Attached files
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| 8-K - ORC FORM 8-K 2018-04-12 - Orchid Island Capital, Inc. | orc8k20180412.htm |
EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
APRIL 2018 MONTHLY DIVIDEND AND
MARCH 31, 2018 RMBS PORTFOLIO CHARACTERISTICS
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·
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April 2018 Monthly Dividend of $0.09 Per Share
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·
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Estimated Book Value Per Share at March 31, 2018 of $8.09
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·
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Estimated GAAP net loss of $0.31 per share for the quarter ended March 31, 2018, including an estimated $0.72 per share of realized and unrealized losses on RMBS and derivative instruments
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·
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Estimated (3.6)% total return on equity for the quarter, or (14.2)% annualized
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·
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RMBS Portfolio Characteristics as of March 31, 2018
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Vero Beach, Fla., April 12, 2018 - 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 2018. The dividend of $0.09 per share will be paid May 10, 2018 to holders of record on April 30, 2018, with an ex-dividend date of April 27, 2018.
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, 2018, the Company had 53,098,115 shares outstanding. At December 31, 2017, the Company had 53,061,904 shares outstanding.
Estimated March 31, 2018 Book Value Per Share
The Company's estimated book value per share as of March 31, 2018 was $8.09. 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, 2018, the Company's preliminary estimated total stockholders' equity was approximately $429.5 million with 53,072,169 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 $0.31, which includes $0.72 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 2018. These amounts compare to total dividends declared during the quarter of $0.31 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 Return on Equity
The Company's estimated total return on equity for the quarter ended March 31, 2018 was (3.6)%, or (14.2)% 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 $(0.31) per share, comprised of dividends per share of $0.31 and a decrease in book value per share of $0.62 from December 31, 2017.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of March 31, 2018 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, 2018, are subject to review by the Company's independent registered public accounting firm.
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 Whole Pool Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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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 purchases 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, 2017.
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
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($ in thousands)
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||||||||||||||||||||||||
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Percentage
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Weighted
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Realized
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||||||||||||||||||||||
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Current
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Fair
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Current
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of
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Average
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Mar 2018 CPR
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|||||||||||||||||||
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Asset Category
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Face
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Value(1)
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Price
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Portfolio
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Coupon
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(Reported in Apr)
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As of March 31, 2018
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Adjustable Rate RMBS
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$
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1,643
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$
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1,754
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$
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106.72
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0.05
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%
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3.94
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%
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0.02
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%
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||||||||||||
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10-1 Hybrid Rate RMBS
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26,536
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26,482
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99.80
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0.71
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%
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2.59
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%
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0.71
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%
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|||||||||||||||
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Hybrid Adjustable Rate RMBS
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26,536
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26,482
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99.80
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0.71
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%
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2.59
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%
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0.71
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%
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|||||||||||||||
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15 Year Fixed Rate RMBS
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124,811
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128,941
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103.31
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3.44
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%
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3.85
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%
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4.77
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%
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|||||||||||||||
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20 Year Fixed Rate RMBS
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494,385
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512,935
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103.75
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13.69
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%
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4.00
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%
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7.14
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%
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30 Year Fixed Rate RMBS
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2,790,033
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2,927,257
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104.92
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78.15
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%
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4.33
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%
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7.75
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%
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Total Fixed Rate RMBS
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3,409,229
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3,569,133
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104.69
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95.28
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%
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4.27
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%
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7.57
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%
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Total Pass-through RMBS
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3,437,408
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3,597,369
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104.65
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96.04
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%
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4.25
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%
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7.51
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%
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Interest-Only Securities
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791,518
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120,199
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15.19
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3.21
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%
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3.82
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%
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11.51
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%
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Inverse Interest-Only Securities
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256,047
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28,216
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11.02
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0.75
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%
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3.80
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%
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9.17
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%
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Structured RMBS
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1,047,565
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148,415
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14.17
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3.96
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%
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3.82
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%
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10.93
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%
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Total Mortgage Assets
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$
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4,484,973
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$
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3,745,784
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100.00
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%
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4.24
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%
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8.31
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%
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RMBS Assets by Agency
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Investment Company Act of 1940 Whole Pool Test
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($ in thousands)
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($ in thousands)
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Percentage
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Percentage
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||||||||||||||||
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Fair
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of
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Fair
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of
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||||||||||||||
