Orchid Island Capital Announces May 2019 Monthly Dividend and April 30, 2019 RMBS Portfolio Characteristics
May 15 2019 - 4:55PM
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 2019. The dividend of $0.08 per
share will be paid June 28, 2019, to holders of record on May 31,
2019, with an ex-dividend date of May 30, 2019. The Company
plans on announcing its next dividend after the Board’s meeting on
June 11, 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 May 15, 2019, the Company had 53,392,967
shares outstanding. At March 31, 2019, the Company had 49,937,700
shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of April 30,
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 and the expected
funding of purchased assets and anticipating 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,
2018.
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| RMBS Valuation
Characteristics |
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| ($ in
thousands) |
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|
Realized |
Realized |
|
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|
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|
|
|
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|
|
|
|
|
|
Apr 2019 |
Feb - Apr |
|
Modeled |
|
Modeled |
| |
|
|
|
|
|
|
|
Net |
|
|
Weighted |
CPR |
2019 CPR |
|
Interest |
|
Interest |
| |
|
|
|
|
% |
|
|
Weighted |
|
|
Average |
(1-Month) |
(3-Month) |
|
Rate |
|
Rate |
| |
|
Current |
|
Fair |
of |
|
Current |
Average |
|
|
Maturity |
(Reported |
(Reported |
|
Sensitivity |
|
Sensitivity |
|
Type |
|
Face |
|
Value(1) |
Portfolio |
|
Price |
Coupon |
GWAC |
Age |
(Months) |
in May) |
in May) |
|
(-50 BPS)(2) |
|
(+50 BPS)(2) |
|
Pass Through RMBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Post Reset ARM |
$ |
1,136 |
|
$ |
1,202 |
0.04 |
% |
$ |
105.81 |
4.78 |
% |
5.22 |
% |
176 |
185 |
0.00 |
% |
40.67 |
% |
$ |
7 |
|
$ |
(7 |
) |
| Fixed Rate CMO |
|
681,367 |
|
|
706,390 |
20.81 |
% |
|
103.67 |
4.26 |
% |
4.61 |
% |
14 |
343 |
15.35 |
% |
11.55 |
% |
|
56 |
|
|
(3,508 |
) |
| 15yr
4.0 |
|
474,789 |
|
|
495,341 |
14.59 |
% |
|
104.33 |
4.00 |
% |
4.54 |
% |
11 |
166 |
9.57 |
% |
8.60 |
% |
|
8,558 |
|
|
(9,097 |
) |
| 15yr
Total |
|
474,789 |
|
|
495,341 |
14.59 |
% |
|
104.33 |
4.00 |
% |
4.54 |
% |
11 |
166 |
9.57 |
% |
8.60 |
% |
|
8,558 |
|
|
(9,097 |
) |
| 20yr
4.0 |
|
87,786 |
|
|
91,837 |
2.70 |
% |
|
104.61 |
4.00 |
% |
4.48 |
% |
21 |
215 |
10.37 |
% |
9.53 |
% |
|
1,962 |
|
|
(2,049 |
) |
| 20yr
Total |
|
87,786 |
|
|
91,837 |
2.70 |
% |
|
104.61 |
4.00 |
% |
4.48 |
% |
21 |
215 |
10.37 |
% |
9.53 |
% |
|
1,962 |
|
|
(2,049 |
) |
| 30yr 3.0 |
|
224,240 |
|
|
219,286 |
6.46 |
% |
|
97.79 |
3.00 |
% |
4.34 |
% |
1 |
359 |
3.23 |
% |
- |
|
|
4,839 |
|
|
(6,924 |
) |
| 30yr 3.5 |
|
54,896 |
|
|
55,507 |
1.63 |
% |
|
101.11 |
3.50 |
% |
4.22 |
% |
13 |
344 |
6.13 |
% |
- |
|
|
1,044 |
|
|
(1,414 |
) |
| 30yr 4.0 |
|
749,380 |
|
|
778,905 |
22.94 |
% |
|
103.94 |
4.00 |
% |
4.67 |
% |
12 |
347 |
7.68 |
% |
8.20 |
% |
|
12,821 |
|
|
(18,291 |
) |
| 30yr 4.5 |
|
468,037 |
|
|
490,963 |
14.46 |
% |
|
104.90 |
4.50 |
% |
5.11 |
% |
8 |
352 |
12.65 |
% |
12.48 |
% |
|
4,205 |
|
|
(6,591 |
) |
| 30yr
