
Face |
|
Value(1) |
Portfolio |
|
Price |
Coupon |
(Months) |
in Aug) |
in Aug) |
Hybrid/ARM |
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<3y reset |
$ |
1,621 |
$ |
1,712 |
0.05 |
% |
$ |
105.66 |
3.95 |
% |
199 |
72.73 |
% |
45.64 |
% |
3y-5y
reset |
|
24,844 |
|
24,566 |
0.66 |
% |
|
98.88 |
2.57 |
% |
294 |
1.64 |
% |
4.58 |
% |
Total Hybrid/ARM |
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26,465 |
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26,278 |
0.71 |
% |
|
99.30 |
2.66 |
% |
288 |
6.00 |
% |
7.09 |
% |
Fixed Rate RMBS |
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Fixed
Rate CMO |
|
518,404 |
|
535,897 |
14.31 |
% |
|
103.37 |
4.39 |
% |
297 |
6.61 |
% |
6.81 |
% |
Fixed
Rate CMO Total |
|
518,404 |
|
535,897 |
14.31 |
% |
|
103.37 |
4.39 |
% |
297 |
6.61 |
% |
6.81 |
% |
15yr 3.5 |
|
3,092 |
|
3,131 |
0.08 |
% |
|
101.27 |
3.50 |
% |
123 |
52.81 |
% |
22.32 |
% |
15yr
4.0 |
|
779,968 |
|
804,161 |
21.47 |
% |
|
103.10 |
4.00 |
% |
178 |
5.53 |
% |
6.25 |
% |
15yr
Total |
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783,060 |
|
807,292 |
21.55 |
% |
|
103.09 |
4.00 |
% |
177 |
5.73 |
% |
6.41 |
% |
20yr 4.0 |
|
209,880 |
|
216,312 |
5.77 |
% |
|
103.06 |
4.00 |
% |
235 |
9.34 |
% |
8.81 |
% |
20yr
4.5 |
|
19,700 |
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20,569 |
0.55 |
% |
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104.41 |
4.50 |
% |
238 |
8.57 |
% |
6.06 |
% |
20yr
Total |
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229,580 |
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236,881 |
6.32 |
% |
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102.02 |
4.04 |
% |
235 |
9.27 |
% |
6.95 |
% |
20yr 4.5 |
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438,203 |
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447,067 |
11.94 |
% |
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102.02 |
4.00 |
% |
235 |
6.88 |
% |
6.49 |
% |
20yr 4.5 |
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1,307,624 |
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1,367,175 |
36.50 |
% |
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104.55 |
4.50 |
% |
347 |
8.43 |
% |
9.48 |
% |
20yr
4.5 |
|
172,193 |
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184,422 |
4.92 |
% |
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107.10 |
5.00 |
% |
356 |
6.17 |
% |
4.70 |
% |
30yr
Total |
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1,918,020 |
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1,998,664 |
53.36 |
% |
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104.20 |
4.43 |
% |
347 |
7.88 |
% |
8.37 |
% |
Total Fixed Rate RMBS |
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3,449,064 |
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3,578,734 |
95.54 |
% |
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103.76 |
4.30 |
% |
294 |
7.32 |
% |
7.95 |
% |
Total Pass Through RMBS |
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3,475,529 |
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3,605,012 |
96.25 |
% |
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103.73 |
4.29 |
% |
294 |
7.31 |
% |
7.94 |
% |
Structured RMBS |
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Interest-Only
Securities |
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740,789 |
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115,999 |
3.10 |
% |
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15.66 |
3.83 |
% |
279 |
11.65 |
% |
12.31 |
% |
Inverse
Interest-Only Securities |
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242,396 |
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24,516 |
0.65 |
% |
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10.11 |
3.60 |
% |
308 |
14.06 |
% |
12.47 |
% |
Total Structured RMBS |
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983,185 |
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140,515 |
3.75 |
% |
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14.29 |
3.79 |
% |
284 |
12.25 |
% |
12.35 |
% |
Total Mortgage Assets |
$ |
4,458,714 |
$ |
3,745,527 |
100.00 |
% |
|
|
4.27 |
% |
294 |
8.41 |
% |
9.17 |
% |
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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 |
|
Asset Category |
|
Value(1) |
Portfolio |
As of July 31,
2018 |
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As of July 31,
2018 |
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Fannie Mae |
$ |
2,241,090 |
59.8 |
% |
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Whole Pool Assets |
$ |
2,687,129 |
71.7 |
% |
Freddie Mac |
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1,499,150 |
40.1 |
% |
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Non-Whole
Pool Assets |
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1,058,398 |
28.3 |
% |
Ginnie
Mae |
|
5,287 |
0.1 |
% |
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Total
Mortgage Assets |
$ |
3,745,527 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,745,527 |
100.0 |
% |
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(1) Amounts in the tables above include assets with a fair value
of approximately $61.9 million purchased in July 2018, which settle
in August 2018, and exclude assets with a fair value of
approximately $57.2 million sold in July 2018, which settle in
August 2018.
