Orchid Island Capital Announces March 2019 Monthly Dividend and February 28, 2019 RMBS Portfolio Characteristics
March 13 2019 - 4:45PM
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 March 2019. The dividend of $0.08
per share will be paid April 30, 2019, to holders of record on
March 29, 2019, with an ex-dividend date of March 28, 2019.
The Company plans on announcing its next dividend after the Board’s
meeting on April 17, 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 March 13, 2019, the Company had 49,018,779
shares outstanding. At December 31, 2018, the Company had
49,132,423 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of February 28,
2019 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, 2018.
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RMBS Valuation
Characteristics |
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($ in
thousands) |
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Realized |
Realized |
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Feb 2019 |
Dec - Feb |
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Modeled |
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Modeled |
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Net |
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Weighted |
CPR |
2019 CPR |
|
Interest |
|
Interest |
|
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% |
|
|
Weighted |
|
|
Average |
(1-Month) |
(3-Month) |
|
Rate |
|
Rate |
|
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Current |
|
Fair |
of |
|
Current |
Average |
|
|
Maturity |
(Reported |
(Reported |
|
Sensitivity |
|
Sensitivity |
Type |
|
Face |
|
Value |
Portfolio |
|
Price |
Coupon |
GWAC |
Age |
(Months) |
in Mar) |
in Mar) |
|
(-50 BPS)(1) |
|
(+50 BPS)(1) |
ARM RMBS |
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Post Rest ARM |
$ |
1,337 |
|
$ |
1,413 |
0.05 |
% |
$ |
105.66 |
4.75 |
% |
5.19 |
% |
172 |
189 |
69.02 |
% |
43.14 |
% |
$ |
9 |
|
$ |
(7 |
) |
Fixed Rate CMO |
|
701,767 |
|
|
722,819 |
24.30 |
% |
|
103.00 |
4.26 |
% |
4.61 |
% |
12 |
345 |
8.90 |
% |
7.59 |
% |
|
2,997 |
|
|
(6,809 |
) |
15yr
4.0 |
|
519,826 |
|
|
538,634 |
18.11 |
% |
|
103.62 |
4.00 |
% |
4.53 |
% |
9 |
168 |
7.54 |
% |
6.37 |
% |
|
9,621 |
|
|
(10,136 |
) |
15yr
Total |
|
519,826 |
|
|
538,634 |
18.11 |
% |
|
103.62 |
4.00 |
% |
4.53 |
% |
9 |
168 |
7.54 |
% |
6.37 |
% |
|
9,621 |
|
|
(10,136 |
) |
20yr
4.0 |
|
89,738 |
|
|
92,767 |
3.12 |
% |
|
103.38 |
4.00 |
% |
4.48 |
% |
19 |
217 |
9.52 |
% |
7.53 |
% |
|
2,041 |
|
|
(2,103 |
) |
20yr
Total |
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89,738 |
|
|
92,767 |
3.12 |
% |
|
103.38 |
4.00 |
% |
4.48 |
% |
19 |
217 |
9.52 |
% |
7.53 |
% |
|
2,041 |
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(2,103 |
) |
30yr 4.0 |
|
303,061 |
|
|
311,695 |
10.48 |
% |
|
102.85 |
4.00 |
% |
4.55 |
% |
22 |
336 |
5.39 |
% |
5.48 |
% |
|
6,606 |
|
|
(8,107 |
) |
30yr 4.5 |
|
955,242 |
|
|
998,006 |
33.55 |
% |
|
104.48 |
4.50 |
% |
4.96 |
% |
12 |
347 |
9.90 |
% |
10.09 |
% |
|
13,612 |
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|
(18,663 |
) |
30yr
5.0 |
|
162,596 |
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|
173,802 |
5.84 |
% |
|
106.89 |
5.00 |
% |
5.50 |
% |
12 |
346 |
13.45 |
% |
10.88 |
% |
|
2,362 |
|
|
(3,056 |
) |
30yr
Total |
|
1,420,899 |
|
|
1,483,503 |
49.87 |
% |
|
104.41 |
4.45 |
% |
4.94 |
% |
14 |
345 |
9.35 |
% |
9.20 |
% |
|
22,580 |
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(29,826 |
) |
Total Pass Through RMBS |
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2,733,567 |
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2,839,136 |
95.44 |
% |
|
103.86 |
4.30 |
% |
4.76 |
% |
13 |
307 |
8.92 |
% |
8.11 |
% |
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37,248 |
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(48,881 |
) |
Structured RMBS |
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Interest-Only
Securities |
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753,908 |
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112,560 |
3.78 |
% |
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14.93 |
3.74 |
% |
4.33 |
% |
60 |
253 |
7.11 |
% |
7.35 |
% |
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(14,885 |
) |
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11,399 |
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Inverse
Interest-Only Securities |
|
219,974 |
|
|
23,229 |
0.78 |
% |
|
10.56 |
2.63 |
% |
4.86 |
% |
56 |
295 |
8.76 |
% |
9.65 |
% |
|
2,338 |
|
|
(3,035 |
) |
Total Structured RMBS |
|
973,882 |
|
|
135,789 |
4.56 |
% |
|
13.94 |
3.49 |
% |
4.45 |
% |
59 |
262 |
7.48 |
% |
7.87 |
% |
|
(12,547 |
) |
|
8,364 |
|
Total Mortgage Assets |
$ |
3,707,449 |
|
$ |
2,974,925 |
100.00 |
% |
|
|
4.09 |
% |
4.68 |
% |
25 |
295 |
8.54 |
% |
8.04 |
% |
$ |
24,701 |
|
$ |
(40,517 |
) |
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Interest |
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Interest |
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Average |
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Hedge |
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Rate |
|
Rate |
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Notional |
|
Period |
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Sensitivity |
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Sensitivity |
Hedge |
