Orchid Island Capital Announces November 2018 Monthly Dividend and October 31, 2018 RMBS Portfolio Characteristics
November 14 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 November 2018. The dividend of $0.08
per share will be paid December 10, 2018, to holders of record on
November 30, 2018, with an ex-dividend date of November 29,
2018. The Company plans on announcing its next dividend after
the Board’s meeting on December 10, 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 November 14, 2018, the Company had
51,072,684 shares outstanding, including 153,794 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 October 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. 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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Oct 2018 |
Aug - Oct |
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Net |
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|
Weighted |
CPR |
2018 CPR |
|
ModeledInterest |
|
ModeledInterest |
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% |
|
|
Weighted |
|
|
Average |
(1-Month) |
(3-Month) |
|
Rate |
|
Rate |
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Current |
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Fair |
of |
|
Current |
Average |
|
|
Maturity |
(Reported |
(Reported |
|
Sensitivity |
|
Sensitivity |
Type |
|
Face |
|
Value(1) |
Portfolio |
|
Price |
Coupon |
GWAC |
Age |
(Months) |
in Nov) |
in Nov) |
|
(-50 BPS)(2) |
|
(+50 BPS)(2) |
ARM RMBS |
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ARM RMBS |
$ |
1,356 |
$ |
1,431 |
0.04 |
% |
$ |
105.55 |
4.75 |
% |
5.19 |
% |
168 |
193 |
0.13 |
% |
0.59 |
% |
$ |
8 |
|
$ |
(7 |
) |
Total ARM RMBS |
|
1,356 |
|
1,431 |
0.04 |
% |
|
105.55 |
4.75 |
% |
5.19 |
% |
168 |
193 |
0.13 |
% |
0.59 |
% |
|
8 |
|
|
(7 |
) |
Fixed Rate RMBS |
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Fixed
Rate CMO |
|
732,772 |
|
749,098 |
21.37 |
% |
|
102.23 |
4.27 |
% |
4.61 |
% |
8 |
350 |
6.70 |
% |
7.23 |
% |
|
8,043 |
|
|
(12,496 |
) |
Fixed
Rate CMO Total |
|
732,772 |
|
749,098 |
21.37 |
% |
|
102.23 |
4.27 |
% |
4.61 |
% |
8 |
350 |
6.70 |
% |
7.23 |
% |
|
8,043 |
|
|
(12,496 |
) |
15yr 3.5 |
|
2,840 |
|
2,846 |
0.08 |
% |
|
100.22 |
3.50 |
% |
3.83 |
% |
61 |
118 |
23.91 |
% |
9.42 |
% |
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55 |
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|
(54 |
) |
15yr
4.0 |
|
810,434 |
|
827,628 |
23.61 |
% |
|
102.12 |
4.00 |
% |
4.52 |
% |
5 |
173 |
5.98 |
% |
2.46 |
% |
|
15,966 |
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|
(16,828 |
) |
15yr
Total |
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813,274 |
|
830,474 |
23.69 |
% |
|
102.11 |
4.00 |
% |
4.51 |
% |
6 |
172 |
6.04 |
% |
5.02 |
% |
|
16,021 |
|
|
(16,882 |
) |
20yr 4.0 |
|
203,040 |
|
206,265 |
5.89 |
% |
|
101.59 |
4.00 |
% |
4.47 |
% |
18 |
219 |
6.34 |
% |
8.29 |
% |
|
4,915 |
|
|
(5,029 |
) |
20yr
4.5 |
|
18,723 |
|
19,321 |
0.55 |
% |
|
103.20 |
4.50 |
% |
5.13 |
% |
7 |
233 |
0.33 |
% |
13.50 |
% |
|
320 |
|
|
(390 |
) |
20yr
Total |
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221,763 |
|
225,586 |
6.44 |
% |
|
100.39 |
4.04 |
% |
4.52 |
% |
17 |
220 |
5.83 |
% |
8.73 |
% |
|
5,235 |
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(5,419 |
) |
30yr 4.0 |
|
309,409 |
|
310,606 |
8.86 |
% |
|
100.39 |
4.00 |
% |
4.48 |
% |
20 |
337 |
2.86 |
% |
4.56 |
% |
|
8,542 |
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(9,610 |
) |
30yr 4.5 |
|
1,031,528 |
|
1,065,818 |
30.41 |
% |
|
103.32 |
4.50 |
% |
4.92 |
% |
13 |
345 |
7.00 |
% |
7.58 |
% |
|
22,387 |
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(27,127 |
) |
30yr
5.0 |
|
168,487 |
|
178,126 |
5.08 |
% |
|
105.72 |
5.00 |
% |
5.50 |
% |
8 |
351 |
5.68 |
% |
6.45 |
% |
|
3,121 |
|
|
(3,890 |
) |
30yr
Total |
|
1,509,424 |
|
1,554,550 |
44.35 |
% |
|
102.99 |
4.45 |
% |
4.90 |
% |
14 |
344 |
6.00 |
% |
7.16 |
% |
|
34,050 |
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|
(40,627 |
) |
Total Fixed Rate RMBS |
|
3,277,233 |
|
3,359,708 |
95.84 |
% |
|
102.52 |
