Orchid Island Capital Announces April 2017 Monthly Dividend and March 31, 2017 RMBS Portfolio Characteristics

Facebooktwittergoogle_pluspinterestby feather

  • April 2017 Monthly Dividend of $0.14 Per Share

  • Estimated Book Value Per Share at March 31, 2017 of $9.75
  • Estimated $(0.61) per share realized and unrealized losses on RMBS and derivative instruments
  • Estimated GAAP net income of $0.07 per share, which includes the estimated $(0.61) per share of realized and unrealized losses on RMBS and derivative instruments
  • Estimated 0.7% total return on equity for the quarter, or 2.8% annualized
  • RMBS Portfolio Characteristics as of March 31, 2017

VERO BEACH, Fla., April 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 April 2017. The dividend of $0.14 per share will be paid May 10, 2017 to holders of record on April 28, 2017, with an ex-dividend date of April 26, 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 April 12, 2017, the Company had 34,869,414 shares outstanding. At December 31, 2016, the Company had 32,962,919 shares outstanding.

Estimated March 31, 2017 Book Value Per Share

The Company’s estimated book value per share as of March 31, 2017 was $9.75.  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, 2017, the Company’s preliminary estimated total stockholders’ equity was approximately $334.2 million with 34,270,126 common shares 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 common share of $0.07, which includes ($0.61) per common share of realized and unrealized gains and losses on RMBS and derivative instruments for the quarter ended March 31, 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 March 31, 2017 was 0.7%, or 2.8% 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 $0.07 per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.35 from December 31, 2016.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 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 March 31, 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. 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)                      
                  Percentage   Weighted   Realized
    Current     Fair   Current   of Average Mar 2017 CPR
Asset Category   Face     Value   Price   Portfolio Coupon (Reported in Apr)
As of March 31, 2017                      
Adjustable Rate RMBS $ 1,832   $ 1,947   106.26   0.06 % 3.52 % 0.06 %
10-1 Hybrid Rate RMBS   42,680     43,756   102.52   1.34 % 2.55 % 0.60 %
Hybrid Adjustable Rate RMBS   42,680     43,756   102.52   1.34 % 2.55 % 0.60 %
15 Year Fixed Rate RMBS   80,902     84,266   104.16   2.58 % 3.28 % 9.20 %
20 Year Fixed Rate RMBS   237,234     253,347   106.79   7.77 % 4.00 % 10.36 %
30 Year Fixed Rate RMBS   2,536,513     2,724,344   107.41   83.52 % 4.40 % 6.19 %
Total Fixed Rate RMBS   2,854,649     3,061,957   107.26   93.87 % 4.33 % 6.62 %
Total Pass-through RMBS   2,899,161     3,107,660   107.19   95.27 % 4.31 % 6.53 %
Interest-Only Securities   815,467     107,214   13.15   3.29 % 3.74 % 13.30 %
Inverse Interest-Only Securities   243,293     47,143   19.38   1.45 % 5.26 % 13.71 %
Structured RMBS   1,058,760     154,357   14.58   4.73 % 4.20 % 13.40 %
Total Mortgage Assets $ 3,957,921   $ 3,262,017       100.00 % 4.20 % 10.67 %
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 March 31, 2017         As of March 31, 2017      
Fannie Mae $ 2,491,752 76.4 %   Whole Pool Assets $ 2,882,507 88.4 %
Freddie Mac   761,590 23.3 %   Non Whole Pool Assets   379,510 11.6 %
Ginnie Mae   8,675 0.3 %   Total Mortgage Assets $ 3,262,017 100.0 %
Total Mortgage Assets             $ 3,262,017 100.0 %          
Borrowings By Counterparty                    
($ in thousands)                
            Weighted    
        % of   Average    
    Total   Total   Maturity   Longest
As of March 31, 2017   Borrowings   Debt   in Days   Maturity
Wells Fargo Bank, N.A. $ 423,078   13.8 %   11   4/12/2017
Citigroup Global Markets Inc   286,584   9.4 %   27   6/12/2017
ICBC Financial Services LLC   240,705   7.9 %   43   6/13/2017
J.P. Morgan Securities LLC   231,617   7.6 %   13   4/28/2017
RBC Capital Markets, LLC   229,689   7.5 %   12   4/12/2017
Cantor Fitzgerald & Co   228,461   7.5 %   18   4/21/2017
Mitsubishi UFJ Securities (USA), Inc   207,082   6.8 %   21   6/12/2017
South Street Securities, LLC   172,080   5.6 %   7   4/21/2017
ED&F Man Capital Markets Inc   153,325   5.0 %   59   6/12/2017
KGS-Alpha Capital Markets, L.P   149,426   4.9 %   44   6/14/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated   149,096   4.9 %   17   5/1/2017
Daiwa Securities America Inc.   123,675   4.1 %   13   4/20/2017
Goldman, Sachs & Co   111,342   3.6 %   70   6/13/2017
Guggenheim Securities, LLC   81,432   2.7 %   78   6/29/2017
FHLB-Cincinnati   80,435   2.6 %   3   4/3/2017
Natixis, New York Branch   72,100   2.4 %   6   4/17/2017
Nomura Securities International, Inc.   65,701   2.2 %   38   5/19/2017
Mizuho Securities USA, Inc   44,780   1.5 %   17   4/20/2017
Total Borrowings $ 3,050,608   100.0 %   25   6/29/2017
RMBS Risk Measures                              
($ in thousands)                              
Mortgage Assets                              
        Weighted                      
        Average   Weighted   Weighted

