Orchid Island Capital : Announces Estimated Fourth Quarter 2019 Results, January 2020 Monthly Dividend and December 31, 2019 RMBS Portfolio Characteristics
January 16, 2020 at 05:53 pm
Share
January 2020 Monthly Dividend of $0.08 Per Share
Estimated Book Value Per Share as of December 31, 2019 of $6.27
Estimated GAAP net income of $0.29 per share for the quarter ended December 31, 2019, including an estimated $0.06 per share of net realized and unrealized gains on RMBS and derivative instruments
Estimated 4.7% total return on equity for the quarter, or 18.6% annualized
Estimated book value, net income 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 December 31, 2019
Next Dividend Announcement Expected February 12, 2020
VERO BEACH, Fla., Jan. 16, 2020 (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 January 2020. The dividend of $0.08 per share will be paid February 26, 2020 to holders of record on January 31, 2020, with an ex-dividend date of January 30, 2020. The Company plans on announcing its next dividend after the Board’s meeting on February 12, 2020.
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 16, 2020, the Company had 63,061,781 shares outstanding. At December 31, 2019, the Company had 63,061,781 shares outstanding. At September 30, 2019, the Company had 63,058,209 shares outstanding.
Estimated December 31, 2019 Book Value Per Share
The Company’s estimated book value per share as of December 31, 2019 was $6.27. 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, 2019, the Company's preliminary estimated total stockholders' equity was approximately $395.5 million with 63,061,781 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 $0.29, which includes $0.06 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended December 31, 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 December 31, 2019 was 4.7%, or 18.6% on an annualized basis, and 5.7% for the year ended December 31, 2019. 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 $0.29 per share, comprised of dividends per share of $0.24 and an increase in book value per share of $0.05 from September 30, 2019.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of December 31, 2019 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended December 31, 2019, are subject to review by the Company’s independent registered public accounting firm.
RMBS Valuation Characteristics
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test Results
Repurchase Agreement Exposure by Counterparty
RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2018.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Dec 2019
Oct - Dec
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 Jan)
in Jan)
(-50 BPS)(1)
(+50 BPS)(1)
Pass Through RMBS
Post Reset ARM
$
963
$
1,014
0.03
%
$
105.27
4.51
%
4.96
%
185
176
0.00
%
36.18
%
$
3
$
(2
)
Fixed Rate CMO
287,322
299,205
8.33
%
104.14
4.20
%
4.57
%
26
331
20.22
%
21.76
%
1,230
(2,000
)
15yr 4.0
18,778
19,841
0.55
%
105.66
4.00
%
4.45
%
19
154
15.48
%
17.71
%
238
(283
)
15yr Total
18,778
19,841
0.55
%
105.66
4.00
%
4.45
%
19
154
15.48
%
17.71
%
238
(283
)
20yr 4.0
80,044
86,210
2.40
%
107.70
4.00
%
4.48
%
29
206
11.25
%
9.49
%
1,695
(1,797
)
20yr Total
80,044
86,210
2.40
%
107.70
4.00
%
4.48
%
29
206
11.25
%
9.49
%
1,695
(1,797
)
30yr 3.0
200,095
204,383
5.69
%
102.14
3.00
%
3.91
%
6
354
2.23
%
4.41
%
3,893
(5,215
)
30yr 3.5
1,070,158
1,121,068
31.22
%
104.76
3.50
%
4.17
%
5
353
4.51
%
5.54
%
18,612
(25,265
)
30yr 4.0
1,022,209
1,095,470
30.51
%
107.17
4.00
%
4.59
%
16
341
21.18
%
19.47
%
15,469
(20,716
)
30yr 4.5
395,294
429,924
11.97
%
108.76
4.50
%
5.04
%
12
346
13.88
%
13.36
%
4,372
(6,315
)
30yr 5.0
224,753
249,117
6.94
%
110.84
5.00
%
5.51
%
21
335
13.29
%
17.59
%
2,835
(3,584
)
30yr Total
2,912,509
3,099,962
86.33
%
106.44
3.89
%
4.52
%
11
347
12.15
%
13.50
%
45,181
(61,095
)
Total Pass Through RMBS
3,299,616
3,506,232
97.64
%
106.26
3.92
%
4.52
%
13
341
12.85
%
14.28
%
48,347
(65,177
)
Structured RMBS
Interest-Only Securities
424,164
60,986
1.70
%
14.38
3.99
%
4.58
%
66
280
22.56
%
26.89
%
(7,893
)
8,847
Inverse Interest-Only Securities
187,513
23,703
0.66
%
12.64
3.34
%
4.86
%
66
285
17.06
%
15.50
%
1,185
(1,874
)
Total Structured RMBS
611,677
84,689
2.36
%
13.85
3.79
%
4.67
%
66
281
20.88
%
23.40
%
(6,708
)
6,973
Total Mortgage Assets
$
3,911,293
$
3,590,921
100.00
%
3.90
%
4.55
%
21
331
14.10
%
15.95
%
$
41,639
$
(58,204
)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)(1)
(+50 BPS)(1)
Eurodollar Futures
$
(500,000
)
Dec-2020
(2,500
)
2,500
Swaps
(1,270,000
)
Oct-2023
(25,100
)
25,100
5-Year Treasury Futures
(69,000
)
Mar-2020(2)
(2,610
)
1,405
TBA Short
(300,000
)
Jan-2020
(1,589
)
2,581
Hedge Total
$
(2,139,000
)
$
(31,799
)
$
31,586
Rate Shock Grand Total
$
9,840
$
(26,618
)
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.
