Orchid Island Capital Announces June 2017 Monthly Dividend and May 31, 2017 RMBS Portfolio Characteristics
14 June 2017 - 7:05AM
Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced
today that the Board of Directors declared a monthly cash dividend
for the month of June 2017. The dividend of $0.14 per share will be
paid July 10, 2017, to holders of record on June 30, 2017, with an
ex-dividend date of June 28, 2017.
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 June 13, 2017, the Company had 41,529,272
shares outstanding, including shares sold via the Company’s at the
market program through that date that have not yet settled. At
March 31, 2017, the Company had 34,270,126 shares outstanding.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of May 31, 2017
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,
2016.
RMBS Valuation
Characteristics |
|
|
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
Weighted |
Realized |
|
|
Current |
|
Fair |
|
Current |
|
of |
Average |
May 2017 CPR |
Asset Category |
|
Face |
|
Value(1) |
|
Price |
|
Portfolio |
Coupon |
(Reported in June) |
As of May 31,
2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,820 |
$ |
1,935 |
|
106.33 |
|
0.06 |
% |
3.52% |
0.07% |
10-1
Hybrid Rate RMBS |
|
41,905 |
|
42,969 |
|
102.54 |
|
1.24 |
% |
2.55% |
0.59% |
Hybrid Adjustable Rate RMBS |
|
41,905 |
|
42,969 |
|
102.54 |
|
1.24 |
% |
2.55% |
0.59% |
15 Year Fixed Rate
RMBS |
|
43,600 |
|
46,098 |
|
105.73 |
|
1.33 |
% |
3.50% |
10.52% |
20 Year Fixed Rate
RMBS |
|
174,754 |
|
186,938 |
|
106.97 |
|
5.39 |
% |
4.00% |
3.53% |
30 Year
Fixed Rate RMBS |
|
2,811,977 |
|
3,044,449 |
|
108.27 |
|
87.77 |
% |
4.45% |
7.60% |
Total Fixed Rate RMBS |
|
3,030,331 |
|
3,277,485 |
|
108.16 |
|
94.49 |
% |
4.41% |
7.49% |
Total Pass-through RMBS |
|
3,074,056 |
|
3,322,389 |
|
108.08 |
|
95.78 |
% |
4.39% |
7.39% |
Interest-Only
Securities |
|
815,688 |
|
100,404 |
|
12.31 |
|
2.89 |
% |
3.74% |
14.38% |
Inverse
Interest-Only Securities |
|
236,227 |
|
45,857 |
|
19.41 |
|
1.32 |
% |
5.20% |
11.61% |
Structured RMBS |
|
1,051,915 |
|
146,261 |
|
13.90 |
|
4.22 |
% |
4.20% |
13.76% |
Total Mortgage Assets |
$ |
4,125,971 |
$ |
3,468,650 |
|
|
|
100.00 |
% |
4.38% |
9.04% |
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 May 31,
2017 |
|
|
|
|
As of May 31,
2017 |
|
|
|
Fannie Mae |
$ |
2,748,589 |
79.2% |
|
Whole Pool Assets |
$ |
2,937,713 |
84.7% |
Freddie Mac |
|
712,236 |
20.6% |
|
Non Whole
Pool Assets |
|
530,937 |
15.3% |
Ginnie
Mae |
|
7,825 |
0.2% |
|
Total
Mortgage Assets |
$ |
3,468,650 |
100.0% |
Total
Mortgage Assets |
$ |
3,468,650 |
100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
Amounts in the tables above include assets with a fair value
of approximately $69.4 million purchased in May 2017
which settle in June 2017, and excludes assets with a
fair value of $57.0 million sold in May 2017 which settle in June
2017. |
Borrowings By
Counterparty |
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
% of |
|
Average |
|
|
|
Total |
|
Total |
|
Maturity |
Longest |
As of May 31, 2017 |
|
Borrowings(1) |
|
Debt |
|
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
457,601 |
|
14.0 |
% |
|
12 |
6/23/2017 |
Wells Fargo Bank,
N.A. |
|
323,946 |
|
9.9 |
% |
|
11 |
6/12/2017 |
Citigroup Global
Markets Inc |
|
263,389 |
|
8.1 |
% |
|
10 |
6/29/2017 |
ICBC Financial Services
LLC |
|
242,783 |
|
7.5 |
% |
|
