Orchid Island Capital Announces December 2018 Monthly Dividend and November 30, 2018 RMBS Portfolio Characteristics
December 10 2018 - 5:10PM
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 December 2018. The dividend of $0.08
per share will be paid January 10, 2019, to holders of record on
December 31, 2018, with an ex-dividend date of December 28,
2018. The Company plans on announcing its next dividend after
the Board’s meeting on January 10, 2019.
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 10, 2018, the Company had
50,710,671 shares outstanding, including 53,139 shares repurchased
pursuant to the Company’s stock repurchase program through that
date that have not yet settled. At September 30, 2018, the Company
had 52,039,168 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of November 30,
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 |
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($ in
thousands) |
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Realized |
Realized |
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Nov 2018 |
Sep - Nov |
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Modeled |
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Modeled |
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|
Net |
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|
Weighted |
CPR |
2018 CPR |
|
|
Interest |
|
Interest |
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|
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% |
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|
|
Weighted |
|
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Average |
(1-Month) |
(3-Month) |
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Rate |
|
Rate |
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Current |
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Fair |
of |
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Current |
Average |
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|
Maturity |
(Reported |
(Reported |
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|
Sensitivity |
|
Sensitivity |
Type |
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Face |
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|
Value(1) |
Portfolio |
|
|
Price |
Coupon |
GWAC |
Age |
(Months) |
in Dec) |
in Dec) |
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|
(-50 BPS)(2) |
|
(+50 BPS)(2) |
ARM RMBS |
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ARM
RMBS |
$ |
1,351 |
|
$ |
1,426 |
0.04 |
% |
|
$ |
105.54 |
4.75 |
% |
5.19 |
% |
169 |
192 |
0.01 |
% |
0.05 |
% |
|
$ |
10 |
|
$ |
(8 |
) |
Total ARM RMBS |
|
1,351 |
|
|
1,426 |
0.04 |
% |
|
|
105.54 |
4.75 |
% |
5.19 |
% |
169 |
192 |
0.01 |
% |
0.05 |
% |
|
|
10 |
|
|
(8 |
) |
Fixed Rate RMBS |
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|
|
|
|
|
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Fixed
Rate CMO |
|
725,061 |
|
|
745,402 |
21.39 |
% |
|
|
102.81 |
4.27 |
% |
4.61 |
% |
9 |
349 |
7.44 |
% |
7.18 |
% |
|
|
6,732 |
|
|
(10,382 |
) |
Fixed
Rate CMO Total |
|
725,061 |
|
|
745,402 |
21.39 |
% |
|
|
102.81 |
4.27 |
% |
4.61 |
% |
9 |
349 |
7.44 |
% |
7.18 |
% |
|
|
6,732 |
|
|
(10,382 |
) |
15yr 3.5 |
|
2,756 |
|
|
2,776 |
0.08 |
% |
|
|
100.71 |
3.50 |
% |
3.84 |
% |
62 |
117 |
12.06 |
% |
12.57 |
% |
|
|
53 |
|
|
(53 |
) |
15yr
4.0 |
|
626,938 |
|
|
642,188 |
18.42 |
% |
|
|
102.43 |
4.00 |
% |
4.51 |
% |
6 |
172 |
6.80 |
% |
6.18 |
% |
|
|
12,203 |
|
|
(12,730 |
) |
15yr
Total |
|
629,694 |
|
|
644,964 |
18.50 |
% |
|
|
102.43 |
4.00 |
% |
4.51 |
% |
6 |
171 |
6.82 |
% |
6.27 |
% |
|
|
12,256 |
|
|
(12,783 |
) |
20yr 4.0 |
|
201,319 |
|
|
205,741 |
5.90 |
% |
|
|
102.20 |
4.00 |
% |
4.47 |
% |
19 |
218 |
9.72 |
% |
8.19 |
% |
|
|
4,693 |