Five year treasury futures contracts were valued at prices of $118.92 at December 31, 2019. The market value of the short position was $82.1 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
Portfolio
Asset Category
Value
Portfolio
As of December 31, 2019
As of December 31, 2019
Fannie Mae
$
2,170,668
60.4%
Non-Whole Pool Assets
$
576,094
16.0%
Freddie Mac
1,420,253
39.6%
Whole Pool Assets
3,014,827
84.0%
Total Mortgage Assets
$
3,590,921
100.0%
Total Mortgage Assets
$
3,590,921
100.0%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of December 31, 2019
Borrowings
Debt
Rate
in Days
Maturity
Wells Fargo Bank, N.A.
$
423,567
12.1
%
1.94
%
32
2/11/2020
Mirae Asset Securities (USA) Inc.
337,738
9.9
%
1.96
%
41
2/13/2020
J.P. Morgan Securities LLC
337,494
9.9
%
2.08
%
13
1/30/2020
Cantor Fitzgerald & Co
293,399
8.5
%
1.97
%
13
1/13/2020
ASL Capital Markets Inc.
218,575
6.3
%
2.01
%
22
2/3/2020
Citigroup Global Markets Inc
214,862
6.2
%
2.10
%
13
1/15/2020
ED&F Man Capital Markets Inc
201,620
5.8
%
2.06
%
33
2/10/2020
RBC Capital Markets, LLC
199,175
5.8
%
2.11
%
14
1/29/2020
ING Financial Markets LLC
168,149
4.9
%
2.04
%
17
1/27/2020
ABN AMRO Bank N.V.
153,175
4.4
%
2.02
%
9
1/9/2020
South Street Securities, LLC
149,064
4.3
%
2.49
%
89
4/9/2020
Mitsubishi UFJ Securities (USA), Inc
146,884
4.3
%
2.09
%
18
1/28/2020
Daiwa Securities America Inc.
112,436
3.3
%
1.94
%
38
2/10/2020
ICBC Financial Services LLC
97,472
2.8
%
2.15
%
28
1/28/2020
Guggenheim Securities, LLC
91,472
2.7
%
1.98
%
21
1/30/2020
FHLB-Cincinnati
88,986
2.6
%
1.68
%
2
1/2/2020
Lucid Cash Fund USG LLC
66,784
1.9
%
2.12
%
16
1/16/2020
Bank of Montreal
59,528
1.7
%
1.96
%
13
1/13/2020
Nomura Securities International, Inc.
47,372
1.4
%
1.97
%
13
1/13/2020
J.V.B. Financial Group, LLC
29,057
0.8
%
2.16
%
11
1/17/2020
Merrill Lynch, Pierce, Fenner & Smith
9,323
0.3
%
2.24
%
3
1/3/2020
Mizuho Securities USA, Inc
1,974
0.1
%
2.30
%
17
1/17/2020
Total Borrowings
$
3,448,106
100.0
%
2.04
%
25
4/9/2020
Contact:
Orchid Island Capital, Inc. Robert E. Cauley 3305 Flamingo Drive, Vero Beach, Florida 32963 Telephone: (772) 231-1400
Orchid Island Capital, Inc. is a specialty finance company that invests in residential mortgage-backed securities RMBS. The Company's investment portfolio consists of two categories of Agency RMBS: traditional pass-through Agency RMBS, such as mortgage pass through certificates and collateralized mortgage obligations (CMOs) issued by the government-sponsored enterprise (GSEs), and structured Agency RMBS, such as interest only securities (IOs), inverse interest only securities and principal only securities (POs), among other types of structured Agency RMBS. The Company's business objective is to provide attractive risk-adjusted total returns to its investors over the long term through a combination of capital appreciation and the payment of regular monthly distributions. The Company intends to achieve this objective by investing in and strategically allocating capital between pass-through Agency RMBS and structured Agency RMBS. The Company is externally managed by Bimini Advisors, LLC.
Orchid Island Capital : Announces Estimated Fourth Quarter 2019 Results, January 2020 Monthly Dividend and December 31, 2019 RMBS Portfolio Characteristics