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Orchid Island Capital Announces April 2019 Monthly Dividend and March 31, 2019 RMBS Portfolio Characteristics

  • April 2019 Monthly Dividend of $0.08 Per Share
  • Estimated Book Value Per Share as of March 31, 2019 of $6.82
  • Estimated GAAP net income of $0.22 per share for the quarter ended March 31, 2019, including an estimated $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated 3.2% total return on equity for the quarter, or 12.9% annualized
  • Estimated book value, net loss and total return on equity amounts are  preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
  • RMBS Portfolio Characteristics as of March 31, 2019
  • Next Dividend Announcement Expected May 15, 2019

/EIN News/ -- VERO BEACH, Fla., April 17, 2019 (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 April 2019. The dividend of $0.08 per share will be paid May 31, 2019 to holders of record on April 30, 2019, with an ex-dividend date of April 29, 2019. The Company plans on announcing its next dividend after the Board’s meeting on May 15, 2019.

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 April 17, 2019, the Company had 50,630,128 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding. At December 31, 2018, the Company had 49,132,423 shares outstanding.

Estimated March 31, 2019 Book Value Per Share

The Company’s estimated book value per share as of March 31, 2019 was $6.82.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2019, the Company's preliminary estimated total stockholders' equity was approximately $340.4 million with 49,937,700 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 $0.22, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 2019.  These amounts compare to total dividends declared during the quarter of $0.24 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 Total Return on Equity

The Company’s estimated total return on equity for the quarter ended March 31, 2019 was 3.2%, or 12.9% 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 $0.22 per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.02 from December 31, 2018.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 2019 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 March 31, 2019, 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 and the expected funding of purchased assets and anticipated borrowings. 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, 2018.

                                   
RMBS Valuation Characteristics                                  
($ in thousands)                                  
                        Realized Realized        
                        Mar 2019 Jan - Mar   Modeled   Modeled
                Net     Weighted CPR 2019 CPR   Interest   Interest
          %     Weighted     Average (1-Month) (3-Month)   Rate   Rate
    Current   Fair of   Current Average     Maturity (Reported (Reported   Sensitivity   Sensitivity
Type   Face   Value(1) Portfolio   Price Coupon GWAC Age (Months) in Apr) in Apr)   (-50 BPS)(2)   (+50 BPS)(2)
Pass Through RMBS                                  
Post Rest ARM $ 1,140   $ 1,217 0.04 % $ 106.80 4.78 % 5.22 %  175  186 0.00 % 40.66 % $ 8   $ (8 )
Fixed Rate CMO   692,177     717,995 23.25 %   103.73 4.26 % 4.61 %  13  344 10.26 % 9.07 %   (462 )   (2,239 )
15yr 4.0   514,189     535,988 17.35 %   104.24 4.00 % 4.53 %  10  167 8.33 % 7.39 %   9,032     (9,676 )
15yr Total   514,189     535,988 17.35 %   104.24 4.00 % 4.53 %  10  167 8.33 % 7.39 %   9,032     (9,676 )
20yr 4.0   88,725     92,893 3.01 %   104.70 4.00 % 4.48 %  20  216 8.68 % 7.04 %   1,943     (2,040 )
20yr Total   88,725     92,893 3.01 %   104.70 4.00 % 4.48 %  20  216 8.68 % 7.04 %   1,943     (2,040 )
30yr 3.5   38,325     39,103 1.27 %   102.03 3.50 % 4.02 %  18  339 8.54 % -     751     (964 )
30yr 4.0   340,164     354,438 11.48 %   104.20 4.00 % 4.58 %  20  337 10.21 % 7.70 %   5,918     (7,965 )
30yr 4.5   755,812     798,567 25.86 %   105.66 4.50 % 4.99 %  12  347 12.48 % 12.01 %   7,109     (10,693 )
30yr 5.0   389,733     424,291 13.74 %   108.87 5.00 % 5.59 %  9  349 10.75 % 12.57 %   5,741     (7,131 )
30yr Total   1,524,034     1,616,399 52.34 %   106.06 4.49 % 5.03 %  13  345 11.43 % 10.99 %   19,519     (26,753 )
Total Pass Through RMBS   2,820,265     2,964,492 95.98 %   105.11 4.33 % 4.82 %  13  308 10.49 % 9.45 %   30,040     (40,716 )
Structured RMBS                                  
Interest-Only Securities   744,943     99,804 3.23 %   13.40 3.74 % 4.33 %  61  252 10.71 % 8.31 %   (15,508 )   13,583  
Inverse Interest-Only Securities   217,562     24,218 0.78 %   11.13 2.64 % 4.86 %  57  294 8.61 % 8.92 %   1,730     (2,523 )
Total Structured RMBS   962,505     124,022 4.02 %   12.89 3.49 % 4.45 %  60  261 10.24 % 8.44 %   (13,778 )   11,060  
Total Mortgage Assets $ 3,782,770   $ 3,088,514 100.00 %     4.12 % 4.72 %  25  296 10.42 % 9.15 % $ 16,262   $ (29,656 )
                                   