4.27 |
% |
4.71 |
% |
11 |
294 |
6.16 |
% |
7.00 |
% |
|
63,349 |
|
|
(75,424 |
) |
Total Pass Through RMBS |
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3,278,589 |
|
3,361,139 |
95.88 |
% |
|
102.52 |
4.27 |
% |
4.71 |
% |
11 |
294 |
6.15 |
% |
6.99 |
% |
|
63,357 |
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|
(75,431 |
) |
Structured RMBS |
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Interest-Only
Securities |
|
740,822 |
|
121,460 |
3.48 |
% |
|
16.36 |
3.71 |
% |
4.30 |
% |
60 |
249 |
9.46 |
% |
10.28 |
% |
|
(12,127 |
) |
|
8,120 |
|
Inverse
Interest-Only Securities |
|
231,414 |
|
22,415 |
0.64 |
% |
|
9.69 |
2.85 |
% |
4.86 |
% |
52 |
299 |
8.88 |
% |
11.20 |
% |
|
2,822 |
|
|
(3,206 |
) |
Total Structured RMBS |
|
972,236 |
|
143,875 |
4.12 |
% |
|
14.80 |
3.51 |
% |
4.43 |
% |
58 |
261 |
9.32 |
% |
10.51 |
% |
|
(9,305 |
) |
|
4,914 |
|
Total Mortgage Assets |
$ |
4,250,825 |
$ |
3,505,014 |
100.0 |
% |
|
|
4.10 |
% |
4.65 |
% |
22 |
287 |
6.88 |
% |
7.87 |
% |
$ |
54,052 |
|
$ |
(70,517 |
) |
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Interest |
|
Interest |
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|
Average |
|
Hedge |
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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 |
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(1,725,000 |
) |
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Feb-2020 |
|
|
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|
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|
|
|
|
$ |
(17,250 |
) |
$ |
17,250 |
Swaps |
|
(1,260,000 |
) |
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Oct-2020 |
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(13,477 |
) |
|
13,477 |
5-Year Treasury
Future |
|
(165,000 |
) |
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Dec-2018(3) |
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(3,630 |
) |
|
4,594 |
TBA |
|
(500,000 |
) |
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Nov-2018 |
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|
(13,801 |
) |
|
16,258 |
Swaptions |
|
(850,000 |
) |
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Mar-2028 |
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|
(5,031 |
) |
|
24,820 |
Hedge Total |
|
(4,500,000 |
) |
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|
|
$ |
(53,189 |
) |
$ |
76,399 |
Rate Shock Grand Total |
|
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|
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|
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|
|
|
|
|
|
$ |
863 |
|
$ |
5,882 |
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(1) Amounts in the tables above exclude assets with a fair value
of approximately $13.6 million sold in October 2018, which settle
in November 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 $112.38 at
October 31, 2018. The notional contract value of the short
position was $185.4 million.
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RMBS Assets by
Agency |
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|
Investment Company Act of 1940 Whole Pool
Test |
($ in
thousands) |
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|
($ in
thousands) |
|
|
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|
|
|
Percentage |
|
|
|
|
Percentage |
|
|
Fair |
of |
|
|
|
Fair |
of |
Asset Category |
|
Value(1) |
Portfolio |
|
Asset Category |
|
Value(1) |
Portfolio |
As of October
31, 2018 |
|
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|
|
As of October
31, 2018 |
|
|
|
Fannie Mae |
$ |
1,983,016 |
56.6 |
% |
|
Non-Whole Pool
Assets |
$ |
1,116,834 |
31.9 |
% |
Freddie Mac |
|
1,517,102 |
43.3 |
% |
|
Whole
Pool Assets |
|
2,388,180 |
68.1 |
% |
Ginnie
Mae |
|
4,896 |
0.1 |
% |
|
Total
Mortgage Assets |
$ |
3,505,014 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,505,014 |
100.0 |
% |
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|
(1) Amounts in the tables above exclude assets with a fair value
of approximately $13.6 million sold in October 2018, which settle
in November 2018.
