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Orchid Island Capital Announces October 2019 Monthly Dividend and September 30, 2019 RMBS Portfolio Characteristics

  • October 2019 Monthly Dividend of $0.08 Per Share
  • Estimated Book Value Per Share as of September 30, 2019 of $6.22
  • Estimated GAAP net loss of $0.14 per share for the quarter ended September 30, 2019, including an estimated $0.32 per share of net realized and unrealized losses on RMBS and derivative instruments
  • Estimated (2.6)% total return on equity for the quarter
  • Estimated 1.5% total return for the nine months ended September 30, 2019, or 1.9% 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 September 30, 2019
  • Next Dividend Announcement Expected November 13, 2019

VERO BEACH, Fla., Oct. 17, 2019 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of October 2019. The dividend of $0.08 per share will be paid November 29, 2019 to holders of record on October 31, 2019, with an ex-dividend date of October 30, 2019. The Company plans on announcing its next dividend after the Board’s meeting on November 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 October 17, 2019, the Company had 63,058,449 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding.

Estimated September 30, 2019 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2019 was $6.22.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2019, the Company's preliminary estimated total stockholders' equity was approximately $392.0 million with 63,058,449 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 loss per share of $0.14, which includes $0.32 per share of net realized  and unrealized losses on RMBS and derivative instruments for the quarter ended September 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 September 30, 2019 was (2.6)%. 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 $(0.17) per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.41 from June 30, 2019.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 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 September 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          
                        Sep 2019 Realized   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 Oct) in Oct)   (-50 BPS)(1)   (+50 BPS)(1)
Pass Through RMBS                                  
Post Reset ARM $ 1,115 $ 1,183 0.03 % $ 106.11 4.52 % 4.91 %  181  180 -   -   $ 6   $ (6 )
Fixed Rate CMO   584,756   604,861 15.83 %   103.44 4.25 % 4.59 %  21  336 32.28 % 26.33 %   4     (483 )
15yr 4.0   375,996   403,040 10.55 %   107.19 4.00 % 4.53 %  16  160 12.06 % 12.19 %   6,103     (6,563 )
15yr Total   375,996   403,040 10.55 %   107.19 4.00 % 4.53 %  16  160 12.06 % 12.19 %   6,103     (6,563 )
20yr 4.0   83,006   89,633 2.35 %   107.98 4.00 % 4.48 %  26  210 13.17 % 10.73 %   1,706     (1,819 )
20yr Total   83,006   89,633 2.35 %   107.98 4.00 % 4.48 %  26  210 13.17 % 10.73 %   1,706     (1,819 )
30yr 3.0   161,459   164,977 4.32 %   102.18 3.00 % 3.95 %  3  356 3.93 % -     2,733     (3,755 )
30yr 3.5   335,389   348,499 9.12 %   103.91 3.50 % 4.33 %  7  352 6.80 % 5.22 %   3,763     (5,649 )
30yr 4.0   786,933   834,505 21.84 %   106.05 4.00 % 4.64 %  17  341 18.55 % 11.79 %   9,113     (12,655 )
30yr 4.5   425,777   461,255 12.07 %   108.33 4.50 % 5.05 %  9  350 11.10 % 20.31 %   3,862     (5,580 )
30yr 5.0   734,375   808,738 21.17 %   110.13 5.00 % 5.52 %  16  342 16.08 % 16.65 %   7,023     (9,300 )
30yr Total   2,443,933   2,617,974 68.52 %   107.12 4.25 % 4.89 %  13  345 13.93 % 13.08 %   26,494     (36,939 )
Total Pass Through RMBS   3,488,806   3,716,691 97.27 %   106.53 4.22 % 4.79 %  15  320 16.78 % 15.51 %   34,313     (45,810 )
Structured RMBS                                  
Interest-Only Securities   718,260   79,034 2.07 %   11.00 3.76 % 4.35 %  69  248 21.38 % 20.24 %   (9,325 )   10,681  
Inverse Interest-Only Securities   197,834   25,193 0.66 %   12.73 3.08 % 4.86 %  63  288 13.14 % 16.10 %   1,103     (1,813 )
Total Structured RMBS   916,094   104,227 2.73 %   11.38 3.61 % 4.46 %  67  257 19.60 % 19.35 %   (8,222 )   8,868  
Total Mortgage Assets $ 4,404,900 $ 3,820,918 100.00 %     4.09 % 4.72 %  26  307 17.37 % 16.42 % $ 26,091   $ (36,942 )
                                   