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Borrowings By
Counterparty |
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($ 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 July 31, 2018 |
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Borrowings(1) |
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Debt |
|
in Days |
Maturity |
RBC Capital Markets,
LLC |
$ |
462,010 |
|
13.1 |
% |
|
34 |
9/28/2018 |
Mirae Asset Securities
(USA) Inc. |
|
377,833 |
|
10.7 |
% |
|
37 |
10/23/2018 |
J.P. Morgan Securities
LLC |
|
346,385 |
|
9.8 |
% |
|
10 |
8/17/2018 |
Mitsubishi UFJ
Securities (USA), Inc |
|
229,586 |
|
6.5 |
% |
|
37 |
9/17/2018 |
ICBC Financial Services
LLC |
|
198,184 |
|
5.6 |
% |
|
34 |
9/14/2018 |
Cantor Fitzgerald &
Co |
|
185,269 |
|
5.2 |
% |
|
15 |
8/15/2018 |
Citigroup Global
Markets Inc |
|
171,248 |
|
4.9 |
% |
|
42 |
9/17/2018 |
Wells Fargo Bank,
N.A. |
|
163,599 |
|
4.6 |
% |
|
22 |
8/27/2018 |
ING Financial Markets
LLC |
|
161,046 |
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4.6 |
% |
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43 |
9/17/2018 |
Natixis, New York
Branch |
|
146,697 |
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4.2 |
% |
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16 |
8/24/2018 |
ABN AMRO Bank N.V. |
|
131,053 |
|
3.7 |
% |
|
3 |
8/3/2018 |
FHLB-Cincinnati |
|
100,032 |
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2.8 |
% |
|
1 |
8/1/2018 |
KGS-Alpha Capital
Markets, L.P |
|
99,545 |
|
2.8 |
% |
|
27 |
9/14/2018 |
Daiwa Securities
America Inc. |
|
93,907 |
|
2.7 |
% |
|
10 |
8/13/2018 |
South Street
Securities, LLC |
|
93,443 |
|
2.6 |
% |
|
29 |
8/30/2018 |
ASL Capital Markets
Inc. |
|
91,202 |
|
2.6 |
% |
|
33 |
9/17/2018 |
Guggenheim Securities,
LLC |
|
86,132 |
|
2.4 |
% |
|
39 |
9/18/2018 |
Nomura Securities
International, Inc. |
|
80,805 |
|
2.3 |
% |
|
38 |
10/22/2018 |
ED&F Man Capital
Markets Inc |
|
75,364 |
|
2.1 |
% |
|
39 |
9/21/2018 |
Barclays Capital,
Inc. |
|
69,890 |
|
2.0 |
% |
|
17 |
8/17/2018 |
Lucid Cash Fund USG
LLC |
|
56,095 |
|
1.6 |
% |
|
9 |
8/9/2018 |
Goldman, Sachs &
Co |
|
51,489 |
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1.5 |
% |
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10 |
8/10/2018 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated |
|
37,408 |
|
1.1 |
% |
|
25 |
8/30/2018 |
Mizuho Securities USA,
Inc |
|
13,667 |
|
0.4 |
% |
|
46 |
9/21/2018 |
J.V.B.