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Borrowings By
Counterparty |
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|
($ in
thousands) |
|
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|
|
|
|
|
|
|
|
|
|
|
Weighted |
Weighted |
|
|
|
|
|
% of |
|
Average |
Average |
|
|
|
Total |
|
Total |
|
Repo |
Maturity |
Longest |
As of October 31, 2018 |
|
Borrowings(1) |
|
Debt |
|
Rate |
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
481,212 |
|
14.2 |
% |
|
2.37 |
% |
35 |
1/14/2019 |
RBC Capital Markets,
LLC |
|
447,484 |
|
13.4 |
% |
|
2.41 |
% |
46 |
1/30/2019 |
Mirae Asset Securities
(USA) Inc. |
|
369,342 |
|
11.1 |
% |
|
2.29 |
% |
10 |
11/23/2018 |
Wells Fargo Bank,
N.A. |
|
265,778 |
|
8.0 |
% |
|
2.37 |
% |
27 |
11/30/2018 |
Citigroup Global
Markets Inc |
|
239,712 |
|
7.2 |
% |
|
2.40 |
% |
19 |
11/28/2018 |
Mitsubishi UFJ
Securities (USA), Inc |
|
220,094 |
|
6.6 |
% |
|
2.34 |
% |
17 |
11/19/2018 |
ICBC Financial Services
LLC |
|
186,561 |
|
5.6 |
% |
|
2.30 |
% |
32 |
12/13/2018 |
Cantor Fitzgerald &
Co |
|
178,673 |
|
5.4 |
% |
|
2.24 |
% |
13 |
11/13/2018 |
ABN AMRO Bank N.V. |
|
153,860 |
|
4.6 |
% |
|
2.28 |
% |
36 |
12/13/2018 |
ED&F Man Capital
Markets Inc |
|
121,029 |
|
3.6 |
% |
|
2.25 |
% |
9 |
11/9/2018 |
ING Financial Markets
LLC |
|
112,007 |
|
3.4 |
% |
|
2.33 |
% |
13 |
11/29/2018 |
FHLB-Cincinnati |
|
98,013 |
|
2.9 |
% |
|
2.30 |
% |
1 |
11/1/2018 |
Natixis, New York
Branch |
|
89,660 |
|
2.7 |
% |
|
2.55 |
% |
18 |
11/23/2018 |
South Street
Securities, LLC |
|
80,063 |
|
2.4 |
% |
|
2.35 |
% |
28 |
11/29/2018 |
Guggenheim Securities,
LLC |
|
57,514 |
|
1.7 |
% |
|
2.29 |
% |
15 |
11/16/2018 |
Lucid Cash Fund USG
LLC |
|
53,383 |
|
1.6 |
% |
|
2.43 |
% |
15 |
11/15/2018 |
Bank of Montreal |
|
49,342 |
|
1.5 |
% |
|
2.37 |
% |
14 |
11/14/2018 |
Daiwa Securities
America Inc. |
|
45,131 |
|
1.4 |
% |
|
2.36 |
% |
5 |
11/5/2018 |
ASL Capital Markets
Inc. |
|
41,197 |
|
1.2 |
% |
|
2.26 |
% |
14 |
11/19/2018 |
J.V.B. Financial Group,
LLC |
|
15,374 |
|
0.5 |
% |
|
2.36 |
% |
15 |
11/15/2018 |
Mizuho Securities USA,
Inc |
|
10,083 |
|
0.3 |
% |
|
2.37 |
% |
21 |
11/21/2018 |
Merrill Lynch, Pierce,
Fenner & Smith |
|
8,855 |
|
0.3 |
% |
|
2.78 |
% |
6 |
11/13/2018 |
Lucid Prime Fund,
LLC |
|
5,591 |
|
0.2 |
% |
|
2.84 |
% |
15 |
11/15/2018 |
Nomura
Securities International, Inc. |
|
5,442 |
|
0.2 |
% |
|
2.40 |
% |
51 |
12/21/2018 |
Total
Borrowings |
$ |
3,335,400 |
|
100.0 |
% |
|
2.35 |
% |
24 |
1/30/2019 |
|
|
|
|
|
|
|
|
|
|
|
(1) In October 2018, the Company sold assets
with a fair value of approximately $13.6 million, which settle in
November 2018 that collateralize approximately $13.2 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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