AP NEWS
Click to copy
Press release content from Globe Newswire. The AP news staff was not involved in its creation.
Click to copy
PRESS RELEASE: Paid content from Globe Newswire
Press release content from Globe Newswire. The AP news staff was not involved in its creation.

Orchid Island Capital Announces September 2019 Monthly Dividend and August 31, 2019 RMBS Portfolio Characteristics

September 13, 2019

-- September 2019 Monthly Dividend of $0.08 Per Share -- RMBS Portfolio Characteristics as of August 31, 2019 -- Next Dividend Announcement Expected October 17, 2019

VERO BEACH, Fla., Sept. 13, 2019 (GLOBE NEWSWIRE) -- 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 September 2019. The dividend of $0.08 per share will be paid October 31, 2019, to holders of record on September 30, 2019, with an ex-dividend date of September 27, 2019. The Company plans on announcing its next dividend after the Board’s meeting on October 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 September 13, 2019, the Company had 63,054,298 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 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 on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOS, and (ii) structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

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.

RMBS Valuation Characteristics ($ in thousands) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- RealizedRealized Aug Jun - Modeled Modeled 2019 Aug Net Weighted CPR 2019 Interest Interest CPR % Weighte Average (1-Month(3-Month Rate Rate d ) ) Current Fair of Current Average Maturity (Reporte(Reporte Sensitivit Sensitivit d d y y Type Face Value Portfolio Price Coupon GWAC Age (Months) in Sep) in Sep) (-50 BPS) (+50 BPS) (1) (1) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Pass Through RMBS Post Reset $ 1,119 $ 1,184 0.03 % $ 105.76 4.76 % 4.97 % 180 181 0.01 % 0.01 % $ 7 $ (6 ) ARM Fixed Rate 608,013 629,853 16.17 % 103.59 4.25 % 4.60 % 20 338 23.22 % 21.21 % (96 ) 179 CMO 15yr 4.0 381,605 409,595 10.52 % 107.33 4.00 % 4.53 % 15 161 11.56 % 11.62 % 6,075 (6,517 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 15yr Total 381,605 409,595 10.52 % 107.33 4.00 % 4.53 % 15 161 11.56 % 11.62 % 6,075 (6,517 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr 4.0 84,263 91,102 2.34 % 108.12 4.00 % 4.48 % 25 211 13.21 % 8.27 % 1,697 (1,810 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr Total 84,263 91,102 2.34 % 108.12 4.00 % 4.48 % 25 211 13.21 % 8.27 % 1,697 (1,810 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr 3.0 161,897 166,862 4.28 % 103.07 3.00 % 3.95 % 2 358 1.47 % 0.00 % 2,661 (3,598 ) 30yr 3.5 337,248 351,676 9.03 % 104.28 3.50 % 4.33 % 6 353 4.74 % 8.66 % 3,834 (5,453 ) 30yr 4.0 798,303 848,422 21.78 % 106.28 4.00 % 4.64 % 16 342 9.77 % 7.71 % 9,159 (12,014 ) 30yr 4.5 430,281 466,308 11.97 % 108.37 4.50 % 5.05 % 8 352 9.88 % 12.79 % 4,207 (5,577 ) 30yr 5.0 745,897 821,034 21.08 % 110.07 5.00 % 5.52 % 15 343 15.57 % 15.35 % 7,265 (8,927 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr Total 2,473,626 2,654,302 68.15 % 107.30 4.25 % 4.89 % 12 346 10.31 % 11.36 % 27,126 (35,569 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Pass 3,548,626 3,786,036 97.21 % 106.69 4.22 % 4.79 % 14 322 12.72 % 13.39 % 34,809 (43,723 ) Through RMBS ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Structured RMBS Interest-Only 738,214 83,310 2.14 % 11.29 3.76 % 4.35 % 68 249 20.60 % 17.69 % (10,973 ) 13,989 Securities Inverse Interest-Only 201,540 25,396 0.65 % 12.60 2.93 % 4.86 % 62 288 15.17 % 15.77 % 889 (1,537 ) Securities ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Structured 939,754 108,706 2.79 % 11.57 3.58 % 4.46 % 66 258 19.43 % 17.27 % (10,084 ) 12,452 RMBS ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Mortgage $ 4,488,380 $ 3,894,742 100.00 % 4.09 % 4.72 % 25 308 14.13 % 14.35 % $ 24,725 $ (31,271 ) Assets ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Interest Interest Average Hedge Rate Rate Notional Period Sensitivit Sensitivit y y Hedge Balance End (-50 BPS) (+50 BPS) (1) (1) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Eurodollar $ (500,000 ) Dec-2020 $ (3,750 ) $ 3,750 Futures Fed Funds (400,000 ) Mar-2020 (1,167 ) 1,167 Futures Swaps (2,120,000 ) May-2022 (29,944 ) 29,944 5-Year Dec-2019 Treasury (140,000 ) (2) (3,762 ) 4,198 Future TBA Long 150,000 Oct-2019 3,136 (3,858 ) ------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Hedge Total $ (3,010,000 ) $ (35,487 ) $ 35,201 ------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Rate Shock $ (10,762 ) $ 3,930 Grand Total ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- -