Financial Group, LLC |
|
8,504 |
|
0.2 |
% |
|
45 |
9/14/2018 |
Total
Borrowings |
$ |
3,530,393 |
|
100.0 |
% |
|
27 |
10/23/2018 |
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(1) In July 2018, the Company purchased assets with a fair value
of approximately $61.9 million, which settle in August 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 $57.2 million, which settle in August 2018 that
collateralize approximately $55.3 million of repurchase agreements
included in the table above.
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RMBS Risk
Measures |
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($ in
thousands) |
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Mortgage Assets |
|
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|
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|
|
|
|
|
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 July 31,
2018 |
|
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|
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|
|
|
Adjustable Rate
RMBS |
$ |
1,712 |
10 |
|
9.97% |
2.00% |
$ |
5 |
|
$ |
(3 |
) |
Hybrid Adjustable Rate
RMBS |
|
24,566 |
54 |
|
7.57% |
2.00% |
|
337 |
|
|
(350 |
) |
Fixed Rate RMBS |
|
3,042,837 |
n/a |
|
n/a |
n/a |
|
57,835 |
|
|
(68,684 |
) |
Fixed
Rate CMO |
|
535,897 |
n/a |
|
n/a |
n/a |
|
2,669 |
|
|
(6,098 |
) |
Total
Pass-through RMBS |
|
3,605,012 |
n/a |
|
n/a |
n/a |
|
60,846 |
|
|
(75,135 |
) |
Interest-Only
Securities |
|
115,999 |
n/a |
|
n/a |
n/a |
|
(13,929 |
) |
|
9,599 |
|
Inverse
Interest-Only Securities |
|
24,516 |
1 |
|
6.30% |
n/a |
|
2,662 |
|
|
(3,224 |
) |
Structured RMBS |
|
140,515 |
n/a |
|
n/a |
n/a |
|
(11,267 |
) |
|
6,375 |
|
Total
Mortgage Assets |
$ |
3,745,527 |
n/a |
|
n/a |
n/a |
$ |
49,579 |
|
$ |
(68,760 |
) |
|
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Funding Hedges |
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Modeled |
|
Modeled |
|
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|
|
Interest |
|
Interest |
|
|
|
|
|
Average |
Hedge |
|
Rate |
|
Rate |
|
|
|
|
|
Notional |
Period |
|
Sensitivity |
|
Sensitivity |
|
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Balance(2) |
End Date |
|
(-50 BPS)(1) |
|
(+50 BPS)(1) |
Eurodollar
Futures Contracts - Short Positions |
$ |
1,475,000 |
Dec-2020 |
$ |
(18,438 |
) |
$ |
18,438 |
|
Treasury
Futures Contracts - Short Positions |
|
165,000 |
Sep-2018 |
|
(4,555 |
) |
|
3,948 |
|
Payer
Swaps |
|
1,010,000 |
Aug-2022 |
|
(10,182 |
) |
|
10,182 |
|
Payer
Swaption |
|
950,000 |
Oct-2028 |
|
(6,904 |
) |
|
23,696 |
|
Receiver
Swaption |
|
100,000 |
Feb-2024 |
|
1,125 |
|
|
(302 |
) |
TBA Short Positions |
|
400,000 |
n/a |
|
(11,116 |
) |
|
13,028 |
|
Total Hedges |
|
|
|
|
(50,070 |
) |
|
68,990 |
|
|
|
|
|
|
|
|
|
Grand Total |
|
|
|
$ |
(491 |
) |
$ |
230 |
|
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|
|
|
|
|
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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 $113.13 at
July 31, 2018. The notional contract value of the short
position was $186.7 million.
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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