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Orchid Island Capital Announces July 2017 Monthly Dividend and June 30, 2017 RMBS Portfolio Characteristics

  • July 2017 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at June 30, 2017 of $9.23
  • Estimated $(0.86) per share realized and unrealized losses on RMBS and derivative instruments
  • Estimated GAAP net loss of $0.26 per share, which includes the estimated $(0.86) per share of realized and unrealized losses on RMBS and derivative instruments
  • Estimated (1.0)% total return on equity for the quarter, or (4.1)% annualized
  • RMBS Portfolio Characteristics as of June 30, 2017

VERO BEACH, Fla., July 12, 2017 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of July 2017. The dividend of $0.14 per share will be paid August 10, 2017 to holders of record on July 31, 2017, with an ex-dividend date of July 27, 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 July 12, 2017, the Company had 45,303,821 shares outstanding. At March 31, 2017, the Company had 34,270,126 shares outstanding.

Estimated June 30, 2017 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2017 was $9.23. 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, 2017, the Company's preliminary estimated total stockholders' equity was approximately $418.2 million with 45,299,812 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 $0.26, which includes ($0.86) per share of realized and unrealized gains and losses on RMBS and derivative instruments for the quarter ended June 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 June 30, 2017 was (1.0)%, or (4.1)% 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 $(0.10) per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.52 from March 31, 2017.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 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 June 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 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, 2016.


RMBS Valuation Characteristics
($ in thousands)
PercentageWeightedRealized
Current Fair CurrentofAverageJun 2017 CPR
Asset Category Face Value(1) PricePortfolioCoupon(Reported in Jul)
As of June 30, 2017
Adjustable Rate RMBS$1,814 $1,929 $106.340.05%3.52%0.09%
10-1 Hybrid Rate RMBS 41,839 42,881 102.491.15%2.55%0.84%
Hybrid Adjustable Rate RMBS 41,839 42,881 102.491.15%2.55%0.84%
15 Year Fixed Rate RMBS 42,907 45,049 104.991.21%3.50%11.80%
20 Year Fixed Rate RMBS 212,874 226,258 106.296.05%4.00%4.16%
30 Year Fixed Rate RMBS 3,034,026 3,274,307 107.9287.60%4.46%6.62%
Total Fixed Rate RMBS 3,289,807 3,545,614 107.7894.86%4.42%6.52%
Total Pass-through RMBS 3,333,460 3,590,424 107.7196.06%4.39%6.44%
Interest-Only Securities 798,981 102,552 12.842.74%3.74%15.51%
Inverse Interest-Only Securities 232,723 44,851 19.271.20%5.02%14.10%
Structured RMBS 1,031,704 147,403 14.293.94%4.13%15.20%
Total Mortgage Assets$4,365,164 $3,737,827 100.00%4.38%8.64%


RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test
($ in thousands) ($ in thousands)
Percentage Percentage
Fairof Fairof
Asset Category Value(1)Portfolio Asset Category Value(1)Portfolio
As of June 30, 2017 As of June 30, 2017
Fannie Mae$2,621,46470.1% Whole Pool Assets$3,187,44285.3%
Freddie Mac 1,107,79229.7% Non-Whole Pool Assets 550,38514.7%
Ginnie Mae 8,5710.2% Total Mortgage Assets$3,737,827100.0%
Total Mortgage Assets$3,737,827100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $272.3 million purchased in June 2017, which settle in July 2017.


Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of June 30, 2017 Borrowings(1) Debt in DaysMaturity
J.P. Morgan Securities LLC$610,851 18.5% 127/21/2017
Wells Fargo Bank, N.A. 313,206 9.6% 117/12/2017
Citigroup Global Markets Inc 269,560 8.2% 179/14/2017
ICBC Financial Services LLC 241,736 7.4% 127/13/2017
Cantor Fitzgerald & Co 229,485 7.0% 318/15/2017
RBC Capital Markets, LLC 227,896 7.0% 137/13/2017
Mitsubishi UFJ Securities (USA), Inc 192,516 5.9% 177/17/2017
South Street Securities, LLC 173,925 5.3% 117/24/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated 159,470 4.9% 177/31/2017
ED&F Man Capital Markets Inc 155,908 4.8% 519/22/2017
Natixis, New York Branch 142,158 4.3% 187/31/2017
Mirae Asset Securities (USA) Inc. 127,280 3.9% 438/14/2017
Daiwa Securities America Inc. 92,750 2.8% 127/14/2017
FHLB-Cincinnati 80,180 2.4% 37/3/2017
KGS-Alpha Capital Markets, L.P 68,296 2.1% 117/14/2017
Nomura Securities International, Inc. 63,992 2.0% 408/17/2017
Goldman, Sachs & Co 53,858 1.6% 147/14/2017
Guggenheim Securities, LLC 53,020 1.6% 409/29/2017
Mizuho Securities USA, Inc 22,369 0.7% 267/26/2017
Total Borrowings$3,278,456 100.0% 189/29/2017

(1) In June 2017, the Company purchased assets with a fair value of approximately $272.3 million which settle in July 2017 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.


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, 2017
Adjustable Rate RMBS$1,9291 10.04%2.00%$5 $(3)
Hybrid Adjustable Rate RMBS 42,88167 7.55%2.00% 566 (665)
Total Fixed Rate RMBS 3,545,614n/a n/an/a 46,163 (69,033)
Total Pass-through RMBS 3,590,424n/a n/an/a 46,734 (69,701)
Interest-Only Securities 102,552n/a n/an/a (17,804) 15,329
Inverse Interest-Only Securities 44,8511 6.22%n/a 571 (2,135)
Structured RMBS 147,403n/a n/an/a (17,233) 13,194
Total Mortgage Assets$3,737,827n/a n/an/a$29,501 $(56,507)
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$978,571 Dec-2020$(13,973)$17,125
Treasury Futures Contracts - Short Positions 465,000 Sep-2027 (19,701) 16,262
Payer Swaps 950,000 May-2022 (11,678) 11,678
TBA Short Positions 400,000 Jul-2017 (8,666) 11,016
Total Hedges (54,018) 56,081
Grand Total $(24,517)$(426)

(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 $125.53 at June 30, 2017. The nominal contract value of the short position was $583.7 million.


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

Source:Orchid Island Capital Inc.