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Orchid Island Capital Announces April 2019 Monthly Dividend and March 31, 2019 RMBS Portfolio Characteristics
Globe Newswire 17-Apr-2019 5:05 PM
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
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
