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


  • 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)            
           RealizedRealized
           Jun 2018Apr - Jun
          WeightedCPR2018 CPR
      Percentage  WeightedAverage(1-Month)(3-Month)
  Current  Fairof CurrentAverageMaturity(Reported(Reported
Type Face  ValuePortfolio PriceCoupon(Months)in Jul)in Jul)
Hybrid/ARM            
<3y reset$1,626 $1,7180.05% $105.633.95% 2000.01%0.01%
3y-5y reset 16,607  16,5500.45%  99.662.69% 2921.55%23.56%
5y-7y reset 8,280  8,1330.22%  98.232.33% 3010.68%0.79%
Total Hybrid/ARM 26,513  26,4010.72%  99.582.66% 2891.18%15.00%
Fixed Rate RMBS            
Fixed Rate CMO 522,654  542,65614.71%  103.834.39% 3104.83%n/a
Fixed Rate CMO Total 522,654  542,65614.71%  103.834.39% 3104.83%n/a
15yr 3.5 3,114  3,1630.09%  101.603.50% 1240.34%18.07%
15yr 4.0 710,781  734,20619.90%  103.304.00% 1785.22%5.87%
15yr Total 713,895  737,36919.99%  103.294.00% 1785.20%6.03%
20yr 4.0 188,557  194,2115.26%  103.004.00% 2337.07%6.18%
20yr 4.5 19,865  20,8180.56%  104.804.50% 2396.81%n/a
20yr Total 208,422  215,0295.82%  103.174.05% 2347.05%6.18%
30yr 4.0 441,674  452,61112.27%  102.484.00% 2347.08%6.22%
30yr 4.5 1,322,318  1,387,62337.61%  104.944.50% 34810.58%10.53%
30yr 5.0 173,055  186,0215.03%  107.495.00% 3573.61%19.97%
30yr Total 1,937,047  2,026,25554.91%  104.614.43% 3489.16%9.53%
Total Fixed Rate RMBS 3,382,018  3,521,30995.43%  104.124.31% 3007.53%8.66%
Structured RMBS            
Interest-Only Securities 754,928  116,1813.15%  15.393.83% 28012.72%12.24%
Inverse Interest-Only Securities 245,659  25,7050.70%  10.463.57% 30910.70%11.75%
Total Structured RMBS 1,000,587  141,8863.85%  14.183.79% 28512.22%12.12%
Total Mortgage Assets$4,409,118 $3,689,596100.00%   4.28% 2998.55%9.76%


      
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 June 30, 2018    As of June 30, 2018   
Fannie Mae$2,164,71458.7% Whole Pool Assets$2,494,73667.6%
Freddie Mac 1,519,42041.2% Non-Whole Pool Assets 1,194,86032.4%
Ginnie Mae 5,4620.1% Total Mortgage Assets$3,689,596100.0%
Total Mortgage Assets$3,689,596100.0%     


        
Borrowings By Counterparty       
($ in thousands)       
      Weighted 
    % of Average 
  Total Total MaturityLongest
As of June 30, 2018 Borrowings Debt in DaysMaturity
RBC Capital Markets, LLC$463,215 13.4% 539/28/2018
Mirae Asset Securities (USA) Inc. 380,537 11.0% 359/12/2018
J.P. Morgan Securities LLC 348,774 10.1% 408/14/2018
Mitsubishi UFJ Securities (USA), Inc 229,964 6.7% 318/20/2018
Cantor Fitzgerald & Co 222,976 6.5% 167/16/2018
ICBC Financial Services LLC 198,184 5.7% 659/14/2018
Citigroup Global Markets Inc 171,635 5.0% 639/17/2018
ING Financial Markets LLC 166,530 4.8% 409/7/2018
Wells Fargo Bank, N.A. 164,513 4.8% 227/27/2018
Natixis, New York Branch 148,325 4.3% 177/24/2018
ABN AMRO Bank N.V. 131,599 3.8% 37/3/2018
ASL Capital Markets Inc. 110,737 3.2% 268/13/2018
Guggenheim Securities, LLC 104,561 3.0% 549/18/2018
KGS-Alpha Capital Markets, L.P 99,545 2.9% 589/14/2018
FHLB-Cincinnati 88,394 2.6% 27/2/2018
Nomura Securities International, Inc. 81,987 2.4% 238/17/2018
South Street Securities, LLC 76,472 2.2% 318/13/2018
Daiwa Securities America Inc. 60,841 1.8% 97/11/2018
Goldman, Sachs & Co 51,489 1.5% 418/10/2018
ED&F Man Capital Markets Inc 44,914 1.3% 699/21/2018
Lucid Cash Fund USG LLC 44,036 1.3% 127/12/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 37,936 1.1% 247/30/2018
Mizuho Securities USA, Inc 14,186 0.4% 197/26/2018
J.V.B. Financial Group, LLC 8,504 0.2% 769/14/2018
Total Borrowings$3,449,854 100.0% 379/28/2018


           
RMBS Risk Measures          
($ in thousands)          
Mortgage Assets          
   Weighted       
   Average WeightedWeighted Modeled Modeled
   Months AverageAverage Interest Interest
   To Next LifetimePeriodic Rate Rate
  FairCoupon Reset CapCap 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$1,7181 10.05%2.00%$7 $(5)
Hybrid Adjustable Rate RMBS 24,68355 7.57%2.00% 355  (371)
Fixed Rate RMBS 2,978,653n/a n/an/a 59,468  (71,787)
Fixed Rate CMO 542,656n/a n/an/a 2,474  (6,661)
Total Pass-through RMBS 3,547,710n/a n/an/a 62,304  (78,824)
Interest-Only Securities 116,181n/a n/an/a (13,353) 8,990 
Inverse Interest-Only Securities 25,7051 4.53%n/a 2,780  (3,316)
Structured RMBS 141,886n/a n/an/a (10,573) 5,674 
Total Mortgage Assets$3,689,596n/a n/an/a$51,731 $(73,150)
           
Funding Hedges          
        Modeled Modeled
        Interest Interest
     AverageHedge Rate Rate
     NotionalPeriod Sensitivity Sensitivity
     Balance(2)End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions$1,475,000Dec-2020$(18,438)$18,438 
Treasury Futures Contracts - Short Positions 165,000Sep-2018 (4,758) 3,927 
Payer Swaps 1,010,000Aug-2022 (10,705) 10,705 
Payer Swaption 950,000Oct-2028 (5,413) 18,985 
Receiver Swaption 100,000Feb-2024 1,352  (487)
TBA Short Positions 400,000n/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