Market Overview

Orchid Island Capital Announces July 2018 Monthly Dividend and June 30, 2018 RMBS Portfolio Characteristics

Share:
  • July 2018 Monthly Dividend of $0.09 Per Share
  • Estimated Book Value Per Share at June 30, 2018 of $7.86
  • Estimated GAAP net income of $0.03 per share for the quarter ended June 30, 2018, including an estimated $0.33 per share of realized and unrealized losses on RMBS and derivative instruments
  • Estimated 0.5% total return on equity for the quarter, or 2.0% annualized
  • RMBS Portfolio Characteristics as of June 30, 2018

VERO BEACH, Fla., July 18, 2018 (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 July 2018. The dividend of $0.09 per share will be paid August 10, 2018 to holders of record on July 31, 2018, with an ex-dividend date of July 30, 2018.The Company plans on announcing its next dividend after the Board's meeting on August 15, 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 July 18, 2018, the Company had 52,034,596 shares outstanding. At March 31, 2018, the Company had 53,072,169 shares outstanding.

Estimated June 30, 2018 Book Value Per Share

The Company's estimated book value per share as of June 30, 2018 was $7.86.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2018, the Company's preliminary estimated total stockholders' equity was approximately $409.2 million with 52,034,596 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 net income per share of $0.03, which includes $0.33 per share of net realized and unrealized gains and losses on RMBS and derivative instruments for the quarter ended June 30, 2018.  These amounts compare to total dividends declared during the quarter of $0.27 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 June 30, 2018 was 0.5%, or 2.0% 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 $0.04 per share, comprised of dividends per share of $0.27 and a decrease in book value per share of $0.23 from March 31, 2018.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 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 June 30, 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. 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)                        
                      Realized Realized
                      Jun 2018 Apr - Jun
                    Weighted CPR 2018 CPR
            Percentage     Weighted Average (1-Month) (3-Month)
    Current     Fair of   Current Average Maturity (Reported (Reported
Type   Face     Value Portfolio   Price Coupon (Months) in Jul) in Jul)
Hybrid/ARM                        
<3y reset $ 1,626   $ 1,718 0.05 %   $ 105.63 3.95 %  200 0.01 % 0.01%
3y-5y reset   16,607     16,550 0.45 %     99.66 2.69 %  292 1.55 % 23.56%
5y-7y reset   8,280     8,133 0.22 %     98.23 2.33 %  301 0.68 % 0.79%
Total Hybrid/ARM   26,513     26,401 0.72 %     99.58 2.66 %  289 1.18 % 15.00%
Fixed Rate RMBS                        
Fixed Rate CMO   522,654     542,656 14.71 %     103.83 4.39 %  310 4.83 % n/a
Fixed Rate CMO Total   522,654     542,656 14.71 %     103.83 4.39 %  310 4.83 % n/a
15yr 3.5   3,114     3,163 0.09 %     101.60 3.50 %  124 0.34 % 18.07%
15yr 4.0   710,781     734,206 19.90 %     103.30 4.00 %  178 5.22 % 5.87%
15yr Total   713,895     737,369 19.99 %     103.29 4.00 %  178 5.20 % 6.03%
20yr 4.0   188,557     194,211 5.26 %     103.00 4.00 %  233 7.07 % 6.18%
20yr 4.5   19,865     20,818 0.56 %     104.80 4.50 %  239 6.81 % n/a
20yr Total   208,422     215,029 5.82 %     103.17 4.05 %  234 7.05 % 6.18%
30yr 4.0   441,674     452,611 12.27 %     102.48 4.00 %  234 7.08 % 6.22%
30yr 4.5   1,322,318     1,387,623 37.61 %     104.94 4.50 %  348 10.58 % 10.53%
30yr 5.0   173,055     186,021 5.03 %     107.49 5.00 %  357 3.61 % 19.97%
30yr Total   1,937,047     2,026,255 54.91 %     104.61 4.43 %  348 9.16 % 9.53%
Total Fixed Rate RMBS   3,382,018     3,521,309 95.43 %     104.12 4.31 %  300 7.53 % 8.66%
Structured RMBS                        
Interest-Only Securities   754,928     116,181 3.15 %     15.39 3.83 %  280 12.72 % 12.24%
Inverse Interest-Only Securities   245,659     25,705 0.70 %     10.46 3.57 %  309 10.70 % 11.75%
Total Structured RMBS   1,000,587     141,886 3.85 %     14.18 3.79 %  285 12.22 % 12.12%
Total Mortgage Assets $ 4,409,118   $ 3,689,596 100.00 %       4.28 %  299 8.55 % 9.76%


