Orchid Island Capital Announces October 2018 Monthly Dividend and September 30, 2018 RMBS Portfolio Characteristics


  • October 2018 Monthly Dividend of $0.08 Per Share
  • Estimated Book Value Per Share as of September 30, 2018 of $7.56
  • Estimated GAAP net loss of $0.06 per share for the quarter ended September 30, 2018, including an estimated $0.39 per share of realized and unrealized losses on RMBS and derivative instruments
  • Estimated (0.6)% total return on equity for the quarter, or (2.5)% annualized
  • RMBS Portfolio Characteristics as of September 30, 2018

VERO BEACH, Fla., Oct. 17, 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 October 2018. The dividend of $0.08 per share will be paid November 9, 2018 to holders of record on October 31, 2018, with an ex-dividend date of October 30, 2018.The Company plans on announcing its next dividend after the Board’s meeting on November 14, 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 October 17, 2018, the Company had 52,039,168 shares outstanding. At June 30, 2018, the Company had 52,034,596 shares outstanding.

Estimated September 30, 2018 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2018 was $7.56.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2018, the Company's preliminary estimated total stockholders' equity was approximately $393.3 million with 52,039,168 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 $0.06, which includes $0.39 per share of net realized  and unrealized gains and losses on RMBS and derivative instruments for the quarter ended September 30, 2018.  These amounts compare to total dividends declared during the quarter of $0.25 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 September 30, 2018 was (0.6)%, or (2.5)% 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 $(0.05) per share, comprised of dividends per share of $0.25 and a decrease in book value per share of $0.30 from June 30, 2018.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 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 September 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)                 
            RealizedRealized    
            Sep 2018Jul - Sep    
        Net  WeightedCPR2018 CPR Modeled Modeled
     %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face ValuePortfolio PriceCouponGWACAge(Months)in Oct)in Oct) (-50 BPS)(1) (+50 BPS)(1)
ARM RMBS                 
ARM RMBS$1,361$1,4370.04%$105.634.64%5.08%1661940.01%43.58%$8 $(7)
Total ARM RMBS 1,361 1,4370.04% 105.634.64%5.08%1661940.01%43.58% 8  (7)
Fixed Rate RMBS                 
Fixed Rate CMO 740,989 760,58721.64% 102.644.27%4.62%73517.36%7.09% 6,662  (11,508)
Fixed Rate CMO Total 740,989 760,58721.64% 102.644.27%4.62%73517.36%7.09% 6,662  (11,508)
15yr 3.5 2,860 2,8840.08% 100.853.50%3.83%591190.14%22.75% 56  (55)
15yr 4.0 769,252 790,44522.49% 102.764.00%4.52%41744.97%4.77% 14,827  (15,791)
15yr Total 772,112 793,32922.57% 102.754.00%4.51%41744.96%4.86% 14,883  (15,846)
20yr 4.0 205,140 209,4855.97% 102.124.00%4.47%162208.42%9.27% 4,917  (5,057)
20yr 4.5 19,024 19,7630.56% 103.894.50%5.14%523414.88%15.95% 299  (379)
20yr Total 224,164 229,2486.53% 101.444.04%4.52%152218.97%9.84% 5,216  (5,436)
30yr 4.0 325,251 329,9219.39% 101.444.00%4.48%183385.70%6.45% 8,417  (9,764)
30yr 4.5 1,040,243 1,083,55630.84% 104.164.50%4.92%123467.84%9.41% 20,511  (25,887)
30yr 5.0 169,898 180,8625.15% 106.455.00%5.50%63527.95%6.78% 2,824  (3,672)
30yr Total 1,535,392 1,594,33945.38% 103.844.45%4.89%123457.40%8.35% 31,752  (39,323)
Total Fixed Rate RMBS 3,272,657 3,377,50396.12% 103.204.27%4.72%92976.92%7.48% 58,513  (72,113)
Total Pass Through RMBS 3,274,018 3,378,94096.16% 103.204.27%4.72%92976.92%7.50% 58,521  (72,120)
Structured RMBS                 
Interest-Only Securities 714,440 111,9293.19% 15.673.70%4.28%6124610.11%11.07% (12,360) 8,349 
Inverse Interest-Only Securities 234,523 23,0870.66% 9.843.06%4.86%5130011.02%12.93% 2,702  (3,196)
Total Structured RMBS 948,963 135,0163.84% 14.233.54%4.42%5825910.33%11.53% (9,658) 5,153 
Total Mortgage Assets$4,222,981$3,513,956100.00%  4.11%4.65%202897.69%8.57%$48,863 $(66,967)
                  