|
|
(4,806 |
) |
20yr
4.5 |
|
18,671 |
|
|
19,376 |
0.56 |
% |
|
|
103.78 |
4.50 |
% |
5.13 |
% |
8 |
231 |
12.98 |
% |
9.62 |
% |
|
|
291 |
|
|
(356 |
) |
20yr
Total |
|
219,990 |
|
|
225,117 |
6.46 |
% |
|
|
101.06 |
4.04 |
% |
4.52 |
% |
18 |
219 |
9.99 |
% |
8.31 |
% |
|
|
4,984 |
|
|
(5,162 |
) |
30yr 4.0 |
|
258,721 |
|
|
261,469 |
7.50 |
% |
|
|
101.06 |
4.00 |
% |
4.49 |
% |
23 |
334 |
4.94 |
% |
5.18 |
% |
|
|
6,568 |
|
|
(7,458 |
) |
30yr 4.5 |
|
1,233,543 |
|
|
1,277,521 |
36.65 |
% |
|
|
103.57 |
4.50 |
% |
4.93 |
% |
12 |
347 |
6.63 |
% |
7.43 |
% |
|
|
22,876 |
|
|
(28,439 |
) |
30yr
5.0 |
|
167,461 |
|
|
177,400 |
5.09 |
% |
|
|
105.94 |
5.00 |
% |
5.50 |
% |
9 |
349 |
7.63 |
% |
7.39 |
% |
|
|
2,820 |
|
|
(3,464 |
) |
30yr
Total |
|
1,659,725 |
|
|
1,716,390 |
49.24 |
% |
|
|
103.41 |
4.47 |
% |
4.92 |
% |
13 |
346 |
6.47 |
% |
7.02 |
% |
|
|
32,264 |
|
|
(39,361 |
) |
Total Fixed Rate RMBS |
|
3,234,470 |
|
|
3,331,873 |
95.59 |
% |
|
|
103.01 |
4.30 |
% |
4.74 |
% |
11 |
304 |
6.99 |
% |
7.12 |
% |
|
|
56,236 |
|
|
(67,688 |
) |
Total Pass Through RMBS |
|
3,235,821 |
|
|
3,333,299 |
95.63 |
% |
|
|
103.01 |
4.30 |
% |
4.74 |
% |
11 |
304 |
6.99 |
% |
7.12 |
% |
|
|
56,246 |
|
|
(67,696 |
) |
Structured RMBS |
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|
|
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|
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|
|
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Interest-Only
Securities |
|
782,741 |
|
|
129,691 |
3.72 |
% |
|
|
16.57 |
3.73 |
% |
4.32 |
% |
57 |
255 |
8.89 |
% |
9.88 |
% |
|
|
(12,373 |
) |
|
9,049 |
|
Inverse
Interest-Only Securities |
|
228,742 |
|
|
22,517 |
0.65 |
% |
|
|
9.84 |
2.82 |
% |
4.86 |
% |
53 |
298 |
11.47 |
% |
10.54 |
% |
|
|
2,879 |
|
|
(3,354 |
) |
Total Structured RMBS |
|
1,011,483 |
|
|
152,208 |
4.37 |
% |
|
|
15.05 |
3.53 |
% |
4.44 |
% |
56 |
265 |
9.49 |
% |
10.09 |
% |
|
|
(9,494 |
) |
|
5,695 |
|
Total Mortgage Assets |
$ |
4,247,304 |
|
$ |
3,485,507 |
100.00 |
% |
|
|
|
4.12 |
% |
4.67 |
% |
22 |
294 |
7.57 |
% |
7.75 |
% |
|
$ |
46,752 |
|
$ |
(62,001 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
Interest |
|
Interest |
|
|
Average |
|
Hedge |
|
|
|
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|
|
|
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|
|
Rate |
|
Rate |
|
|
Notional |
|
Period |
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Sensitivity |
|
Sensitivity |
Hedge |
|
Balance |
|
End |
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(-50 BPS)(1) |
|
(+50 BPS)(1) |
Eurodollar Futures |
|
(1,725,000 |
) |
|
Feb-2020 |
|
|
|
|
|
|
|
|
|
$ |
(17,250 |
) |
$ |
17,250 |
|
Swaps |
|
(1,260,000 |
) |
|
Oct-2020 |
|
|
|
|
|
|
|
|
|
|
(13,144 |
) |
|
13,144 |
|
5-Year Treasury
Future |
|
(165,000 |
) |
|
Dec-2018(3) |
|
|
|
|
|
|
|
|
|
|
(5,408 |
) |
|
2,902 |
|
TBA |
|
(430,000 |
) |
|
Dec-2018 |
|
|
|
|
|
|
|
|
|
|
(10,725 |
) |
|
13,284 |
|
Swaptions |
|
(850,000 |
) |
|
Mar-2028 |
|
|
|
|
|
|
|
|
|
|
381 |
|
|
23,523 |
|
Hedge Total |
|
(4,430,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
$ |
(46,146 |
) |
$ |
70,103 |
|
Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
606 |
|
$ |
8,102 |
|
(1) |
|
Amounts in
the tables above include assets with a fair value of approximately
$232.5 million purchased in November 2018, which settle in December
2018, and exclude assets with a fair value of approximately $65.5
million sold in November 2018, which settle in December 2018. |
(2) |
|
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. |
(3) |
|
Five year
treasury futures contracts were valued at prices of $112.96 at
November 30, 2018. The notional contract value of the short
position was $186.4 million. |
RMBS Assets by
