Attached files
| file | filename |
|---|---|
| 8-K - ORC FORM 8-K 2019-0110 - Orchid Island Capital, Inc. | orc8k20190110.htm |
EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
JANUARY 2019 MONTHLY DIVIDEND AND
DECEMBER 31, 2018 RMBS PORTFOLIO CHARACTERISTICS
|
·
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January 2019 Monthly Dividend of $0.08 Per Share
|
|
·
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Estimated Book Value Per Share as of December 31, 2018 of $6.84
|
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·
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Estimated GAAP net loss of $0.52 per share for the quarter ended December 31, 2018, including an estimated $0.80 per share of net
realized and unrealized losses on RMBS and derivative instruments
|
|
·
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Estimated (6.3)% total return on equity for the quarter, or (25.4)% annualized
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·
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Estimated book value, net loss and return on equity amounts are preliminary, subject to change, and subject to review by the
Company’s independent registered public accounting firm
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|
·
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RMBS Portfolio Characteristics as of December 31, 2018
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|
·
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Repurchased 1,743,445 shares through stock repurchase plan in December 2018
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|
·
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Next Dividend Announcement Expected February 13, 2019
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Vero Beach, Fla., January 9, 2019 - 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 January 2019. The dividend of $0.08 per share will be paid February 8, 2019 to holders of record on January 31, 2019, with an ex-dividend date of January 30, 2019. The Company plans on
announcing its next dividend after the Board’s meeting on February 13, 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 January 9, 2019, the Company had 48,662,448 shares outstanding. At December 31, 2018, the Company had 49,132,423 shares outstanding. At September 30, 2018, the Company had 52,039,168 shares outstanding.
Estimated December 31, 2018 Book Value Per Share
The Company’s estimated book value per share as of December 31, 2018 was $6.84. The Company computes book value per share by dividing
total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2018, the Company's preliminary estimated total stockholders' equity was approximately $336.1 million with 49,132,423 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 $0.52, which includes $0.80 per share of net realized and unrealized losses on
RMBS and derivative instruments for the quarter ended December 31, 2018. 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 Return on Equity
The Company’s estimated total return on equity for the quarter ended December 31, 2018 was (6.3)%, or (25.4)% 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 $(0.48) per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.72 from September 30, 2018.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of December 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 December 31, 2018, are subject to review by the Company’s independent registered public accounting firm.
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·
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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. 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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Realized
|
Realized
|
|||||||||||||||||||||||||||||||||||||||||||||||
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Dec 2018
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Oct - Dec
|
Modeled
|
Modeled
|
|||||||||||||||||||||||||||||||||||||||||||||
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Net
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Weighted
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CPR
|
2018 CPR
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Interest
|
Interest
|
