Orchid Island Capital Announces October 2018 Monthly Dividend and September 30, 2018 RMBS Portfolio Characteristics
October 17 2018 - 5:15PM
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) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized |
Realized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sep 2018 |
Jul - Sep |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net |
|
|
Weighted |
CPR |
2018 CPR |
|
Modeled |
|
Modeled |
|
|
|
|
|
|
% |
|
|
Weighted |
|
|
Average |
(1-Month) |
(3-Month) |
|
Rate |
|
Rate |
|
|
|
Current |
|
Fair |
of |
|
Current |
Average |
|
|
Maturity |
(Reported |
(Reported |
|
Sensitivity |
|
Sensitivity |
| Type |
|
Face |
|
Value |
Portfolio |
|
Price |
Coupon |
GWAC |
Age |
(Months) |
in Oct) |
in Oct) |
|
(-50
BPS)(1) |
|
(+50
BPS)(1) |
| ARM RMBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ARM RMBS |
$ |
1,361 |
$ |
1,437 |
0.04 |
% |
$ |
105.63 |
4.64 |
% |
5.08 |
% |
166 |
194 |
0.01 |
% |
43.58 |
% |
$ |
8 |
|
$ |
(7 |
) |
| Total ARM RMBS |
|
1,361 |
|
1,437 |
0.04 |
% |
|
105.63 |
4.64 |
% |
5.08 |
% |
166 |
194 |
0.01 |
% |
43.58 |
% |
|
8 |
|
|
(7 |
) |
| Fixed Rate RMBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Rate CMO |
|
740,989 |
|
760,587 |
21.64 |
% |
|
102.64 |
4.27 |
% |
4.62 |
% |
7 |
351 |
7.36 |
% |
7.09 |
% |
|
6,662 |
|
|
(11,508 |
) |
| Fixed Rate CMO Total |
|
740,989 |
|
760,587 |
21.64 |
% |
|
102.64 |
4.27 |
% |
4.62 |
% |
7 |
351 |
7.36 |
% |
7.09 |
% |
|
6,662 |
|
|
(11,508 |
) |
|
15yr 3.5 |
|
2,860 |
|
2,884 |
0.08 |
% |
|
100.85 |
3.50 |
% |
3.83 |
% |
59 |
119 |
0.14 |
% |
22.75 |
% |
|
56 |
|
|
(55 |
) |
| 15yr 4.0 |
|
769,252 |
|
790,445 |
22.49 |
% |
|
102.76 |
4.00 |
% |
4.52 |
% |
4 |
174 |
4.97 |
% |
4.77 |
% |
|
14,827 |
|
|
(15,791 |
) |
| 15yr Total |
|
772,112 |
|
793,329 |
22.57 |
% |
|
102.75 |
4.00 |
% |
4.51 |
% |
4 |
174 |
4.96 |
% |
4.86 |
% |
|
14,883 |
|
|
(15,846 |
) |
|
20yr 4.0 |
|
205,140 |
|
209,485 |
5.97 |
% |
|
102.12 |
4.00 |
% |
4.47 |
% |
16 |
220 |
8.42 |
% |
9.27 |
% |
|
4,917 |
|
|
(5,057 |
) |
| 20yr 4.5 |
|
19,024 |
|
19,763 |
0.56 |
% |
|
103.89 |
4.50 |
% |
5.14 |
% |
5 |
234 |
14.88 |
% |
15.95 |
% |
|
299 |
|
|
(379 |
) |
| 20yr Total |
|
224,164 |
|
229,248 |
6.53 |
% |
|
101.44 |
4.04 |
% |
4.52 |
% |
15 |
221 |
8.97 |
% |
9.84 |
% |
|
5,216 |
|
|
(5,436 |
) |
|
30yr 4.0 |
