Orchid Island Capital Announces Estimated Fourth Quarter 2019 Results, January 2020 Monthly Dividend and December 31, 2019 RMBS Portfolio Characteristics

1/16/2020, 11:53 PM (Source: GlobeNewswire)
  • 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)                 
            RealizedRealized    
            Dec 2019Oct - Dec Modeled Modeled
        Net  WeightedCPR2019 CPR Interest Interest
     %  Weighted  Average(1-Month)(3-Month) Rate Rate
  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity Sensitivity
Type Face ValuePortfolio PriceCouponGWACAge(Months)in Jan)in Jan) (-50 BPS)(1) (+50 BPS)(1)
Pass Through RMBS                 
Post Reset ARM$963 $1,0140.03%$105.274.51%4.96% 185 1760.00%36.18%$3 $(2)
Fixed Rate CMO 287,322  299,2058.33% 104.144.20%4.57% 26 33120.22%21.76% 1,230  (2,000)
15yr 4.0 18,778  19,8410.55% 105.664.00%4.45% 19 15415.48%17.71% 238  (283)
15yr Total 18,778  19,8410.55% 105.664.00%4.45% 19 15415.48%17.71% 238  (283)
20yr 4.0 80,044  86,2102.40% 107.704.00%4.48% 29 20611.25%9.49% 1,695  (1,797)
20yr Total 80,044  86,2102.40% 107.704.00%4.48% 29 20611.25%9.49% 1,695  (1,797)
30yr 3.0 200,095  204,3835.69% 102.143.00%3.91% 6 3542.23%4.41% 3,893  (5,215)
30yr 3.5 1,070,158  1,121,06831.22% 104.763.50%4.17% 5 3534.51%5.54% 18,612  (25,265)
30yr 4.0 1,022,209  1,095,47030.51% 107.174.00%4.59% 16 34121.18%19.47% 15,469  (20,716)
30yr 4.5 395,294  429,92411.97% 108.764.50%5.04% 12 34613.88%13.36% 4,372  (6,315)
30yr 5.0 224,753  249,1176.94% 110.845.00%5.51% 21 33513.29%17.59% 2,835  (3,584)
30yr Total 2,912,509  3,099,96286.33% 106.443.89%4.52% 11 34712.15%13.50% 45,181  (61,095)
Total Pass Through RMBS 3,299,616  3,506,23297.64% 106.263.92%4.52% 13 34112.85%14.28% 48,347  (65,177)
Structured RMBS                 
Interest-Only Securities 424,164  60,9861.70% 14.383.99%4.58% 66 28022.56%26.89% (7,893) 8,847 
Inverse Interest-Only Securities 187,513  23,7030.66% 12.643.34%4.86% 66 28517.06%15.50% 1,185  (1,874)
Total Structured RMBS 611,677  84,6892.36% 13.853.79%4.67% 66 28120.88%23.40% (6,708) 6,973 
Total Mortgage Assets$3,911,293 $3,590,921100.00%  3.90%4.55% 21 33114.10%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)
  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 $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
  Fairof   Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of December 31, 2019    As of December 31, 2019   
Fannie Mae$2,170,66860.4% Non-Whole Pool Assets$576,09416.0%
Freddie Mac 1,420,25339.6% Whole Pool Assets 3,014,82784.0%
Total Mortgage Assets $3,590,921100.0% Total Mortgage Assets $3,590,921100.0%



Borrowings By Counterparty        
($ in thousands)        
      WeightedWeighted 
    % of AverageAverage 
  Total Total RepoMaturityLongest
As of December 31, 2019 Borrowings Debt Ratein DaysMaturity
Wells Fargo Bank, N.A.$423,567 12.1% 1.94%322/11/2020
Mirae Asset Securities (USA) Inc. 337,738 9.9% 1.96%412/13/2020
J.P. Morgan Securities LLC 337,494 9.9% 2.08%131/30/2020
Cantor Fitzgerald & Co 293,399 8.5% 1.97%131/13/2020
ASL Capital Markets Inc. 218,575 6.3% 2.01%222/3/2020
Citigroup Global Markets Inc 214,862 6.2% 2.10%131/15/2020
ED&F Man Capital Markets Inc 201,620 5.8% 2.06%332/10/2020
RBC Capital Markets, LLC 199,175 5.8% 2.11%141/29/2020
ING Financial Markets LLC 168,149 4.9% 2.04%171/27/2020
ABN AMRO Bank N.V. 153,175 4.4% 2.02%91/9/2020
South Street Securities, LLC 149,064 4.3% 2.49%894/9/2020
Mitsubishi UFJ Securities (USA), Inc 146,884 4.3% 2.09%181/28/2020
Daiwa Securities America Inc. 112,436 3.3% 1.94%382/10/2020
ICBC Financial Services LLC 97,472 2.8% 2.15%281/28/2020
Guggenheim Securities, LLC 91,472 2.7% 1.98%211/30/2020
FHLB-Cincinnati 88,986 2.6% 1.68%21/2/2020
Lucid Cash Fund USG LLC 66,784 1.9% 2.12%161/16/2020
Bank of Montreal 59,528 1.7% 1.96%131/13/2020
Nomura Securities International, Inc. 47,372 1.4% 1.97%131/13/2020
J.V.B. Financial Group, LLC 29,057 0.8% 2.16%111/17/2020
Merrill Lynch, Pierce, Fenner & Smith 9,323 0.3% 2.24%31/3/2020
Mizuho Securities USA, Inc 1,974 0.1% 2.30%171/17/2020
Total Borrowings$3,448,106 100.0% 2.04%254/9/2020
           

Contact:

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

Primary Logo

Copyright GlobeNewswire, Inc. 2016. All rights reserved.
You can register yourself on the website to receive press releases directly via e-mail to your own e-mail account.