|||||||||||||||||||||||||||||||||||||||||||
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%
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Weighted
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Average
|
(1-Month)
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(3-Month)
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Rate
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Rate
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||||||||||||||||||||||||||||||||||||||||||
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Current
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Fair
|
of
|
Current
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Average
|
Maturity
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(Reported
|
(Reported
|
Sensitivity
|
Sensitivity
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|||||||||||||||||||||||||||||||||||||||
|
Type
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Face
|
Value(1)
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Portfolio
|
Price
|
Coupon
|
GWAC
|
Age
|
(Months)
|
in Jan)
|
in Jan)
|
(-50 BPS)(2)
|
(+50 BPS)(2)
|
||||||||||||||||||||||||||||||||||||
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ARM RMBS
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||||||||||||||||||||||||||||||||||||||||||||||||
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ARM RMBS
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$
|
1,347
|
$
|
1,437
|
0.05
|
%
|
$
|
106.73
|
4.75
|
%
|
5.19
|
%
|
170
|
190
|
0.05
|
%
|
0.06
|
%
|
$
|
11
|
$
|
(9
|
)
|
|||||||||||||||||||||||||
|
Total ARM RMBS
|
1,347
|
1,437
|
0.05
|
%
|
106.73
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4.75
|
%
|
5.19
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%
|
170
|
190
|
0.05
|
%
|
0.06
|
%
|
11
|
(9
|
)
|
||||||||||||||||||||||||||||||
|
Fixed Rate RMBS
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
Fixed Rate CMO
|
717,084
|
741,927
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24.61
|
%
|
103.46
|
4.27
|
%
|
4.61
|
%
|
10
|
348
|
5.80
|
%
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6.66
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%
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2,740
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(6,071
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)
|
||||||||||||||||||||||||||||||
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Fixed Rate CMO Total
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717,084
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741,927
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24.61
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%
|
103.46
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4.27
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%
|
4.61
|
%
|
10
|
348
|
5.80
|
%
|
6.66
|
%
|
2,740
|
(6,071
|
)
|
||||||||||||||||||||||||||||||
|
15yr 3.5
|
2,708
|
2,752
|
0.09
|
%
|
101.62
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3.50
|
%
|
3.83
|
%
|
63
|
116
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0.15
|
%
|
12.58
|
%
|
51
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(51
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)
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||||||||||||||||||||||||||||||
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15yr 4.0
|
745,906
|
769,042
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25.51
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%
|
103.10
|
4.00
|
%
|
4.55
|
%
|
6
|
172
|
5.42
|
%
|
6.21
|
%
|
13,278
|
(14,267
|
)
|
||||||||||||||||||||||||||||||
|
15yr Total
|
748,614
|
771,794
|
25.60
|
%
|
103.10
|
4.00
|
%
|
4.54
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%
|
6
|
171
|
5.40
|
%
|
6.24
|
%
|
13,329
|
(14,318
|
)
|
||||||||||||||||||||||||||||||
|
20yr 4.0
|
91,296
|
94,163
|
3.13
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%
|
103.14
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4.00
|
%
|
4.48
|
%
|
17
|
219
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10.13
|
%
|
6.37
|
%
|
2,064
|
(2,137
|
)
|
||||||||||||||||||||||||||||||
|
20yr 4.5
|
18,409
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19,142
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0.63
