Orchid Island Capital Announces October 2017 Monthly Dividend and September 30, 2017 RMBS Portfolio Characteristics
October 11 2017 - 5:15PM
Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced
today that the Board of Directors declared a monthly cash dividend
for the month of October 2017. The dividend of $0.14 per share will
be paid November 10, 2017 to holders of record on October 31, 2017,
with an ex-dividend date of October 30, 2017.
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 11, 2017, the Company had
45,311,481 shares outstanding. At June 30, 2017, the Company had
45,299,812 shares outstanding.
Estimated September 30, 2017 Book Value
Per Share
The Company’s estimated book value per share as
of September 30, 2017 was $9.15. 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,
2017, the Company's preliminary estimated total stockholders'
equity was approximately $414.4 million with 45,308,169 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 income
per share of $0.33, which includes ($0.18) per share of realized
and unrealized gains and losses on RMBS and derivative instruments
for the quarter ended September 30, 2017. These figures
compare to three monthly dividends declared during the quarter of
$0.14, for a total of $0.42 declared during the quarter. 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, 2017 was 3.7%, or 14.7% 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 $0.34 per share, comprised of dividends per share
of $0.42 and a decrease in book value per share of $0.08 from June
30, 2017.
RMBS Portfolio
Characteristics
Details of the RMBS portfolio as of September
30, 2017 are presented below. These figures are preliminary and
subject to change and, with respect to figures that will appear in
the Company’s financial statements and associated footnotes as of
and for the quarter ended September 30, 2017, are subject to review
by the Company’s independent registered public accounting firm.
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 Whole Pool Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About Orchid Island Capital,
Inc.
Orchid Island Capital, Inc. is a specialty
finance company that invests in Agency RMBS that are either
traditional pass-through Agency RMBS or structured Agency RMBS.
Orchid Island Capital, Inc. has elected to be taxed as a REIT for
federal income tax purposes.
Forward-Looking Statements
This press release contains forward-looking
statements within the meaning of the Private Securities Litigation
Reform Act of 1995 and other federal securities laws. These
forward-looking statements include, but are not limited to,
statements about the Company’s distributions. These forward-looking
statements are based upon Orchid Island Capital, Inc.’s present
expectations, but these statements are not guaranteed to occur.
Investors should not place undue reliance upon forward-looking
statements. For further discussion of the factors that could affect
outcomes, please refer to the “Risk Factors” section of the
Company’s Form 10-K for the year ended December 31, 2016.
RMBS Valuation
Characteristics |
($ in
thousands) |
|
|
|
|
|
|
|
Percentage
|
Weighted
|
Realized |
|
|
Current |
|
Fair |
|
Current |
of |
Average |
Sep 2017 CPR |
Asset Category |
|
Face |
|
Value |
|
Price |
Portfolio |
Coupon |
(Reported in
Oct) |
As of September
30, 2017 |
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,676 |
$ |
1,783 |
$ |
106.35 |
0.05% |
|
3.90% |
|
0.01% |
|
10-1
Hybrid Rate RMBS |
|
41,118 |
|
42,201 |
|
102.64 |
1.07% |
|
2.55% |
|
2.83% |
|
Hybrid Adjustable Rate RMBS
|
|
41,118 |
|
42,201 |
|
102.64 |
1.07% |
|
2.55% |
|
2.83% |
|
15 Year Fixed Rate
RMBS |
|
40,977 |
|
43,121 |
|
105.23 |
1.10% |
|
3.50% |
|
7.05% |
|
20 Year Fixed Rate
RMBS |
|
283,376 |
|
301,382 |
|
106.35 |
7.67% |
|
4.00% |
|
4.08% |
|
30 Year
Fixed Rate RMBS |
|
3,136,222 |
|
3,396,155 |
|
108.29 |
86.41% |
|
4.42% |
|
8.45% |
|
Total Fixed Rate RMBS |
|
3,460,575 |
|
3,740,658 |
|
108.09 |
95.17% |
|
4.37% |
|
8.07% |
|
Total Pass-through RMBS |
|
3,503,369 |
|
3,784,642 |
|
108.03 |
96.29% |
|
4.35% |
|
8.01% |
|
Interest-Only
Securities |
|
748,758 |
|
90,551 |
|
12.09 |
2.30% |
|
3.75% |
|
14.12% |
|
Inverse