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 $119.98 at August 31, 2019. The notional contract value of the short position was $168.0 million.

RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test ($ in thousands) ($ in thousands) --------------------- - --------- ------- --------------------- - --------- ------- Percenta Percenta ge ge Fair of Fair of Asset Category Value Portfoli Asset Category Value Portfoli o o --------------------- - --------- ------- --------------------- - --------- ------- As of August 31, 2019 As of August 31, 2019 Fannie Mae $ 2,794,775 71.8 % Non-Whole Pool Assets $ 914,342 23.5 % Freddie Mac 1,097,593 28.1 % Whole Pool Assets 2,980,400 76.5 % --------------------- - --------- ----- - Ginnie Mae 2,374 0.1 % Total Mortgage Assets $ 3,894,742 100.0 % --------------------- - --------- ----- - --------------------- - --------- ----- - Total Mortgage Assets $ 3,894,742 100.0 % --------------------- - --------- ----- -

Borrowings By Counterparty ($ in thousands) ------------------------------------- - ---------- ------- ------ -------- ---------- WeighteWeighted d % of AverageAverage Total Total Repo Maturity Longest As of August 31, 2019 Borrowings Debt Rate in Days Maturity ------------------------------------- - ---------- ------- ------ -------- ---------- RBC Capital Markets, LLC $ 457,818 12.4 % 2.40 % 14 9/30/2019 Mirae Asset Securities (USA) Inc. 410,498 11.2 % 2.46 % 73 2/13/2020 Wells Fargo Bank, N.A. 357,433 9.7 % 2.38 % 12 9/20/2019 Citigroup Global Markets Inc 309,087 8.4 % 2.38 % 17 9/30/2019 J.P. Morgan Securities LLC 248,173 6.8 % 2.61 % 71 11/12/2019 Cantor Fitzgerald & Co 213,443 5.8 % 2.33 % 19 10/11/2019 ABN AMRO Bank N.V. 211,857 5.8 % 2.38 % 31 10/7/2019 Mitsubishi UFJ Securities (USA), Inc 205,272 5.6 % 2.53 % 50 11/12/2019 ED&F Man Capital Markets Inc 205,197 5.6 % 2.28 % 95 2/10/2020 ASL Capital Markets Inc. 176,712 4.8 % 2.44 % 22 10/7/2019 South Street Securities, LLC 175,626 4.8 % 2.61 % 156 4/9/2020 ING Financial Markets LLC 163,165 4.4 % 2.35 % 20 9/30/2019 ICBC Financial Services LLC 104,515 2.8 % 2.37 % 12 9/12/2019 Guggenheim Securities, LLC 93,247 2.5 % 2.46 % 20 9/30/2019 FHLB-Cincinnati 80,375 2.2 % 2.25 % 3 9/3/2019 Nomura Securities International, Inc. 49,860 1.4 % 2.38 % 12 9/12/2019 Daiwa Securities America Inc. 48,872 1.3 % 2.37 % 12 9/12/2019 Lucid Cash Fund USG LLC 47,447 1.3 % 2.41 % 12 9/12/2019 Bank of Montreal 40,874 1.1 % 2.42 % 14 9/27/2019 J.V.B. Financial Group, LLC 29,461 0.8 % 2.38 % 11 9/17/2019 Merrill Lynch, Pierce, Fenner & Smith 28,620 0.8 % 2.53 % 9 9/12/2019 Lucid Prime Fund, LLC 13,975 0.4 % 2.45 % 12 9/12/2019 Mizuho Securities USA, Inc 3,500 0.1 % 2.75 % 16 9/16/2019 ------------------------------------- - ---------- ----- - ---- - -------- ---------- Total Borrowings $ 3,675,027 100.0 % 2.42 % 39 4/9/2020 ------------------------------------- - ---------- ----- - ---- - -------- ----------

Contact:

Orchid Island Capital, Inc.Robert E. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400

All contents © copyright 2019 The Associated Press. All rights reserved.