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Balance |
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End |
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(-50 BPS)(1) |
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(+50 BPS)(1) |
Eurodollar Futures |
$ |
(1,725,000 |
) |
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Dec-2020 |
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$ |
(17,250 |
) |
$ |
17,250 |
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Swaps |
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(1,260,000 |
) |
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Oct-2020 |
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(10,725 |
) |
|
10,725 |
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5-Year Treasury
Future |
|
(165,000 |
) |
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Jun-2019(2) |
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|
(4,019 |
) |
|
4,500 |
|
TBA |
|
(250,000 |
) |
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Mar-2018 |
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|
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|
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|
(5,208 |
) |
|
6,086 |
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Hedge Total |
$ |
(3,400,000 |
) |
|
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|
|
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|
$ |
(37,202 |
) |
$ |
38,561 |
|
Rate Shock Grand Total |
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|
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|
$ |
(12,501 |
) |
$ |
(1,956 |
) |
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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 $114.56 at
February 28, 2019. The notional contract value of the short
position was $189.0 million. |
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RMBS Assets by
Agency |
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Investment Company Act of 1940 Whole Pool
Test |
($ 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 |
|
Value |
Portfolio |
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Asset Category |
|
Value |
Portfolio |
As of February
28, 2019 |
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As of February
28, 2019 |
|
|
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Fannie Mae |
$ |
1,461,823 |
49.1 |
% |
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Non-Whole Pool
Assets |
$ |
928,095 |
31.2 |
% |
Freddie Mac |
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1,509,304 |
50.8 |
% |
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Whole
Pool Assets |
|
2,046,830 |
68.8 |
% |
Ginnie
Mae |
|
3,798 |
0.1 |
% |
|
Total
Mortgage Assets |
$ |
2,974,925 |
100.0 |
% |
Total
Mortgage Assets |
$ |
2,974,925 |
100.0 |
% |
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Borrowings By
Counterparty |
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($ in
thousands) |
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|
Weighted |
Weighted |
|
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|
% of |
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Average |
Average |
|
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Total |
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Total |
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Repo |
Maturity |
Longest |
As of February 28, 2019 |
|
Borrowings |
|
Debt |
|
Rate |
in Days |
Maturity |
Mirae Asset Securities
(USA) Inc. |
$ |
371,010 |
|
13.3 |
% |
|
2.66 |
% |
49 |
5/13/2019 |
RBC Capital Markets,
LLC |
|
317,254 |
|
11.3 |
% |
|
2.67 |
% |
16 |
3/28/2019 |
Wells Fargo Bank,
N.A. |
|
306,180 |
|
10.9 |
% |
|
2.64 |
% |
17 |
3/26/2019 |
J.P. Morgan Securities
LLC |
|
257,599 |
|
9.2 |
% |
|
2.65 |
% |
15 |
3/15/2019 |
Cantor Fitzgerald &
Co |
|
249,621 |
|
8.9 |
% |
|
2.63 |
% |
12 |
3/15/2019 |
ING Financial Markets
LLC |
|
224,760 |
|
8.0 |
% |
|
2.63 |
% |
15 |
3/25/2019 |
Mitsubishi UFJ
Securities (USA), Inc |
|
203,012 |
|
7.2 |
% |
|
2.67 |
% |
67 |
5/15/2019 |
ABN AMRO Bank N.V. |
|
148,320 |
|
5.3 |
% |
|
2.65 |
% |
35 |
4/4/2019 |
ICBC Financial Services
LLC |
|
124,773 |
|
4.4 |
% |
|
2.66 |
% |
14 |
3/15/2019 |
Citigroup Global
Markets Inc |
|
112,169 |
|
4.0 |
% |
|
2.67 |
% |
25 |
3/29/2019 |
ASL Capital Markets
Inc. |
|
90,729 |
|
3.2 |
% |
|
2.67 |
% |
75 |
5/14/2019 |
FHLB-Cincinnati |
|
82,688 |
|
2.9 |
% |
|
2.67 |
% |
1 |
3/1/2019 |
South Street
Securities, LLC |
|
74,905 |
|
2.7 |
% |
|
2.63 |
% |
29 |
3/29/2019 |
Natixis, New York
Branch |
|
56,589 |
|
2.0 |
% |
|
2.77 |
% |
15 |
3/15/2019 |
Lucid Cash Fund USG
LLC |
|
48,776 |
|
1.7 |
% |
|
2.68 |
% |
14 |
3/14/2019 |
Bank of Montreal |
|
35,447 |
|
1.3 |
% |
|
2.66 |
% |
15 |
3/15/2019 |
Guggenheim Securities,
LLC |
|
26,762 |
|
1.0 |
% |
|
2.66 |
% |
1 |
3/1/2019 |
J.V.B. Financial Group,
LLC |
|
24,546 |
|
0.9 |
% |
|
2.63 |
% |
21 |
3/25/2019 |
Lucid Prime Fund,
LLC |
|
20,153 |
|
0.7 |
% |
|
2.73 |
% |
14 |
3/14/2019 |
Merrill Lynch, Pierce,
Fenner & Smith |
|
15,807 |
|
0.6 |
% |
|
3.04 |
% |
28 |
3/28/2019 |
ED&F
Man Capital Markets Inc |
|
13,469 |
|
0.5 |
% |
|
2.63 |
% |
7 |
3/7/2019 |
Total
Borrowings |
$ |
2,804,569 |
|
100.0 |
% |
|
2.66 |
% |
27 |
5/15/2019 |
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Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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