(MENAFNEditorial)
- December 2017 Monthly Dividend of $0.14 Per Share
- RMBS Portfolio Characteristics as of November 30, 2017
VERO BEACH, Fla., Dec. 13, 2017 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the 'Company') (NYSE:) announced today that the Board of Directors declared a monthly cash dividend for the month of December 2017. The dividend of $0.14 per share will be paid January 10, 2018, to holders of record on December 29, 2017, with an ex-dividend date of December 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 December 13, 2017, the Company had 51,571,065 shares outstanding. At September 30, 2017, the Company had 45,308,169 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of November 30, 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. 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 Nov 2017 CPR
Asset Category Face Value(1) Price Portfolio Coupon (Reported in Dec)
As of November 30, 2017
Adjustable Rate RMBS $ 1,665 $ 1,768 $ 106.13 0.04 % 3.94 % 0.01 %
10-1 Hybrid Rate RMBS 40,503 41,212 101.75 1.04 % 2.55 % 6.73 %
Hybrid Adjustable Rate RMBS 40,503 41,212 101.75 1.04 % 2.55 % 6.73 %
15 Year Fixed Rate RMBS 39,763 41,340 103.97 1.04 % 3.50 % 8.90 %
20 Year Fixed Rate RMBS 298,941 315,960 105.69 7.98 % 4.00 % 3.72 %
30 Year Fixed Rate RMBS 3,202,439 3,433,875 107.23 86.78 % 4.38 % 9.25 %
Total Fixed Rate RMBS 3,541,143 3,791,175 107.06 95.81 % 4.33 % 8.78 %
Total Pass-through RMBS 3,583,311 3,834,155 107.00 96.90 % 4.32 % 8.75 %
Interest-Only Securities 716,812 88,407 12.33 2.23 % 3.76 % 13.85 %
Inverse Interest-Only Securities 270,283 34,414 12.73 0.87 % 4.29 % 9.79 %
Structured RMBS 987,095 122,821 12.44 3.10 % 3.91 % 12.74 %
Total Mortgage Assets $ 4,570,406 $ 3,956,976 100.00 % 4.30 % 9.61 %
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, 2017 As of November 30, 2017
Fannie Mae $ 2,460,219 62.2 % Whole Pool Assets $ 3,347,761 84.6 %
Freddie Mac 1,490,709 37.6 % Non-Whole Pool Assets 609,215 15.4 %
Ginnie Mae 6,048 0.2 % Total Mortgage Assets $ 3,956,976 100.0 %
Total Mortgage Assets $ 3,956,976 100.0 %
(1) Amounts in the tables above exclude assets with a fair value of approximately $119.0 million sold in November 2017, which settle in December 2017.
Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of November 30, 2017 Borrowings(1) Debt in Days Maturity
J.P. Morgan Securities LLC $ 575,229 15.0 % 173 8/10/2018
Mirae Asset Securities (USA) Inc. 359,514 9.3 % 112 8/10/2018
Wells Fargo Bank, N.A. 275,257 7.1 % 11 12/11/2017
ICBC Financial Services LLC 247,114 6.4 % 13 12/13/2017
Cantor Fitzgerald & Co 242,372 6.3 % 28 1/16/2018
Citigroup Global Markets Inc 231,470 6.0 % 34 1/16/2018
Guggenheim Securities, LLC 228,125 5.9 % 29 1/12/2018
RBC Capital Markets, LLC 221,504 5.7 % 43 1/12/2018
Mizuho Securities USA, Inc 201,823 5.2 % 17 1/22/2018
Mitsubishi UFJ Securities (USA), Inc 187,974 4.9 % 48 1/22/2018
Goldman, Sachs & Co 168,481 4.4 % 17 12/29/2017
ED & F Man Capital Markets Inc 144,915 3.8 % 76 2/22/2018
South Street Securities, LLC 143,554 3.7 % 14 1/29/2018
Nomura Securities International, Inc. 135,829 3.5 % 46 1/29/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 106,155 2.7 % 9 12/13/2017
Natixis, New York Branch 105,160 2.7 % 17 12/27/2017
FHLB-Cincinnati 96,112 2.5 % 1 12/1/2017
Daiwa Securities America Inc. 70,924 1.8 % 11 12/13/2017
KGS-Alpha Capital Markets, L.P 65,704 1.7 % 101 8/14/2018
Lucid Cash Fund USG LLC 25,137 0.7 % 15 12/15/2017
ING Financial Markets LLC 17,185 0.4 % 1 12/1/2017
J.V.B. Financial Group, LLC 12,980 0.3 % 13 12/13/2017
Total Borrowings $ 3,862,518 100.0 % 58 8/14/2018
(1) In November 2017, the Company sold assets with a fair value of approximately $119.0 million which settle in December 2017 that collateralize approximately $115.9 million of repurchase agreements included in the table above.
RMBS Risk Measures
($ 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 November 30, 2017
Adjustable Rate RMBS $ 1,768 6 10.05 % 2.00 % $ 12 $ (8 )
Hybrid Adjustable Rate RMBS 41,212 62 7.55 % 2.00 % 552 (632 )
Total Fixed Rate RMBS 3,791,175 n/a n/a n/a 52,812 (76,970 )
Total Pass-through RMBS 3,834,155 n/a n/a n/a 53,376 (77,610 )
Interest-Only Securities 88,407 n/a n/a n/a (13,633 ) 11,368
Inverse Interest-Only Securities 34,414 1 5.18 % n/a 2,088 (3,235 )
Structured RMBS 122,821 n/a n/a n/a (11,545 ) 8,133
Total Mortgage Assets $ 3,956,976 n/a n/a n/a $ 41,831 $ (69,477 )
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 $ 1,130,769 Dec-2020 $ (16,387 ) $ 18,375
Treasury Futures Contracts - Short Positions 140,000 Mar-2018 (5,470 ) 5,233
Payer Swaps 1,010,000 Aug-2022 (13,545 ) 13,545
Payer Swaption 200,000 Sep-2025 (2,253 ) 3,954
TBA Short Positions 363,000 Jan-2018 (8,381 ) 11,067
Total Hedges (46,036 ) 52,174
Grand Total $ (4,205 ) $ (17,303 )
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. Treasury futures contracts were valued at a price of $124.05 at November 30, 2017. The notional contract value of the short position was $173.7 million. Contact: Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
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