Agency |
|
|
|
|
Investment Company Act of 1940 Whole Pool
Test |
($ in
thousands) |
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
Percentage |
|
|
|
|
Percentage |
|
|
Fair |
of |
|
|
|
Fair |
of |
Asset Category |
|
Value(1) |
Portfolio |
|
Asset Category |
|
Value(1) |
Portfolio |
As of November
30, 2018 |
|
|
|
|
As of November
30, 2018 |
|
|
|
Fannie Mae |
$ |
1,751,444 |
50.2 |
% |
|
Non-Whole Pool
Assets |
$ |
1,098,686 |
31.5 |
% |
Freddie Mac |
|
1,729,634 |
49.7 |
% |
|
Whole
Pool Assets |
|
2,386,821 |
68.5 |
% |
Ginnie
Mae |
|
4,429 |
0.1 |
% |
|
Total
Mortgage Assets |
$ |
3,485,507 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,485,507 |
100.0 |
% |
|
|
|
|
|
(1) |
|
Amounts in
the tables above include assets with a fair value of approximately
$232.5 million purchased in November 2018, which settle in December
2018, and exclude assets with a fair value of approximately $65.5
million sold in November 2018, which settle in December 2018. |
Borrowings By
Counterparty |
|
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
Weighted |
|
|
|
|
|
% of |
|
Average |
Average |
|
|
|
Total |
|
Total |
|
Repo |
Maturity |
Longest |
As of November 30, 2018 |
|
Borrowings(1) |
|
Debt |
|
Rate |
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
485,040 |
|
15.6 |
% |
|
2.42 |
% |
22 |
1/15/2019 |
RBC Capital Markets,
LLC |
|
436,775 |
|
14.1 |
% |
|
2.51 |
% |
44 |
1/30/2019 |
Mirae Asset Securities
(USA) Inc. |
|
357,023 |
|
11.5 |
% |
|
2.51 |
% |
65 |
2/13/2019 |
Wells Fargo Bank,
N.A. |
|
264,885 |
|
8.5 |
% |
|
2.43 |
% |
18 |
12/26/2018 |
Citigroup Global
Markets Inc |
|
222,055 |
|
7.2 |
% |
|
2.47 |
% |
32 |
1/28/2019 |
Mitsubishi UFJ
Securities (USA), Inc |
|
205,879 |
|
6.6 |
% |
|
2.55 |
% |
78 |
2/19/2019 |
ICBC Financial Services
LLC |
|
183,034 |
|
5.9 |
% |
|
2.36 |
% |
16 |
12/20/2018 |
Cantor Fitzgerald &
Co |
|
173,558 |
|
5.6 |
% |
|
2.54 |
% |
75 |
2/13/2019 |
ABN AMRO Bank N.V. |
|
153,860 |
|
5.0 |
% |
|
2.28 |
% |
6 |
12/13/2018 |
ING Financial Markets
LLC |
|
108,554 |
|
3.5 |
% |
|
2.53 |
% |
66 |
2/12/2019 |
FHLB-Cincinnati |
|
97,710 |
|
3.1 |
% |
|
2.39 |
% |
3 |
12/3/2018 |
South Street
Securities, LLC |
|
82,841 |
|
2.7 |
% |
|
2.57 |
% |
61 |
2/14/2019 |
Natixis, New York
Branch |
|
71,947 |
|
2.3 |
% |
|
2.52 |
% |
16 |
12/21/2018 |
Daiwa Securities
America Inc. |
|
44,313 |
|
1.4 |
% |
|
2.41 |
% |
5 |
12/5/2018 |
ASL Capital Markets
Inc. |
|
39,041 |
|
1.3 |
% |
|
2.55 |
% |
75 |
2/13/2019 |
Lucid Cash Fund USG
LLC |
|
36,712 |
|
1.2 |
% |
|
2.47 |
% |
13 |
12/13/2018 |
Bank of Montreal |
|
35,598 |
|
1.1 |
% |
|
2.39 |
% |
14 |
12/14/2018 |
Guggenheim Securities,
LLC |
|
26,394 |
|
0.9 |
% |
|
2.39 |
% |
13 |
12/13/2018 |
Lucid Prime Fund,
LLC |
|
21,690 |
|
0.7 |
% |
|
2.51 |
% |
13 |
12/13/2018 |
Merrill Lynch, Pierce,
Fenner & Smith |
|
19,246 |
|
0.6 |
% |
|
2.89 |
% |
28 |
12/28/2018 |
ED&F Man Capital
Markets Inc |
|
13,687 |
|
0.4 |
% |
|
2.39 |
% |
7 |
12/7/2018 |
J.V.B. Financial Group,
LLC |
|
10,042 |
|
0.3 |
% |
|
2.54 |
% |
77 |
2/15/2019 |
Mizuho Securities USA,
Inc |
|
9,682 |
|
0.3 |
% |
|
2.42 |
% |
21 |
12/21/2018 |
Nomura
Securities International, Inc. |
|
5,442 |
|
0.2 |
% |
|
2.40 |
% |
21 |
12/21/2018 |
Total
Borrowings |
$ |
3,105,007 |
|
100.0 |
% |
|
2.47 |
% |
38 |
2/19/2019 |
(1) |
|
In November
2018, the Company purchased assets with a fair value of
approximately $232.5 million, which settle in December 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 $65.5 million, which settle in December 2018 that
collateralize approximately $63.0 million of repurchase agreements
included in the table above. |
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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