|
325,251 |
|
329,921 |
9.39 |
% |
|
101.44 |
4.00 |
% |
4.48 |
% |
18 |
338 |
5.70 |
% |
6.45 |
% |
|
8,417 |
|
|
(9,764 |
) |
|
30yr 4.5 |
|
1,040,243 |
|
1,083,556 |
30.84 |
% |
|
104.16 |
4.50 |
% |
4.92 |
% |
12 |
346 |
7.84 |
% |
9.41 |
% |
|
20,511 |
|
|
(25,887 |
) |
| 30yr 5.0 |
|
169,898 |
|
180,862 |
5.15 |
% |
|
106.45 |
5.00 |
% |
5.50 |
% |
6 |
352 |
7.95 |
% |
6.78 |
% |
|
2,824 |
|
|
(3,672 |
) |
| 30yr Total |
|
1,535,392 |
|
1,594,339 |
45.38 |
% |
|
103.84 |
4.45 |
% |
4.89 |
% |
12 |
345 |
7.40 |
% |
8.35 |
% |
|
31,752 |
|
|
(39,323 |
) |
| Total Fixed Rate RMBS |
|
3,272,657 |
|
3,377,503 |
96.12 |
% |
|
103.20 |
4.27 |
% |
4.72 |
% |
9 |
297 |
6.92 |
% |
7.48 |
% |
|
58,513 |
|
|
(72,113 |
) |
| Total Pass Through
RMBS |
|
3,274,018 |
|
3,378,940 |
96.16 |
% |
|
103.20 |
4.27 |
% |
4.72 |
% |
9 |
297 |
6.92 |
% |
7.50 |
% |
|
58,521 |
|
|
(72,120 |
) |
| Structured RMBS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-Only Securities |
|
714,440 |
|
111,929 |
3.19 |
% |
|
15.67 |
3.70 |
% |
4.28 |
% |
61 |
246 |
10.11 |
% |
11.07 |
% |
|
(12,360 |
) |
|
8,349 |
|
| Inverse Interest-Only Securities |
|
234,523 |
|
23,087 |
0.66 |
% |
|
9.84 |
3.06 |
% |
4.86 |
% |
51 |
300 |
11.02 |
% |
12.93 |
% |
|
2,702 |
|
|
(3,196 |
) |
| Total Structured RMBS |
|
948,963 |
|
135,016 |
3.84 |
% |
|
14.23 |
3.54 |
% |
4.42 |
% |
58 |
259 |
10.33 |
% |
11.53 |
% |
|
(9,658 |
) |
|
5,153 |
|
| Total Mortgage Assets |
$ |
4,222,981 |
$ |
3,513,956 |
100.00 |
% |
|
|
4.11 |
% |
4.65 |
% |
20 |
289 |
7.69 |
% |
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 |
|
|
|
Fair |
of |
|
|
|
Fair |
of |
| Asset Category |
|
Value |
Portfolio |
|
Asset Category |
|
Value |
Portfolio |
|
As of September 30, 2018 |
|
|
|
|
As of September 30, 2018 |
|
|
|
|
Fannie Mae |
$ |
2,196,959 |
62.5 |
% |
|
Non-Whole Pool Assets |
$ |
1,123,264 |
32.0 |
% |
|
Freddie Mac |
|
1,312,238 |
37.4 |
% |
|
Whole Pool Assets |
|
2,390,692 |
68.0 |
% |
| Ginnie Mae |
|
4,759 |
0.1 |
% |
|
Total Mortgage Assets |
$ |
3,513,956 |
100.0 |
% |
| Total Mortgage Assets |
$ |
3,513,956 |
100.0 |
% |
|
|
|
|
|
| Borrowings By Counterparty |
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Weighted |
Weighted |
|
| |
|
|
|
% of |
|
Average |
Average |
|
| |
|
Total |
|
Total |
|
Repo |
Maturity |
Longest |
| As of September 30,