    Modeled     Modeled
        Months   Average   Average

    Interest     Interest
        To Next   Lifetime   Periodic

    Rate     Rate
    Fair   Coupon Reset   Cap   Cap Per Year

    Sensitivity     Sensitivity
Asset Category   Value   (if applicable)   (if applicable)   (if applicable)

    (-50 BPS)(1)     (+50 BPS)(1)
As of March 31, 2017                          
Adjustable Rate RMBS $ 1,947   3   10.04 %   2.00 %   $ 8     $ (8 )
Hybrid Adjustable Rate RMBS   43,756   70   7.55 %   2.00 %     673       (767 )
Total Fixed Rate RMBS   3,061,957   n/a   n/a     n/a       58,690       (73,912 )
Total Pass-through RMBS   3,107,660   n/a   n/a     n/a       59,371       (74,687 )
Interest-Only Securities   107,214   n/a   n/a     n/a       (14,040 )     10,713  
Inverse Interest-Only Securities       47,143   1   6.22 %   n/a       2,000       (3,305 )
Structured RMBS   154,357   n/a   n/a     n/a       (12,040 )     7,408  
Total Mortgage Assets $ 3,262,017   n/a   n/a     n/a     $ 47,331     $ (67,279 )
                           
Funding Hedges                          
                    Modeled     Modeled
                    Interest     Interest
            Average Hedge     Rate     Rate
            Notional Period     Sensitivity     Sensitivity
            Balance(2) End Date     (-50 BPS)(1)     (+50 BPS)(1)
Eurodollar Futures Contracts – Short Positions $ 953,333   Dec-2020   $ (16,538 )   $ 17,875  
Treasury Futures Contracts – Short Positions   465,000   Jun-2027     (18,072 )     17,361  
Payer Swaps   800,000   Mar-2022     (12,599 )     12,599  
TBA Short Positions   337,000   Apr-2017     (7,992 )     9,620  
Total Hedges           (55,201 )     57,455  
                   
Grand Total         $ (7,870 )   $ (9,824 )
                           
March 31, 2017 Repo Balance $ 3,050,608                
March 31, 2017 Estimated Shareholder’s Equity $ 334,213                
Projected Leverage   9.1x                
TBA Short Positions $ 337,000                
Effective Leverage   8.1x                

(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 $124.28 at March 31, 2017.  The nominal value of the short position was $577.9 million.

Contact:Orchid Island Capital, Inc.Robert E. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400

Comments

comments

Call and receive expert consulting or click below for quote
Button linked to quote page for commercial insurance quote