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Asset Category
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Value(1)
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Portfolio
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Asset Category
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Value(1)
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Portfolio
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As of March 31, 2018
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As of March 31, 2018
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Fannie Mae
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$
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2,248,934
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60.0
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%
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Whole Pool Assets
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$
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2,953,255
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78.8
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%
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Freddie Mac
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1,490,267
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39.8
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%
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Non-Whole Pool Assets
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792,529
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21.2
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%
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Ginnie Mae
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6,583
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0.2
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%
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Total Mortgage Assets
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$
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3,745,784
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100.0
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%
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|||||||||
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Total Mortgage Assets
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$
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3,745,784
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100.0
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%
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(1)
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Amounts in the tables above include assets with a fair value of approximately $14.6 million purchased in March 2018, which settle in April 2018, and exclude assets with a fair value of approximately $159.3 million sold in March 2018, which settle in April 2018.
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Borrowings By Counterparty
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($ in thousands)
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Weighted
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% of
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Average
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Total
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Total
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Maturity
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Longest
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As of March 31, 2018
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Borrowings(1)
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Debt
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in Days
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Maturity
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J.P. Morgan Securities LLC
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$
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589,348
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16.3
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%
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90
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8/10/2018
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Mirae Asset Securities (USA) Inc.
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388,453
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10.7
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%
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71
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8/10/2018
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Wells Fargo Bank, N.A.
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270,631
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7.5
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%
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15
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4/13/2018
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Citigroup Global Markets Inc
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216,939
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6.0
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%
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37
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5/18/2018
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RBC Capital Markets, LLC
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213,696
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5.9
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%
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14
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4/12/2018
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Cantor Fitzgerald & Co
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194,987
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5.4
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%
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18
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4/16/2018
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ING Financial Markets LLC
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186,597
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5.2
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%
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12
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4/11/2018
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Mitsubishi UFJ Securities (USA), Inc
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171,645
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4.7
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%
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48
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5/18/2018
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Guggenheim Securities, LLC
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165,195
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4.6
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%
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75
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6/13/2018
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ICBC Financial Services LLC
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147,091
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4.1
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%
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29
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4/27/2018
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Nomura Securities International, Inc.
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132,688
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3.7
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%
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19
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4/27/2018
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South Street Securities, LLC
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122,788
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3.4
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%
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29
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4/30/2018
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KGS-Alpha Capital Markets, L.P
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121,254
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3.4
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%
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68
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8/14/2018
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Goldman, Sachs & Co
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113,200
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3.1
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%
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14
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4/12/2018
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Merrill Lynch, Pierce, Fenner & Smith Incorporated
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110,219
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3.0
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%
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19
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4/30/2018
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Natixis, New York Branch
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101,460
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2.8
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%
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21
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4/26/2018
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FHLB-Cincinnati
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91,868
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2.5
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%
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4
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4/2/2018
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ED&F Man Capital Markets Inc
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84,214
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2.3
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%
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36
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5/21/2018
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Mizuho Securities USA, Inc
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72,707
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2.0
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%
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21
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4/25/2018
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Daiwa Securities America Inc.
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66,230
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1.8
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%
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12
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4/12/2018
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Lucid Cash Fund USG LLC
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40,010
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1.1
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%
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19
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4/17/2018
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J.V.B. Financial Group, LLC
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18,060
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0.5
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%
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15
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4/13/2018
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Total Borrowings
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$
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3,619,280
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100.0
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%
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42
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8/14/2018
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(1)
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In March 2018, the Company purchased assets with a fair value of approximately $14.6 million, which settle in April 2018 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. In addition, the Company sold assets with a fair value of approximately $159.3 million, which settle in April 2018 that collateralize approximately $152.4 million of repurchase agreements included in the table above.
