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CST: 15/10/2019 17:23:36   

Orchid Island Capital Announces July 2019 Monthly Dividend and June 30, 2019 RMBS Portfolio Characteristics

90 Days ago

  • July 2019 Monthly Dividend of $0.08 Per Share
  • Estimated Book Value Per Share as of June 30, 2019 of $6.63
  • Estimated GAAP net income of $0.07 per share for the quarter ended June 30, 2019, including an estimated $0.15 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated 0.7% total return on equity for the quarter, or 2.9% annualized
  • Estimated 3.9% total return for the six months ended June 30, 2019, or 7.9% 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 June 30, 2019
  • Next Dividend Announcement Expected August 14, 2019

VERO BEACH, Fla., July 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 July 2019. The dividend of $0.08 per share will be paid August 30, 2019 to holders of record on July 31, 2019, with an ex-dividend date of July 30, 2019. The Company plans on announcing its next dividend after the Board’s meeting on August 14, 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 July 17, 2019, the Company had 56,054,298 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding.

Estimated June 30, 2019 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2019 was $6.63.  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, 2019, the Company's preliminary estimated total stockholders' equity was approximately $359.7 million with 54,282,997 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 $0.07, which includes $0.15 per share of net realized  and unrealized losses on RMBS and derivative instruments for the quarter ended June 30, 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 June 30, 2019 was 0.7%, or 2.9% 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 $0.05 per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.19 from March 31, 2019.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 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 June 30, 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. 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        
                        Jun 2019 Apr - Jun   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 Portfolio   Price Coupon GWAC Age (Months) in Jul) in Jul)   (-50 BPS)(1)   (+50 BPS)(1)
Pass Through RMBS                                  
Post Reset ARM $ 1,127 $ 1,194 0.03 % $ 105.89 4.78 % 5.22 %  178  183 0.01 % -   $ 8   $ (7 )
Fixed Rate CMO   648,388   674,578 19.12 %   104.04 4.26 % 4.60 %  17  340 16.82 % 16.26 %   (1,472 )   231  
15yr 4.0   393,098   417,114 11.83 %   106.11 4.00 % 4.53 %  13  163 10.81 % 9.87 %   6,431     (6,949 )
15yr Total   393,098   417,114 11.83 %   106.11 4.00 % 4.53 %  13  163 10.81 % 9.87 %   6,431     (6,949 )
20yr 4.0   85,617   91,579 2.60 %   106.96 4.00 % 4.48 %  23  213 5.70 % 9.06 %   1,764     (1,904 )
20yr Total   85,617   91,579 2.60 %   106.96 4.00 % 4.48 %  23  213 5.70 % 9.06 %   1,764     (1,904 )
30yr 3.0   259,108   259,206 7.35 %   100.04 3.00 % 4.29 %  2  357 1.77 % 3.93 %   2,688     (5,110 )
30yr 3.5   190,984   197,274 5.59 %   103.29 3.50 % 4.34 %  7  352 10.51 % 9.20 %   2,736     (4,093 )
30yr 4.0   737,254   777,929 22.05 %   105.52 4.00 % 4.67 %  14  345 6.78 % 7.37 %   8,160     (12,751 )
30yr 4.5   133,549   142,020 4.03 %   106.34 4.50 % 5.07 %  15  343 3.37 % 10.50 %   1,354     (1,843 )
30yr 5.0   768,489   838,566 23.77 %   109.12 5.00 % 5.52 %  13  345 12.08 % 13.92 %   7,110     (9,421 )
30yr Total   2,089,384   2,214,995 62.80 %   106.01 4.23 % 4.93 %  12  347 8.23 % 8.59 %   22,048     (33,218 )
Total Pass Through RMBS   3,217,614   3,399,460 96.38 %   105.65 4.20 % 4.80 %  13  320 10.21 % 10.86 %   28,779     (41,847 )
Structured RMBS                                  
Interest-Only Securities   771,931   101,678 2.88 %   13.17 3.76 % 4.35 %  64  252 13.94 % 13.10 %   (17,614 )   18,763  
Inverse Interest-Only Securities   209,304   26,118 0.74 %   12.48 2.71 % 4.86 %  59  291 12.06 % 11.15 %   1,024     (1,834 )
Total Structured RMBS   981,235   127,796 3.62 %   13.02 3.54 % 4.46 %  63  260 13.54 % 12.68 %   (16,590 )   16,929  
Total Mortgage Assets $ 4,198,849 $ 3,527,256 100.00 %     4.05 % 4.72 %  25  306 10.99 % 11.38 % $ 12,189   $ (24,918 )
                                   



