Market Overview

Orchid Island Capital Announces April 2018 Monthly Dividend and March 31, 2018 RMBS Portfolio Characteristics

Share:
  • April 2018 Monthly Dividend of $0.09 Per Share
  • Estimated Book Value Per Share at March 31, 2018 of $8.09
  • Estimated GAAP net loss of $0.31 per share for the quarter ended March 31, 2018, including an estimated $0.72 per share of realized and unrealized losses on RMBS and derivative instruments
  • Estimated (3.6)% total return on equity for the quarter, or (14.2)% annualized
  • RMBS Portfolio Characteristics as of March 31, 2018

VERO BEACH, Fla., April 12, 2018 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of April 2018. The dividend of $0.09 per share will be paid May 10, 2018 to holders of record on April 30, 2018, with an ex-dividend date of April 27, 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 April 12, 2018, the Company had 53,098,115 shares outstanding. At December 31, 2017, the Company had 53,061,904 shares outstanding.

Estimated March 31, 2018 Book Value Per Share

The Company's estimated book value per share as of March 31, 2018 was $8.09. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2018, the Company's preliminary estimated total stockholders' equity was approximately $429.5 million with 53,072,169 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm. 

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.31, which includes $0.72 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 2018. These amounts compare to total dividends declared during the quarter of $0.31 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

Estimated Return on Equity

The Company's estimated total return on equity for the quarter ended March 31, 2018 was (3.6)%, or (14.2)% on an annualized basis. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company's stockholders' equity at the beginning of the quarter. The total return was $(0.31) per share, comprised of dividends per share of $0.31 and a decrease in book value per share of $0.62 from December 31, 2017.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 2018 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended March 31, 2018, are subject to review by the Company's independent registered public accounting firm.

  • 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 purchases 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, 2017.


RMBS Valuation Characteristics                  
($ in thousands)                  
              Percentage Weighted Realized
    Current   Fair   Current of Average Mar 2018 CPR
Asset Category   Face   Value(1)   Price Portfolio Coupon (Reported in Apr)
As of March 31, 2018                  
Adjustable Rate RMBS $ 1,643 $ 1,754 $ 106.72 0.05 % 3.94 % 0.02 %
10-1 Hybrid Rate RMBS   26,536   26,482   99.80 0.71 % 2.59 % 0.71 %
Hybrid Adjustable Rate RMBS   26,536   26,482   99.80 0.71 % 2.59 % 0.71 %
15 Year Fixed Rate RMBS   124,811   128,941   103.31 3.44 % 3.85 % 4.77 %
20 Year Fixed Rate RMBS   494,385   512,935   103.75 13.69 % 4.00 % 7.14 %
30 Year Fixed Rate RMBS   2,790,033   2,927,257   104.92 78.15 % 4.33 % 7.75 %
Total Fixed Rate RMBS   3,409,229   3,569,133   104.69 95.28 % 4.27 % 7.57 %
Total Pass-through RMBS   3,437,408   3,597,369   104.65 96.04 % 4.25 % 7.51 %
Interest-Only Securities   791,518   120,199   15.19 3.21 % 3.82 % 11.51 %
Inverse Interest-Only Securities   256,047   28,216   11.02 0.75 % 3.80 % 9.17 %
Structured RMBS   1,047,565   148,415   14.17 3.96 % 3.82 % 10.93 %
Total Mortgage Assets $ 4,484,973 $ 3,745,784     100.00 % 4.24 % 8.31 %


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 March 31, 2018         As of March 31, 2018      
Fannie Mae $ 2,248,934 60.0 %   Whole Pool Assets $ 2,953,255 78.8 %
Freddie Mac   1,490,267 39.8 %   Non-Whole Pool Assets   792,529 21.2 %
Ginnie Mae   6,583 0.2 %   Total Mortgage Assets $ 3,745,784 100.0 %
Total Mortgage Assets $ 3,745,784 100.0 %          

(1) Amounts in the tables above include assets with a fair value of approximately $14.6 million purchased in March 2018, which settle in April 2018, and exclude assets with a fair value of approximately $159.3 million sold in March 2018, which settle in April 2018.


Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of March 31, 2018   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 589,348   16.3 %   90 8/10/2018
Mirae Asset Securities (USA) Inc.   388,453   10.7 %   71 8/10/2018
Wells Fargo Bank, N.A.   270,631   7.5 %   15 4/13/2018
Citigroup Global Markets Inc   216,939   6.0 %   37 5/18/2018
RBC Capital Markets, LLC   213,696   5.9 %   14 4/12/2018
Cantor Fitzgerald & Co   194,987   5.4 %   18 4/16/2018
ING Financial Markets LLC   186,597   5.2 %   12 4/11/2018
Mitsubishi UFJ Securities (USA), Inc   171,645   4.7 %   48 5/18/2018
Guggenheim Securities, LLC   165,195   4.6 %   75 6/13/2018
ICBC Financial Services LLC   147,091   4.1 %   29 4/27/2018
Nomura Securities International, Inc.   132,688   3.7 %   19 4/27/2018
South Street Securities, LLC   122,788   3.4 %   29 4/30/2018
KGS-Alpha Capital Markets, L.P   121,254   3.4 %   68 8/14/2018
Goldman, Sachs & Co   113,200   3.1 %   14 4/12/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   110,219   3.0 %   19 4/30/2018
Natixis, New York Branch   101,460   2.8 %   21 4/26/2018
FHLB-Cincinnati   91,868   2.5 %   4 4/2/2018
ED&F Man Capital Markets Inc   84,214   2.3 %   36 5/21/2018
Mizuho Securities USA, Inc   72,707   2.0 %   21 4/25/2018
Daiwa Securities America Inc.   66,230   1.8 %   12 4/12/2018
Lucid Cash Fund USG LLC   40,010   1.1 %   19 4/17/2018
J.V.B. Financial Group, LLC   18,060   0.5 %   15 4/13/2018
Total Borrowings $ 3,619,280   100.0 %   42 8/14/2018

(1) In March 2018, the Company purchased assets with a fair value of approximately $14.6 million, which settle in April 2018 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 $159.3 million, which settle in April 2018 that collateralize approximately $152.4 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 March 31, 2018                    
Adjustable Rate RMBS $ 1,754 3   10.05% 2.00% $ 7   $ (6 )
Hybrid Adjustable Rate RMBS   26,482 57   7.59% 2.00%   371     (395 )
Total Fixed Rate RMBS   3,569,133 n/a   n/a n/a   70,128     (88,614 )
Total Pass-through RMBS   3,597,369 n/a   n/a n/a   70,506     (89,015 )
Interest-Only Securities   120,199 n/a   n/a n/a   (15,476 )   10,951  
Inverse Interest-Only Securities   28,216 1   5.25% n/a   2,715     (3,418 )
Structured RMBS   148,415 n/a   n/a n/a   (12,761 )   7,533  
Total Mortgage Assets $ 3,745,784 n/a   n/a n/a $ 57,745   $ (81,482 )
                     
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 $ 1,454,545 Dec-2020 $ (20,000 ) $ 20,000  
Treasury Futures Contracts - Short Positions   165,000 Jun-2018   (4,374 )   4,308  
Payer Swaps   1,010,000 Aug-2022   (11,918 )   11,918  
Payer Swaption   750,000 Aug-2028   (6,493 )   15,539  
Receiver Swaption   100,000 Feb-2024   1,299     (562 )
TBA Short Positions   400,000 Apr-2018   (11,581 )   13,551  
Total Hedges         (53,067 )   64,754  
               
Grand Total       $ 4,678   $ (16,728 )

(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 $114.46 at March 31, 2018. The notional contract value of the short position was $188.9 million.


Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

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