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%
|
103.98
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4.50
|
%
|
5.13
|
%
|
9
|
230
|
0.53
|
%
|
4.80
|
%
|
254
|
(314
|
)
|
||||||||||||||||||||||||||||||
|
20yr Total
|
109,705
|
113,305
|
3.76
|
%
|
103.28
|
4.08
|
%
|
4.59
|
%
|
16
|
221
|
8.52
|
%
|
6.10
|
%
|
2,318
|
(2,451
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)
|
||||||||||||||||||||||||||||||
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30yr 4.0
|
257,138
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263,390
|
8.74
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%
|
102.43
|
4.00
|
%
|
4.49
|
%
|
24
|
333
|
5.94
|
%
|
4.85
|
%
|
5,742
|
(6,792
|
)
|
||||||||||||||||||||||||||||||
|
30yr 4.5
|
773,337
|
805,545
|
26.72
|
%
|
104.16
|
4.50
|
%
|
4.93
|
%
|
11
|
348
|
6.03
|
%
|
7.83
|
%
|
10,647
|
(14,235
|
)
|
||||||||||||||||||||||||||||||
|
30yr 5.0
|
166,038
|
176,940
|
5.87
|
%
|
106.57
|
5.00
|
%
|
5.50
|
%
|
10
|
348
|
9.43
|
%
|
7.97
|
%
|
2,379
|
(2,996
|
)
|
||||||||||||||||||||||||||||||
|
30yr Total
|
1,196,513
|
1,245,875
|
41.33
|
%
|
104.13
|
4.46
|
%
|
4.91
|
%
|
14
|
345
|
6.48
|
%
|
7.06
|
%
|
18,768
|
(24,023
|
)
|
||||||||||||||||||||||||||||||
|
Total Fixed Rate RMBS
|
2,771,916
|
2,872,901
|
95.30
|
%
|
103.64
|
4.27
|
%
|
4.72
|
%
|
11
|
294
|
6.09
|
%
|
6.70
|
%
|
37,155
|
(46,863
|
)
|
||||||||||||||||||||||||||||||
|
Total Pass Through RMBS
|
2,773,263
|
2,874,338
|
95.35
|
%
|
103.64
|
4.27
|
%
|
4.72
|
%
|
11
|
294
|
6.09
|
%
|
6.69
|
%
|
37,166
|
(46,872
|
)
|
||||||||||||||||||||||||||||||
|
Structured RMBS
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
Interest-Only Securities
|
772,857
|
116,415
|
3.86
|
%
|
15.06
|
3.74
|
%
|
4.33
|
%
|
58
|
254
|
7.69
|
%
|
8.32
|
%
|
(14,440
|
)
|
11,747
|
||||||||||||||||||||||||||||||
|
Inverse Interest-Only Securities
|
225,643
|
23,751
|
0.79
|
%
|
10.53
|
2.65
|
%
|
4.86
|
%
|
54
|
297
|
10.81
|
%
|
10.43
|
%
|
2,292
|
(2,918
|
)
|
||||||||||||||||||||||||||||||
|
Total Structured RMBS
|
998,500
|
140,166
|
4.65
|
%
|
14.04
|
3.49
|
%
|
4.45
|
%
|
57
|
264
|
8.39
|
%
|
9.02
|
%
|
(12,148
|
)
|
8,829
|
||||||||||||||||||||||||||||||
|
Total Mortgage Assets
|
$
|
3,771,763
|
$
|
3,014,504
|
100.00
|
%
|
4.06
|
%
|
4.65
|
%
|
23
|
286
|
6.70
|
%
|
7.21
|
%
|
$
|
25,018
|
$
|
(38,043
|
)
|
|||||||||||||||||||||||||||
|
Interest
|
Interest
|
||||||||||||||||
|
Average
|
Hedge
|
Rate
|
Rate
|
||||||||||||||
|
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
||||||||||||||
|
Hedge
|
Balance
|
End
|
(-50 BPS)(1)
|
(+50 BPS)(1)
|
|||||||||||||
|
Eurodollar Futures
|
$
|
(1,725,000)
|
Mar-2021
|
$
|
(17,250)
|
$
|
17,250
|
||||||||||
|
Swaps
|
(1,260,000)
|
Oct-2020
|
(12,958)
|
12,958
|
|||||||||||||
|
5-Year Treasury Future
|
(165,000)
|
May-2023(3)
|
(3,477)
|
4,895
|
|||||||||||||
|
TBA
|
(250,000)
|
Jan-2018
|
(6,103)
|
7,207
|
|||||||||||||
|
Swaptions
|
(700,000)
|
Jan-2028
|
(120)
|
5,266
|
|||||||||||||
|
Hedge Total
|
$
|
(4,100,000)
|
$
|
(39,908)
|
$
|
47,576
|
|||||||||||
|
Rate Shock Grand Total
|
$
|
(14,890)
|
$
|
9,533
|
|
(1)
|
Amounts in the tables above exclude assets with a fair value of approximately $220.3 million sold in December 2018, which settle
in January 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 $114.69 at December 31, 2018. The notional contract value of the
short position was $189.2 million.
|
|
RMBS Assets by Agency
|
Investment Company Act of 1940 Whole Pool Test
|
||||||||||||||||
|
($ in thousands)
|
($ in thousands)
|
||||||||||||||||
|
Percentage
|
Percentage
|
||||||||||||||||
|
Fair
|
of
|
Fair
|
of
|
||||||||||||||
|
Asset Category
|
Value(1)
|
Portfolio
|
Asset Category
|
Value(1)
|
Portfolio
|
||||||||||||
|
As of December 31, 2018
|
As of December 31, 2018
|
||||||||||||||||
|
Fannie Mae
|
$
|
1,527,055
|
50.7
|
%
|
Non-Whole Pool Assets
|
$
|
1,063,874
|
35.3
|
%
|
||||||||
|
Freddie Mac
|
1,483,406
|
49.2
|
%
|
Whole Pool Assets
|
1,950,630
|
64.7
|
%
|
||||||||||
|
Ginnie Mae
|
4,043
|
0.1
|
%
|
Total Mortgage Assets
|
$
|
3,014,504
|
100.0
|
%
|
|||||||||
|
Total Mortgage Assets
|
$
|
3,014,504
|
100.0
|
%
|
|||||||||||||
|
(1)
|
Amounts in the tables above exclude assets with a fair value of approximately $220.3 million sold in December 2018, which settle
in January 2019.