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RMBS Risk Measures
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($ in thousands)
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||||||||||||||||||||||||
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Mortgage Assets
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||||||||||||||||||||||||
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Weighted
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||||||||||||||||||||||||
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Average
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Weighted
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Weighted
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Modeled
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Modeled
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||||||||||||||||||||
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Months
|
Average
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Average
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Interest
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Interest
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||||||||||||||||||||
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To Next
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Lifetime
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Periodic
|
Rate
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Rate
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||||||||||||||||||||
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Fair
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Coupon Reset
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Cap
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Cap Per Year
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Sensitivity
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Sensitivity
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|||||||||||||||||||
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Asset Category
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Value
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(if applicable)
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(if applicable)
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(if applicable)
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(-50 BPS)(1)
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(+50 BPS)(1)
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As of March 31, 2018
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Adjustable Rate RMBS
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$
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1,754
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3
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10.05
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%
|
2.00
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%
|
$
|
7
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$
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(6
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)
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||||||||||||
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Hybrid Adjustable Rate RMBS
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26,482
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57
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7.59
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%
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2.00
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%
|
371
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(395
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)
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|||||||||||||||
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Total Fixed Rate RMBS
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3,569,133
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n/a
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n/a
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n/a
|
70,128
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(88,614
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)
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|||||||||||||||||
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Total Pass-through RMBS
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3,597,369
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n/a
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n/a
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n/a
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70,506
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(89,015
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)
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|||||||||||||||||
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Interest-Only Securities
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120,199
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n/a
|
n/a
|
n/a
|
(15,476
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)
|
10,951
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|||||||||||||||||
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Inverse Interest-Only Securities
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28,216
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1
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5.25
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%
|
n/a
|
2,715
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(3,418
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)
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||||||||||||||||
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Structured RMBS
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148,415
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n/a
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n/a
|
n/a
|
(12,761
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)
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7,533
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|||||||||||||||||
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Total Mortgage Assets
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$
|
3,745,784
|
n/a
|
n/a
|
n/a
|
$
|
57,745
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$
|
(81,482
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)
|
||||||||||||||
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Funding Hedges
|
||||||||||||||||||||||||
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Modeled
|
Modeled
|
|||||||||||||||||||||||
|
Interest
|
Interest
|
|||||||||||||||||||||||
|
Average
|
Hedge
|
Rate
|
Rate
|
|||||||||||||||||||||
|
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
|||||||||||||||||||||
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Balance(2)
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End Date
|
(-50 BPS)(1)
|
(+50 BPS)(1)
|
|||||||||||||||||||||
|
Eurodollar Futures Contracts - Short Positions
|
$
|
1,454,545
|
Dec-2020
|
$
|
(20,000
|
)
|
$
|
20,000
|
||||||||||||||||
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Treasury Futures Contracts - Short Positions
|
165,000
|
Jun-2018
|
(4,374
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)
|
4,308
|
|||||||||||||||||||
|
Payer Swaps
|
1,010,000
|
Aug-2022
|
(11,918
|
)
|
11,918
|
|||||||||||||||||||
|
Payer Swaption
|
750,000
|
Aug-2028
|
(6,493
|
)
|
15,539
|
|||||||||||||||||||
|
Receiver Swaption
|
100,000
|
Feb-2024
|
1,299
|
(562
|
)
|
|||||||||||||||||||
|
TBA Short Positions
|
400,000
|
Apr-2018
|
(11,581
|
)
|
13,551
|
|||||||||||||||||||
|
Total Hedges
|
(53,067
|
)
|
64,754
|
|||||||||||||||||||||
|
Grand Total
|
$
|
4,678
|
$
|
(16,728
|
)
|
|||||||||||||||||||
|
(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 $114.46 at March 31, 2018. The notional contract value of the short position was $188.9 million.
|
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400