5.0 |
|
385,844 |
|
|
418,287 |
12.32 |
% |
|
108.41 |
5.00 |
% |
5.59 |
% |
10 |
348 |
9.70 |
% |
14.12 |
% |
|
6,017 |
|
|
(7,482 |
) |
| 30yr
Total |
|
1,882,397 |
|
|
1,962,948 |
57.82 |
% |
|
104.28 |
4.20 |
% |
4.91 |
% |
9 |
350 |
8.72 |
% |
11.21 |
% |
|
28,926 |
|
|
(40,702 |
) |
|
Total Pass Through RMBS |
|
3,127,475 |
|
|
3,257,718 |
95.95 |
% |
|
104.16 |
4.18 |
% |
4.78 |
% |
11 |
316 |
10.44 |
% |
10.66 |
% |
|
39,509 |
|
|
(55,363 |
) |
|
Structured RMBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest-Only Securities |
|
788,857 |
|
|
113,137 |
3.33 |
% |
|
14.34 |
3.76 |
% |
4.34 |
% |
62 |
253 |
11.22 |
% |
9.67 |
% |
|
(17,821 |
) |
|
14,663 |
|
| Inverse
Interest-Only Securities |
|
215,119 |
|
|
24,236 |
0.71 |
% |
|
11.27 |
2.64 |
% |
4.86 |
% |
58 |
293 |
9.69 |
% |
9.02 |
% |
|
1,853 |
|
|
(2,699 |
) |
|
Total Structured RMBS |
|
1,003,976 |
|
|
137,373 |
4.05 |
% |
|
13.68 |
3.52 |
% |
4.45 |
% |
61 |
262 |
10.89 |
% |
9.53 |
% |
|
(15,968 |
) |
|
11,964 |
|
|
Total Mortgage Assets |
$ |
4,131,451 |
|
$ |
3,395,091 |
100.00 |
% |
|
|
4.02 |
% |
4.70 |
% |
23 |
303 |
10.56 |
% |
10.30 |
% |
$ |
23,541 |
|
$ |
(43,399 |
) |
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Interest |
|
Interest |
| |
|
Average |
|
Hedge |
|
|
|
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|
|
|
Rate |
|
Rate |
| |
|
Notional |
|
Period |
|
|
|
|
|
|
|
|
|
|
Sensitivity |
|
Sensitivity |
|
Hedge |
|
Balance |
|
End |
|
|
|
|
|
|
|
|
|
|
(-50 BPS)(2) |
|
(+50 BPS)(2) |
| Eurodollar Futures |
$ |
(457,143 |
) |
|
Dec-2020 |
|
|
|
|
|
|
|
|
|
$ |
(4,000 |
) |
$ |
4,000 |
|
| Swaps |
|
(1,760,000 |
) |
|
Sep-2020 |
|
|
|
|
|
|
|
|
|
|
(22,359 |
) |
|
22,359 |
|
| 5-Year Treasury Future |
|
(165,000 |
) |
|
Jun-2019(3) |
|
|
|
|
|
|
|
|
|
|
(4,095 |
) |
|
4,534 |
|
| TBA |
|
(250,000 |
) |
|
May-2019 |
|
|
|
|
|
|
|
|
|
|
(4,349 |
) |
|
6,289 |
|
|
Swaptions |
|
(100,000 |
) |
|
Jun-2026 |
|
|
|
|
|
|
|
|
|
|
(87 |
) |
|
1,304 |
|
|
Hedge Total |
$ |
(2,732,143 |
) |
|
|
|
|
|
|
|
|
|
|
|
$ |
(34,890 |
) |
$ |
38,486 |
|
|
Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(11,349 |
) |
$ |
(4,913 |
) |
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|
|
(1) |
|
Amounts in the tables above include assets with a fair value of
approximately $202.2 million purchased in April 2019, which settle
in May 2019, and exclude assets with a fair value of approximately
$248.2 million sold in April 2019, which settle in May 2019. |
|
(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
$115.64 at April 30, 2019. The notional contract value of the
short position was $190.8 million. |
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| |
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|
|
|
| RMBS Assets by
Agency |
|
|
|
|
Investment
Company Act of 1940 Whole Pool Test |
| ($ in
thousands) |
|
|
|
|
($ in
thousands) |
|
|
|
| |
|
|
Percentage |
|
|
|
|
Percentage |
| |
|
Fair |
of |
|
|
|
Fair |
of |
|
Asset Category |
|
Value(1) |
Portfolio |
|
Asset Category |
|
Value(1) |
Portfolio |
| As of April 30,
2019 |
|
|
|
|
As of April 30,
2019 |
|
|
|
|
Fannie Mae |
$ |
1,967,242 |
57.9 |
% |
|
Non-Whole Pool Assets |
$ |
1,243,228 |
36.6 |
% |
| Freddie Mac |