|
|
Borrowings By Counterparty
|
||||||||
|
($ in thousands)
|
||||||||
|
Weighted
|
Weighted
|
|||||||
|
% of
|
Average
|
Average
|
||||||
|
Total
|
Total
|
Repo
|
Maturity
|
Longest
|
||||
|
As of December 31, 2018
|
Borrowings(1)
|
Debt
|
Rate
|
in Days
|
Maturity
|
|||
|
RBC Capital Markets, LLC
|
$
|
441,529
|
14.5%
|
2.62%
|
25
|
1/30/2019
|
||
|
Mirae Asset Securities (USA) Inc.
|
343,137
|
11.3%
|
2.53%
|
41
|
3/7/2019
|
|||
|
J.P. Morgan Securities LLC
|
335,410
|
11.1%
|
2.58%
|
12
|
1/18/2019
|
|||
|
ING Financial Markets LLC
|
325,585
|
10.8%
|
2.61%
|
20
|
2/12/2019
|
|||
|
Wells Fargo Bank, N.A.
|
264,044
|
8.7%
|
2.70%
|
35
|
2/11/2019
|
|||
|
Cantor Fitzgerald & Co
|
250,738
|
8.3%
|
2.56%
|
45
|
3/7/2019
|
|||
|
Mitsubishi UFJ Securities (USA), Inc
|
205,392
|
6.8%
|
2.55%
|
47
|
2/19/2019
|
|||
|
ABN AMRO Bank N.V.
|
156,037
|
5.2%
|
2.59%
|
31
|
2/4/2019
|
|||
|
ICBC Financial Services LLC
|
137,667
|
4.6%
|
2.68%
|
62
|
3/15/2019
|
|||
|
Citigroup Global Markets Inc
|
112,817
|
3.7%
|
2.61%
|
27
|
2/11/2019
|
|||
|
FHLB-Cincinnati
|
97,280
|
3.2%
|
3.92%
|
2
|
1/2/2019
|
|||
|
South Street Securities, LLC
|
82,833
|
2.7%
|
2.57%
|
30
|
2/14/2019
|
|||
|
Natixis, New York Branch
|
57,709
|
1.9%
|
2.80%
|
16
|
1/18/2019
|
|||
|
Lucid Cash Fund USG LLC
|
50,814
|
1.7%
|
2.71%
|
17
|
1/17/2019
|
|||
|
ASL Capital Markets Inc.
|
38,906
|
1.3%
|
2.55%
|
44
|
2/13/2019
|
|||
|
Bank of Montreal
|
35,481
|
1.2%
|
2.70%
|
14
|
1/14/2019
|
|||
|
Guggenheim Securities, LLC
|
26,395
|
0.9%
|
2.66%
|
60
|
3/1/2019
|
|||
|
Lucid Prime Fund, LLC
|
21,424
|
0.7%
|
2.74%
|
17
|
1/17/2019
|
|||
|
Merrill Lynch, Pierce, Fenner & Smith
|
18,061
|
0.6%
|
3.06%
|
28
|
1/28/2019
|
|||
|
ED&F Man Capital Markets Inc
|
13,751
|
0.5%
|
2.60%
|
38
|
2/7/2019
|
|||
|
J.V.B. Financial Group, LLC
|
10,042
|
0.3%
|
2.54%
|
46
|
2/15/2019
|
|||
|
Total Borrowings
|
$
|
3,025,052
|
100.0%
|
2.65%
|
31
|
3/15/2019
|
|
(1)
|
In December 2018, the Company sold assets with a fair value of approximately $220.3 million, which settle in January 2019 that collateralize approximately $213.5 million of repurchase agreements included in the table above.
|
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400