           
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 Portfolio   Asset Category   Value Portfolio
As of June 30, 2018         As of June 30, 2018      
Fannie Mae $ 2,164,714 58.7 %   Whole Pool Assets $ 2,494,736 67.6 %
Freddie Mac   1,519,420 41.2 %   Non-Whole Pool Assets   1,194,860 32.4 %
Ginnie Mae   5,462 0.1 %   Total Mortgage Assets $ 3,689,596 100.0 %
Total Mortgage Assets $ 3,689,596 100.0 %          


               
Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of June 30, 2018   Borrowings   Debt   in Days Maturity
RBC Capital Markets, LLC $ 463,215   13.4 %   53 9/28/2018
Mirae Asset Securities (USA) Inc.   380,537   11.0 %   35 9/12/2018
J.P. Morgan Securities LLC   348,774   10.1 %   40 8/14/2018
Mitsubishi UFJ Securities (USA), Inc   229,964   6.7 %   31 8/20/2018
Cantor Fitzgerald & Co   222,976   6.5 %   16 7/16/2018
ICBC Financial Services LLC   198,184   5.7 %   65 9/14/2018
Citigroup Global Markets Inc   171,635   5.0 %   63 9/17/2018
ING Financial Markets LLC   166,530   4.8 %   40 9/7/2018
Wells Fargo Bank, N.A.   164,513   4.8 %   22 7/27/2018
Natixis, New York Branch   148,325   4.3 %   17 7/24/2018
ABN AMRO Bank N.V.   131,599   3.8 %   3 7/3/2018
ASL Capital Markets Inc.   110,737   3.2 %   26 8/13/2018
Guggenheim Securities, LLC   104,561   3.0 %   54 9/18/2018
KGS-Alpha Capital Markets, L.P   99,545   2.9 %   58 9/14/2018
FHLB-Cincinnati   88,394   2.6 %   2 7/2/2018
Nomura Securities International, Inc.   81,987   2.4 %   23 8/17/2018
South Street Securities, LLC   76,472   2.2 %   31 8/13/2018
Daiwa Securities America Inc.   60,841   1.8 %   9 7/11/2018
Goldman, Sachs & Co   51,489   1.5 %   41 8/10/2018
ED&F Man Capital Markets Inc   44,914   1.3 %   69 9/21/2018
Lucid Cash Fund USG LLC   44,036   1.3 %   12 7/12/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   37,936   1.1 %   24 7/30/2018
Mizuho Securities USA, Inc   14,186   0.4 %   19 7/26/2018
J.V.B. Financial Group, LLC   8,504   0.2 %   76 9/14/2018
Total Borrowings $ 3,449,854   100.0 %   37 9/28/2018


                     
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 June 30, 2018                    
Adjustable Rate RMBS $ 1,718 1   10.05% 2.00% $ 7   $ (5 )
Hybrid Adjustable Rate RMBS   24,683 55   7.57% 2.00%   355     (371 )
Fixed Rate RMBS   2,978,653 n/a   n/a n/a   59,468     (71,787 )
Fixed Rate CMO   542,656 n/a   n/a n/a   2,474     (6,661 )
Total Pass-through RMBS   3,547,710 n/a   n/a n/a   62,304     (78,824 )
Interest-Only Securities   116,181 n/a   n/a n/a   (13,353 )   8,990  
Inverse Interest-Only Securities   25,705 1   4.53% n/a   2,780     (3,316 )
Structured RMBS   141,886 n/a   n/a n/a   (10,573 )   5,674  
Total Mortgage Assets $ 3,689,596 n/a   n/a n/a $ 51,731   $ (73,150 )
                     
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 $ 1,475,000 Dec-2020 $ (18,438 ) $ 18,438  
Treasury Futures Contracts - Short Positions   165,000 Sep-2018   (4,758 )   3,927  
Payer Swaps   1,010,000 Aug-2022   (10,705 )   10,705  
Payer Swaption   950,000 Oct-2028   (5,413 )   18,985  
Receiver Swaption   100,000 Feb-2024   1,352     (487 )
TBA Short Positions   400,000 n/a   (11,160 )   13,079  
Total Hedges         (49,122 )   64,647  
               
Grand Total       $ 2,609   $ (8,503 )
                   

(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 $113.62 at June 30, 2018.  The notional contract value of the short position was $187.5 million.

Contact:

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

Primary Logo

View Comments and Join the Discussion!