         Average                     Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(2)   (+50 BPS)(2)
Eurodollar Futures $ (457,143 )   Apr-2020                   $ (4,000 ) $ 4,000  
Swaps   (1,760,000 )   Sep-2020                     (22,311 )   22,311  
5-Year Treasury Future   (165,000 )   Jun-2019(3)                     (3,506 )   5,097  
TBA   (200,000 )   Apr-2019                     (4,307 )   5,528  
Swaptions   (100,000 )   Jun-2026                     (85 )   1,078  
Hedge Total $ (2,682,143 )                       $ (34,209 ) $ 38,014  
Rate Shock Grand Total                           $ (17,947 ) $ 8,358  


     
(1)   Amounts in the tables above include assets with a fair value of approximately $35.1 million purchased in March 2019, which settle in April 2019.
(2)   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.
(3)   Five year treasury futures contracts were valued at prices of $115.83 at March 31, 2019.  The notional contract value of the short position was $191.1 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(1) Portfolio       Asset Category   Value(1) Portfolio
As of March 31, 2019             As of March 31, 2019      
Fannie Mae $ 1,527,471 49.5 %       Non-Whole Pool Assets $ 911,998 29.5 %
Freddie Mac   1,557,610 50.4 %       Whole Pool Assets   2,176,516 70.5 %
Ginnie Mae   3,433 0.1 %       Total Mortgage Assets $ 3,088,514 100.0 %
Total Mortgage Assets $ 3,088,514 100.0 %              


     
(1)   Amounts in the tables above include assets with a fair value of approximately $35.1 million purchased in March 2019, which settle in April 2019.
     


Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of March 31, 2019   Borrowings(1)   Debt   Rate in Days Maturity
RBC Capital Markets, LLC $ 396,744   13.8 %   2.71 % 80 6/26/2019
Mirae Asset Securities (USA) Inc.   375,794   13.1 %   2.67 % 54 6/7/2019
Wells Fargo Bank, N.A.   303,372   10.6 %   2.68 % 77 5/23/2019
J.P. Morgan Securities LLC   256,403   8.9 %   2.70 % 75 5/15/2019
ING Financial Markets LLC   227,002   7.9 %   2.72 % 53 5/3/2019
Cantor Fitzgerald & Co   204,110   7.1 %   2.68 % 78 6/5/2019
Mitsubishi UFJ Securities (USA), Inc   202,388   7.1 %   2.67 % 67 5/15/2019
ABN AMRO Bank N.V.   148,320   5.2 %   2.65 % 35 4/4/2019
Citigroup Global Markets Inc   131,647   4.6 %   2.71 % 80 5/29/2019
ICBC Financial Services LLC   112,832   3.9 %   2.71 % 66 6/11/2019
ASL Capital Markets Inc.   90,208   3.1 %   2.67 % 75 5/14/2019
FHLB-Cincinnati   82,642   2.9 %   2.85 % 32 4/1/2019
South Street Securities, LLC   74,080   2.6 %   2.69 % 90 5/29/2019
Natixis, New York Branch   55,691   1.9 %   2.83 % 46 4/15/2019
Lucid Cash Fund USG LLC   48,267   1.7 %   2.73 % 47 4/16/2019
Bank of Montreal   35,014   1.2 %   2.71 % 46 4/15/2019
Guggenheim Securities, LLC   33,088   1.2 %   2.73 % 56 4/25/2019
Merrill Lynch, Pierce, Fenner & Smith   32,370   1.1 %   2.87 % 50 4/30/2019
J.V.B. Financial Group, LLC   24,405   0.9 %   2.84 % 52 5/15/2019
Lucid Prime Fund, LLC   18,921   0.7 %   2.78 % 47 4/16/2019
ED&F Man Capital Markets Inc   13,440   0.5 %   2.66 % 99 6/7/2019
Total Borrowings $ 2,866,738   100.0 %   2.70 % 66 6/26/2019
                     

Contact:

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

 

Orchid Island Capital, Inc.


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