               Int Int
  Average Hedge          Rate Rate
  Notional Period          Sensitivity Sensitivity
Hedge Balance(2) End          (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures (1,500,000) Jan-2020         $(15,000)$15,000
Swaps (1,260,000) Oct-2020          (13,455) 13,455
5-Year Treasury Future (165,000) Dec-2018          (4,142) 4,112
TBA (400,000) Oct-2018          (11,284) 12,835
Swaptions (850,000) Mar-2028          (5,930) 22,887
Hedge Total (4,175,000)           $(49,811)$68,289
Rate Shock Grand Total             $(948)$1,322

(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 $112.48 at September 30, 2018.  The notional contract value of the short position was $185.6 million.

RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of September 30, 2018    As of September 30, 2018   
Fannie Mae$2,196,95962.5% Non-Whole Pool Assets$1,123,26432.0%
Freddie Mac 1,312,23837.4% Whole Pool Assets 2,390,69268.0%
Ginnie Mae 4,7590.1% Total Mortgage Assets$3,513,956100.0%
Total Mortgage Assets$3,513,956100.0%     


Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of September 30, 2018 Borrowings Debt Ratein DaysMaturity
RBC Capital Markets, LLC$451,522 13.4% 2.33%4411/28/2018
Mirae Asset Securities (USA) Inc. 365,454 11.0% 2.28%3811/13/2018
J.P. Morgan Securities LLC 279,921 8.4% 2.35%6612/7/2018
Wells Fargo Bank, N.A. 270,968 8.2% 2.25%1210/26/2018
Citigroup Global Markets Inc 242,867 7.3% 2.35%2111/5/2018
Mitsubishi UFJ Securities (USA), Inc 224,256 6.8% 2.27%3611/16/2018
ICBC Financial Services LLC 181,998 5.5% 2.30%6312/13/2018
Cantor Fitzgerald & Co 177,575 5.3% 2.24%4411/13/2018
ING Financial Markets LLC 157,743 4.7% 2.30%2811/29/2018
ABN AMRO Bank N.V. 154,901 4.7% 2.28%6712/13/2018
ED&F Man Capital Markets Inc 147,852 4.5% 2.26%3611/9/2018
Natixis, New York Branch 121,495 3.7% 2.41%1710/24/2018
FHLB-Cincinnati 99,336 3.0% 2.36%110/1/2018
South Street Securities, LLC 80,063 2.4% 2.35%5911/29/2018
Bank of Montreal 75,774 2.3% 2.28%1510/15/2018
ASL Capital Markets Inc. 55,622 1.7% 2.29%4611/16/2018
Lucid Cash Fund USG LLC 54,122 1.6% 2.33%1810/18/2018
Goldman, Sachs & Co 46,174 1.4% 2.23%510/5/2018
Nomura Securities International, Inc. 42,851 1.3% 2.29%1810/22/2018
ASL Capital Markets Inc. 40,866 1.2% 2.29%4611/16/2018
J.V.B. Financial Group, LLC 26,294 0.8% 2.19%1610/16/2018
Mizuho Securities USA, Inc 10,155 0.3% 2.32%2210/22/2018
Merrill Lynch, Pierce, Fenner & Smith 8,401 0.3% 2.62%610/10/2018
Lucid Prime Fund, LLC 5,594 0.2% 2.72%1810/18/2018
Total Borrowings$3,321,803 100.0% 2.30%3712/13/2018

Contact:

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