2018 |
|
Borrowings |
|
Debt |
|
Rate |
in Days |
Maturity |
| RBC Capital Markets, LLC |
$ |
451,522 |
|
13.4 |
% |
|
2.33 |
% |
44 |
11/28/2018 |
| Mirae Asset Securities (USA) Inc. |
|
365,454 |
|
11.0 |
% |
|
2.28 |
% |
38 |
11/13/2018 |
| J.P. Morgan Securities LLC |
|
279,921 |
|
8.4 |
% |
|
2.35 |
% |
66 |
12/7/2018 |
| Wells Fargo Bank, N.A. |
|
270,968 |
|
8.2 |
% |
|
2.25 |
% |
12 |
10/26/2018 |
| Citigroup Global Markets Inc |
|
242,867 |
|
7.3 |
% |
|
2.35 |
% |
21 |
11/5/2018 |
| Mitsubishi UFJ Securities (USA), Inc |
|
224,256 |
|
6.8 |
% |
|
2.27 |
% |
36 |
11/16/2018 |
| ICBC Financial Services LLC |
|
181,998 |
|
5.5 |
% |
|
2.30 |
% |
63 |
12/13/2018 |
| Cantor Fitzgerald & Co |
|
177,575 |
|
5.3 |
% |
|
2.24 |
% |
44 |
11/13/2018 |
| ING Financial Markets LLC |
|
157,743 |
|
4.7 |
% |
|
2.30 |
% |
28 |
11/29/2018 |
| ABN AMRO Bank N.V. |
|
154,901 |
|
4.7 |
% |
|
2.28 |
% |
67 |
12/13/2018 |
| ED&F Man Capital Markets Inc |
|
147,852 |
|
4.5 |
% |
|
2.26 |
% |
36 |
11/9/2018 |
| Natixis, New York Branch |
|
121,495 |
|
3.7 |
% |
|
2.41 |
% |
17 |
10/24/2018 |
| FHLB-Cincinnati |
|
99,336 |
|
3.0 |
% |
|
2.36 |
% |
1 |
10/1/2018 |
| South Street Securities, LLC |
|
80,063 |
|
2.4 |
% |
|
2.35 |
% |
59 |
11/29/2018 |
| Bank of Montreal |
|
75,774 |
|
2.3 |
% |
|
2.28 |
% |
15 |
10/15/2018 |
| ASL Capital Markets Inc. |
|
55,622 |
|
1.7 |
% |
|
2.29 |
% |
46 |
11/16/2018 |
| Lucid Cash Fund USG LLC |
|
54,122 |
|
1.6 |
% |
|
2.33 |
% |
18 |
10/18/2018 |
| Goldman, Sachs & Co |
|
46,174 |
|
1.4 |
% |
|
2.23 |
% |
5 |
10/5/2018 |
| Nomura Securities International, Inc. |
|
42,851 |
|
1.3 |
% |
|
2.29 |
% |
18 |
10/22/2018 |
| ASL Capital Markets Inc. |
|
40,866 |
|
1.2 |
% |
|
2.29 |
% |
46 |
11/16/2018 |
| J.V.B. Financial Group, LLC |
|
26,294 |
|
0.8 |
% |
|
2.19 |
% |
16 |
10/16/2018 |
| Mizuho Securities USA, Inc |
|
10,155 |
|
0.3 |
% |
|
2.32 |
% |
22 |
10/22/2018 |
| Merrill Lynch, Pierce, Fenner & Smith |
|
8,401 |
|
0.3 |
% |
|
2.62 |
% |
6 |
10/10/2018 |
| Lucid Prime Fund, LLC |
|
5,594 |
|
0.2 |
% |
|
2.72 |
% |
18 |
10/18/2018 |
| Total Borrowings |
$ |
3,321,803 |
|
100.0 |
% |
|
2.30 |
% |
37 |
12/13/2018 |
Contact:
Orchid Island Capital, Inc.Robert E. Cauley3305
Flamingo Drive, Vero Beach, Florida 32963Telephone: (772)
231-1400
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