Interest-Only Securities |
|
356,746 |
|
55,147 |
|
15.46 |
1.40% |
|
4.43% |
|
10.40% |
|
Structured RMBS |
|
1,105,504 |
|
145,698 |
|
13.18 |
3.71% |
|
4.00% |
|
12.92% |
|
Total Mortgage Assets |
$ |
4,608,873 |
$ |
3,930,340 |
|
|
100.00% |
|
4.34% |
|
9.19% |
|
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 September
30, 2017 |
|
|
|
|
As of September
30, 2017 |
|
|
|
Fannie Mae |
$ |
2,580,973 |
65.7 |
% |
|
Whole Pool Assets |
$ |
3,294,110 |
83.8 |
% |
Freddie Mac |
|
1,342,803 |
34.1 |
% |
|
Non-Whole
Pool Assets |
|
636,230 |
16.2 |
% |
Ginnie
Mae |
|
6,564 |
0.2 |
% |
|
Total
Mortgage Assets |
$ |
3,930,340 |
100.0 |
% |
Total
Mortgage Assets |
$ |
3,930,340 |
100.0 |
% |
|
|
|
|
|
Borrowings By
Counterparty |
|
|
|
|
|
|
|
($ in
thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
% of |
|
Average |
|
|
|
Total |
|
Total |
|
Maturity |
Longest |
As of September 30, 2017 |
|
Borrowings |
|
Debt |
|
in Days |
Maturity |
J.P. Morgan Securities
LLC |
$ |
587,380 |
|
15.8 |
% |
|
195 |
8/10/2018 |
Mirae Asset Securities
(USA) Inc. |
|
337,407 |
|
9.1 |
% |
|
124 |
8/10/2018 |
Wells Fargo Bank,
N.A. |
|
275,379 |
|
7.4 |
% |
|
12 |
10/13/2017 |
ICBC Financial Services
LLC |
|
249,227 |
|
6.7 |
% |
|
13 |
10/12/2017 |
Cantor Fitzgerald &
Co |
|
241,743 |
|
6.5 |
% |
|
18 |
10/19/2017 |
Citigroup Global
Markets Inc |
|
240,423 |
|
6.5 |
% |
|
16 |
10/18/2017 |
RBC Capital Markets,
LLC |
|
224,584 |
|
6.1 |
% |
|
17 |
10/16/2017 |
Mitsubishi UFJ
Securities (USA), Inc |
|
207,565 |
|
5.6 |
% |
|
18 |
10/23/2017 |
Mizuho Securities USA,
Inc |
|
203,791 |
|
5.5 |
% |
|
15 |
10/25/2017 |
ED&F Man Capital
Markets Inc |
|
150,645 |
|
4.1 |
% |
|
41 |
11/22/2017 |
Nomura Securities
International, Inc. |
|
141,510 |
|
3.8 |
% |
|
25 |
11/15/2017 |
Merrill Lynch, Pierce,
Fenner & Smith Incorporated
|
|
137,657 |
|
3.7 |
% |
|
11 |
10/12/2017 |
Natixis, New York
Branch |
|
129,478 |
|
3.5 |
% |
|
18 |
10/27/2017 |
South Street
Securities, LLC |
|
129,474 |
|
3.5 |
% |
|
44 |
11/27/2017 |
Guggenheim Securities,
LLC |
|
125,927 |
|
3.4 |
% |
|
78 |
12/27/2017 |
FHLB-Cincinnati |
|
100,259 |
|
2.7 |
% |
|
3 |
10/2/2017 |
Daiwa Securities
America Inc. |
|
75,673 |
|
2.0 |
% |
|
12 |
10/13/2017 |
KGS-Alpha Capital
Markets, L.P |
|
67,052 |
|
1.8 |
% |
|
120 |
8/14/2018 |
Goldman, Sachs &
Co |
|
59,386 |
|
1.6 |
% |
|
13 |
10/13/2017 |
Lucid
Cash Fund USG LLC |
|
25,517 |
|
0.7 |
% |
|
27 |
10/26/2017 |
Total
Borrowings |
$ |
3,710,077 |
|
100.0 |
% |
|
60 |
8/14/2018 |
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 September
30, 2017 |
|
|
|
|
|
|
|
|
|
|
|
Adjustable Rate
RMBS |
$ |
1,783 |
|
8 |
|
10.05 |
% |
2.00 |
% |
$ |
13 |
|
$ |
(11 |
) |
Hybrid Adjustable Rate
RMBS |
|
42,201 |
|
64 |
|
7.55 |
% |
2.00 |
% |
|
543 |
|
|
(641 |
) |
Total
Fixed Rate RMBS |
|
3,740,658 |
|
n/a |
|
n/a |
|
n/a |
|
|
49,662 |
|
|
(72,992 |
) |
Total
Pass-through RMBS |
|
3,784,642 |
|
n/a |
|
n/a |
|
n/a |
|
|
50,218 |
|
|
(73,644 |
) |
Interest-Only
Securities |
|
90,551 |
|
n/a |
|
n/a |
|
n/a |
|
|
(13,890 |
) |
|
11,873 |
|
Inverse
Interest-Only Securities
|
|
55,147 |
|
1 |
|
5.37 |
% |
n/a |
|
|
1,865 |
|
|
(3,963 |
) |
Structured RMBS |
|
145,698 |
|
n/a |
|
n/a |
|
n/a |
|
|
(12,025 |
) |
|
7,910 |
|
Total
Mortgage Assets |
$ |
3,930,340 |
|
n/a |
|
n/a |
|
n/a |
|
$ |
38,193 |
|
$ |
(65,734 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
976,923 |
|
Dec-2020 |
$ |
(13,911 |
) |
$ |
15,875 |
|
Treasury
Futures Contracts - Short Positions |
|
115,000 |
|
Dec-2027 |
|
(4,388 |
) |
|
4,436 |
|
Payer
Swaps |
|
1,010,000 |
|
Aug-2022 |
|
(14,631 |
) |
|
14,631 |
|
Payer
Swaption |
|
200,000 |
|
Sep-2025 |
|
(2,007 |
) |
|
3,586 |
|
TBA Short Positions |
|
300,000 |
|
Oct-2017 |
|
(7,619 |
) |
|
9,800 |
|
Total Hedges |
|
|
|
|
(42,556 |
) |
|
48,328 |
|
|
|
|
|
|
|
|
|
Grand Total |
|
|
|
$ |
(4,363 |
) |
$ |
(17,406 |
) |
|
(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)
Treasury futures contracts were valued at a price of $125.31 at
September 30, 2017. The notional contract value of the short
position was $144.1 million. |
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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