|
1,424,448 |
42.0 |
% |
|
Whole
Pool Assets |
|
2,151,863 |
63.4 |
% |
| Ginnie
Mae |
|
3,401 |
0.1 |
% |
|
Total
Mortgage Assets |
$ |
3,395,091 |
100.0 |
% |
| Total
Mortgage Assets |
$ |
3,395,091 |
100.0 |
% |
|
|
|
|
|
| |
|
|
|
(1) |
|
Amounts in the tables above include assets with a fair value of
approximately $202.2 million purchased in April 2019, which settle
in May 2019 and exclude assets with a fair value of approximately
$248.2 million sold in April 2019, which settle in May 2019. |
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| |
|
|
|
|
|
|
|
|
| Borrowings By
Counterparty |
|
|
|
|
|
|
|
|
| ($ in
thousands) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Weighted |
Weighted |
|
| |
|
|
|
% of |
|
Average |
Average |
|
| |
|
Total |
|
Total |
|
Repo |
Maturity |
Longest |
|
As of April 30, 2019 |
|
Borrowings(1) |
|
Debt |
|
Rate |
in Days |
Maturity |
|
RBC Capital Markets, LLC |
$ |
469,669 |
|
14.5 |
% |
|
2.69 |
% |
36 |
7/15/2019 |
| Mirae Asset Securities (USA)
Inc. |
|
369,666 |
|
11.4 |
% |
|
2.65 |
% |
106 |
10/9/2019 |
| Wells Fargo Bank, N.A. |
|
368,141 |
|
11.3 |
% |
|
2.67 |
% |
21 |
6/10/2019 |
| J.P. Morgan Securities
LLC |
|
252,512 |
|
7.8 |
% |
|
2.70 |
% |
15 |
5/15/2019 |
| ING Financial Markets LLC |
|
225,957 |
|
6.9 |
% |
|
2.65 |
% |
61 |
7/24/2019 |
| Cantor Fitzgerald &
Co |
|
204,110 |
|
6.3 |
% |
|
2.68 |
% |
17 |
6/5/2019 |
| Mitsubishi UFJ Securities
(USA), Inc |
|
198,607 |
|
6.1 |
% |
|
2.66 |
% |
41 |
7/22/2019 |
| South Street Securities,
LLC |
|
196,440 |
|
6.0 |
% |
|
2.63 |
% |
226 |
4/9/2020 |
| ABN AMRO Bank N.V. |
|
153,738 |
|
4.7 |
% |
|
2.62 |
% |
6 |
5/6/2019 |
| ASL Capital Markets Inc. |
|
136,771 |
|
4.2 |
% |
|
2.65 |
% |
64 |
10/7/2019 |
| Citigroup Global Markets
Inc |
|
130,772 |
|
4.0 |
% |
|
2.70 |
% |
28 |
7/16/2019 |
| ICBC Financial Services
LLC |
|
112,926 |
|
3.5 |
% |
|
2.64 |
% |
24 |
6/11/2019 |
| ED&F Man Capital Markets
Inc |
|
97,735 |
|
3.0 |
% |
|
2.63 |
% |
116 |
10/7/2019 |
| FHLB-Cincinnati |
|
81,499 |
|
2.5 |
% |
|
2.88 |
% |
1 |
5/1/2019 |
| Natixis, New York Branch |
|
54,845 |
|
1.7 |
% |
|
2.76 |
% |
15 |
5/15/2019 |
| Lucid Cash Fund USG LLC |
|
48,678 |
|
1.5 |
% |
|
2.65 |
% |
16 |
5/16/2019 |
| Bank of Montreal |
|
42,816 |
|
1.3 |
% |
|
2.70 |
% |
42 |
6/14/2019 |
| Guggenheim Securities,
LLC |
|
33,015 |
|
1.0 |
% |
|
2.62 |
% |
28 |
5/28/2019 |
| Merrill Lynch, Pierce, Fenner
& Smith |
|
32,413 |
|
1.0 |
% |
|
2.81 |
% |
21 |
5/30/2019 |
| J.V.B. Financial Group,
LLC |
|
24,447 |
|
0.8 |
% |
|
2.64 |
% |
44 |
7/3/2019 |
| Lucid
Prime Fund, LLC |
|
17,802 |
|
0.5 |
% |
|
2.72 |
% |
16 |
5/16/2019 |
| Total
Borrowings |
$ |
3,252,559 |
|
100.0 |
% |
|
2.67 |
% |
53 |
4/9/2020 |
| |
|
|
|
(1) |
|
In April 2019, the Company purchased assets with a fair value of
approximately $202.2 million, which settle in May 2019 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 $248.2 million, which settle in May 2019 that
collateralize approximately $241.2 million of repurchase agreements
included in the table above. |
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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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