                              Interest   Interest
    Average   Hedge                     Rate   Rate
    Notional   Period                     Sensitivity   Sensitivity
Hedge   Balance   End                     (-50 BPS)(1)   (+50 BPS)(1)
Eurodollar Futures $ (500,000 )   Jun-2020                   $ (3,125 ) $ 3,125
Fed Funds Futures   (400,000 )   Dec-2019                     (1,167 )   1,167
Swaps   (2,120,000 )   May-2022                     (29,579 )   29,579
5-Year Treasury Future   (140,000 )   Dec-2019(2)                     (4,438 )   3,488
Hedge Total $ (3,160,000 )                       $ (38,309 ) $ 37,359
Rate Shock Grand Total                           $ (12,218 ) $ 417
  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 $119.1 at September 30, 2019.  The notional contract value of the short position was $166.7 million.
RMBS Assets by Agency         Investment Company Act of 1940 Whole Pool Test
($ in thousands)         ($ in thousands)      
      Percentage         Percentage
    Fair of       Fair of
Asset Category   Value Portfolio   Asset Category   Value Portfolio
As of September 30, 2019         As of September 30, 2019      
Fannie Mae $ 2,755,540 72.1 %   Non-Whole Pool Assets $ 882,455 23.1 %
Freddie Mac   1,062,096 27.8 %   Whole Pool Assets   2,938,463 76.9 %
Ginnie Mae   2,482 0.1 %   Total Mortgage Assets $ 3,820,918 100.0 %
Total Mortgage Assets $ 3,820,918 100.0 %          



Borrowings By Counterparty                
($ in thousands)                
            Weighted Weighted  
        % of   Average Average  
    Total   Total   Repo Maturity Longest
As of September 30, 2019   Borrowings   Debt   Rate in Days Maturity
J.P. Morgan Securities LLC $ 446,537   11.71 %   2.41 % 56 12/12/2019
RBC Capital Markets, LLC   423,714   11.11 %   2.37 % 34 12/12/2019
Mirae Asset Securities (USA) Inc.   410,078   10.75 %   2.45 % 45 2/13/2020
Wells Fargo Bank, N.A.   351,571   9.22 %   2.31 % 12 10/21/2019
Citigroup Global Markets Inc   234,844   6.16 %   2.29 % 18 12/16/2019
Mitsubishi UFJ Securities (USA), Inc   227,408   5.96 %   2.46 % 38 12/16/2019
ASL Capital Markets Inc.   222,485   5.82 %   2.37 % 17 10/31/2019
Cantor Fitzgerald & Co   211,276   5.54 %   2.20 % 36 11/18/2019
ABN AMRO Bank N.V.   211,218   5.54 %   2.35 % 9 10/15/2019
ED&F Man Capital Markets Inc   205,197   5.38 %   2.28 % 65 2/10/2020
South Street Securities, LLC   175,095   4.59 %   2.51 % 135 4/9/2020
ING Financial Markets LLC   162,442   4.26 %   2.28 % 20 10/30/2019
ICBC Financial Services LLC   103,548   2.72 %   2.32 % 15 10/15/2019
Guggenheim Securities, LLC   91,614   2.40 %   2.30 % 21 10/30/2019
FHLB-Cincinnati   79,850   2.09 %   2.55 % 1 10/1/2019
Nomura Securities International, Inc.   49,381   1.29 %   2.28 % 15 10/15/2019
Daiwa Securities America Inc.   48,255   1.27 %   2.28 % 11 10/11/2019
Lucid Cash Fund USG LLC   46,947   1.23 %   2.31 % 17 10/17/2019
Bank of Montreal   40,897   1.07 %   2.33 % 17 10/28/2019
J.V.B. Financial Group, LLC   28,515   0.75 %   2.24 % 39 12/17/2019
Merrill Lynch, Pierce, Fenner & Smith   26,126   0.69 %   2.40 % 8 10/11/2019
Lucid Prime Fund, LLC   13,421   0.35 %   2.35 % 17 10/17/2019
Mizuho Securities USA, Inc   3,558   0.09 %   2.58 % 15 10/15/2019
Total Borrowings $ 3,813,977   100.0 %   2.36 % 36 4/9/2020

Contact:

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