                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(1)   (+50 BPS)(1)
Eurodollar Futures $ (457,143 )   Dec-2020                   $ (3,750 ) $ 3,750
Swaps   (1,710,000 )   Nov-2021                     (22,019 )   22,019
5-Year Treasury Future   (165,000 )   Sep-2019(2)                     (3,803 )   3,728
TBA   (125,000 )   Jun-2019                     (1,162 )   2,069
Swaptions   (350,000 )   Sep-2024                     (305 )   2,529
Hedge Total $ (2,807,143 )                       $ (31,039 ) $ 34,095
Rate Shock Grand Total                           $ (18,850 ) $ 9,177
  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 $118.16 at June 30, 2019.  The notional contract value of the short position was $195.0 million.
RMBS Assets by Agency         Investment Company Act of 1940 Whole Pool Test
($ in thousands)         ($ in thousands)      
      Percentage         Percentage
    Fair of       Fair of
Asset Category   Value Portfolio   Asset Category   Value Portfolio
As of June 30, 2019         As of June 30, 2019      
Fannie Mae $ 2,369,632 67.2 %   Non-Whole Pool Assets $ 1,086,878 30.8 %
Freddie Mac   1,154,693 32.7 %   Whole Pool Assets   2,440,378 69.2 %
Ginnie Mae   2,931 0.1 %   Total Mortgage Assets $ 3,527,256 100.0 %
Total Mortgage Assets $ 3,527,256 100.0 %          


Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of June 30, 2019   Borrowings   Debt   Rate in Days Maturity
RBC Capital Markets, LLC $ 446,100   13.3 %   2.66 % 13 7/29/2019
Wells Fargo Bank, N.A.   364,358   10.9 %   2.61 % 20 8/9/2019
Mirae Asset Securities (USA) Inc.   299,148   9.0 %   2.63 % 96 12/9/2019
J.P. Morgan Securities LLC   248,438   7.5 %   2.61 % 130 11/12/2019
ING Financial Markets LLC   231,851   7.0 %   2.64 % 20 7/31/2019
ABN AMRO Bank N.V.   215,550   6.5 %   2.63 % 39 8/13/2019
Mitsubishi UFJ Securities (USA), Inc   212,928   6.4 %   2.60 % 90 11/12/2019
South Street Securities, LLC   176,794   5.3 %   2.61 % 218 4/9/2020
ASL Capital Markets Inc.   175,577   5.3 %   2.61 % 60 10/7/2019
Citigroup Global Markets Inc   174,334   5.2 %   2.65 % 48 9/9/2019
Cantor Fitzgerald & Co   165,541   5.0 %   2.62 % 44 8/19/2019
ICBC Financial Services LLC   105,687   3.2 %   2.62 % 43 8/12/2019
ED&F Man Capital Markets Inc   96,365   2.9 %   2.62 % 63 10/7/2019
Guggenheim Securities, LLC   94,331   2.8 %   2.61 % 62 9/30/2019
FHLB-Cincinnati   82,294   2.5 %   2.69 % 1 7/1/2019
Daiwa Securities America Inc.   49,594   1.5 %   2.60 % 43 8/12/2019
Lucid Cash Fund USG LLC   46,576   1.4 %   2.67 % 18 7/18/2019
Bank of Montreal   43,030   1.3 %   2.67 % 41 8/13/2019
Merrill Lynch, Pierce, Fenner & Smith   31,461   0.9 %   2.80 % 7 7/12/2019
Natixis, New York Branch   28,368   0.9 %   2.81 % 15 7/15/2019
J.V.B. Financial Group, LLC   24,554   0.7 %   2.60 % 20 8/15/2019
Lucid Prime Fund, LLC   16,648   0.5 %   2.72 % 6 7/18/2019
Total Borrowings $ 3,329,527   100.0 %   2.63 % 58 4/9/2020

Contact:

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

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