12 |
6/13/2017 |
Cantor Fitzgerald &
Co |
|
232,042 |
|
7.1 |
% |
|
18 |
6/21/2017 |
RBC Capital Markets,
LLC |
|
230,413 |
|
7.1 |
% |
|
13 |
6/13/2017 |
Mitsubishi UFJ
Securities (USA), Inc |
|
201,965 |
|
6.2 |
% |
|
45 |
7/17/2017 |
South Street
Securities, LLC |
|
174,853 |
|
5.4 |
% |
|
9 |
6/22/2017 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated |
|
167,230 |
|
5.1 |
% |
|
10 |
6/13/2017 |
ED&F Man Capital
Markets Inc |
|
154,051 |
|
4.7 |
% |
|
15 |
6/23/2017 |
Goldman, Sachs &
Co |
|
137,375 |
|
4.2 |
% |
|
10 |
6/13/2017 |
KGS-Alpha Capital
Markets, L.P |
|
129,653 |
|
4.0 |
% |
|
12 |
6/14/2017 |
Daiwa Securities
America Inc. |
|
107,208 |
|
3.3 |
% |
|
13 |
6/16/2017 |
Mirae Asset Securities
(USA) Inc. |
|
86,600 |
|
2.7 |
% |
|
12 |
6/12/2017 |
Guggenheim Securities,
LLC |
|
81,432 |
|
2.5 |
% |
|
17 |
6/29/2017 |
FHLB-Cincinnati |
|
81,381 |
|
2.5 |
% |
|
1 |
6/1/2017 |
Natixis, New York
Branch |
|
77,512 |
|
2.4 |
% |
|
9 |
6/22/2017 |
Nomura Securities
International, Inc. |
|
64,599 |
|
2.0 |
% |
|
69 |
8/17/2017 |
Mizuho
Securities USA, Inc |
|
43,692 |
|
1.3 |
% |
|
26 |
6/26/2017 |
Total
Borrowings |
$ |
3,257,725 |
|
100.0 |
% |
|
15 |
8/17/2017 |
|
(1)
In May 2017, the Company purchased assets with a fair value
of approximately $69.4 million which settle in June 2017
that are expected to be funded by repurchase
agreements. These anticipated borrowings are not included in
the table above. |
RMBS Risk
Measures |
|
|
|
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
Mortgage Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 May 31,
2017 |
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,935 |
2 |
|
10.04% |
2.00% |
$ |
5 |
|
$ |
(3 |
) |
Hybrid Adjustable Rate
RMBS |
|
42,969 |
68 |
|
7.55% |
2.00% |
|
541 |
|
|
(651 |
) |
Total
Fixed Rate RMBS |
|
3,277,485 |
n/a |
|
n/a |
n/a |
|
36,209 |
|
|
(56,515 |
) |
Total
Pass-through RMBS |
|
3,322,389 |
n/a |
|
n/a |
n/a |
|
36,755 |
|
|
(57,169 |
) |
Interest-Only
Securities |
|
100,404 |
n/a |
|
n/a |
n/a |
|
(18,077 |
) |
|
16,848 |
|
Inverse
Interest-Only Securities |
|
45,857 |
1 |
|
6.22% |
n/a |
|
252 |
|
|
(1,778 |
) |
Structured RMBS |
|
146,261 |
n/a |
|
n/a |
n/a |
|
(17,825 |
) |
|
15,070 |
|
Total
Mortgage Assets |
$ |
3,468,650 |
n/a |
|
n/a |
n/a |
$ |
18,930 |
|
$ |
(42,099 |
) |
|
|
|
|
|
|
|
|
|
|
|
Funding Hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Modeled |
|
Modeled |
|
|
|
|
|
|
|
|
Interest |
|
Interest |
|
|
|
|
|
Average |
Hedge |
|
Rate |
|
Rate |
|
|
|
|
|
Notional |
Period |
|
Sensitivity |
|
Sensitivity |
|
|
|
|
|
Balance(2) |
End Date |
|
(-50 BPS)(1) |
|
(+50 BPS)(1) |
Eurodollar
Futures Contracts - Short Positions |
$ |
953,333 |
|
Dec-2020 |
$ |
(14,235 |
) |
$ |
17,875 |
|
Treasury
Futures Contracts - Short Positions |
|
465,000 |
|
Sep-2027 |
|
(18,201 |
) |
|
17,869 |
|
Payer
Swaps |
|
950,000 |
|
May-2022 |
|
(11,955 |
) |
|
11,955 |
|
TBA Short Positions |
|
250,000 |
|
Jun-2017 |
|
(6,513 |
) |
|
8,116 |
|
Total Hedges |
|
|
|
|
(50,904 |
) |
|
55,815 |
|
|
|
|
|
|
|
|
|
Grand Total |
|
|
|
$ |
(31,974 |
) |
$ |
13,716 |
|
|
(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)
Treasury futures contracts were valued at a price of $126.30
at May 31, 2017. The nominal contract value of the short
position was $587.3 million. |
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
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