Orchid Island Capital (ORC) Updates on Est'd Book Value/Share, ROE, RMBS Portfolio Characteristics
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Orchid Island Capital (NYSE: ORC) offered the following update on Friday:
Estimated June 30, 2015 Book Value Per Share
The Company's estimated book value per share as of June 30, 2015 was $12.38. The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's common stock. At June 30, 2015, the Company's preliminary estimated total stockholders' equity was approximately $284.2 million with 22,959,817 common shares 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 Return on Equity
The Company's estimated total return on equity for the quarter ended June 30, 2015 was 0.4%, or 1.6% 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 $0.05 per share, comprised of dividends per share of $0.54 and a decrease in book value per share of $0.49 from March 31, 2015.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of June 30, 2015 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter and six months ended June 30, 2015, are subject to review by the Company's independent registered public accounting firm.
- RMBS Assets by Agency
- Investment Company Act of 1940 Whole Pool Test Results
- Repurchase agreement exposure by counterparty
- RMBS Risk Measures
RMBS Valuation Characteristics | ||||||
($ in thousands) | ||||||
Percentage | Weighted | Realized | ||||
Current | Fair | Current | of | Average | Jun 2015 CPR | |
Asset Category | Face | Value(1) | Price | Portfolio | Coupon | (Reported in Jul) |
As of June 30, 2015 | ||||||
Adjustable Rate RMBS | $ 3,226 | $ 3,456 | 107.15 | 0.16% | 3.64% | 0.22% |
10-1 Hybrid Rate RMBS | 55,544 | 56,754 | 102.18 | 2.61% | 2.56% | 7.90% |
Hybrid Adjustable Rate RMBS | 55,544 | 56,754 | 102.18 | 2.61% | 2.56% | 7.90% |
15 Year Fixed Rate RMBS | 74,255 | 78,434 | 105.63 | 3.61% | 3.40% | 11.72% |
20 Year Fixed Rate RMBS | 323,601 | 346,133 | 106.96 | 15.92% | 4.00% | 5.50% |
30 Year Fixed Rate RMBS | 1,457,655 | 1,568,802 | 107.62 | 72.12% | 4.24% | 10.62% |
Total Fixed Rate RMBS | 1,855,511 | 1,993,369 | 107.43 | 91.65% | 4.17% | 9.77% |
Total Pass-through RMBS | 1,914,281 | 2,053,579 | 107.28 | 94.42% | 4.12% | 9.70% |
Interest-Only Securities | 577,619 | 78,347 | 13.56 | 3.60% | 3.62% | 17.22% |
Inverse Interest-Only Securities | 205,433 | 42,945 | 20.90 | 1.98% | 6.20% | 19.91% |
Structured RMBS | 783,052 | 121,292 | 15.49 | 5.58% | 4.53% | 17.83% |
Total Mortgage Assets | $ 2,697,333 | $ 2,174,871 | 100.00% | 4.15% | 11.98% | |
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 June 30, 2015 | As of June 30, 2015 | ||||
Fannie Mae | $ 1,766,724 | 81.2% | Whole Pool Assets | $ 1,731,062 | 79.6% |
Freddie Mac | 386,981 | 17.8% | Non Whole Pool Assets | 443,809 | 20.4% |
Ginnie Mae | 21,166 | 1.0% | Total Mortgage Assets | $ 2,174,871 | 100.0% |
Total Mortgage Assets | $ 2,174,871 | 100.0% | |||
(1) Amounts in the tables above include assets with a fair value of approximately $7.6 million purchased in June 2015 which settle in July 2015. | |||||
Repurchase Agreement Exposure By Counterparty | ||||
($ in thousands) | ||||
Weighted | ||||
% of | Average | |||
Total | Total | Maturity | Longest | |
As of June 30, 2015 | Borrowings(1) | Debt | in Days | Maturity |
J.P. Morgan Securities LLC | $ 246,677 | 12.3% | 10 | 7/13/2015 |
Citigroup Global Markets Inc | 246,642 | 12.2% | 17 | 9/14/2015 |
RBC Capital Markets, LLC | 154,226 | 7.7% | 18 | 7/22/2015 |
ICBC Financial Services LLC | 151,271 | 7.5% | 13 | 7/22/2015 |
Cantor Fitzgerald & Co | 146,785 | 7.3% | 13 | 7/17/2015 |
ED&F Man Capital Markets Inc | 142,205 | 7.1% | 38 | 8/24/2015 |
Mitsubishi UFJ Securities (USA), Inc | 138,558 | 6.9% | 20 | 7/31/2015 |
Mizuho Securities USA, Inc | 116,520 | 5.8% | 13 | 7/29/2015 |
KGS-Alpha Capital Markets, L.P | 104,460 | 5.2% | 10 | 7/27/2015 |
Daiwa Securities America Inc. | 100,975 | 5.0% | 10 | 7/15/2015 |
Merrill Lynch, Pierce, Fenner & Smith Inc | 96,449 | 4.8% | 19 | 7/29/2015 |
South Street Securities, LLC | 66,963 | 3.3% | 12 | 7/20/2015 |
Wells Fargo Bank, N.A. | 66,396 | 3.3% | 15 | 7/15/2015 |
Goldman, Sachs & Co | 54,670 | 2.7% | 79 | 9/17/2015 |
Morgan Stanley & Co | 54,378 | 2.7% | 7 | 7/7/2015 |
CRT Capital Group, LLC | 44,844 | 2.2% | 16 | 7/29/2015 |
Nomura Securities International, Inc. | 34,720 | 1.7% | 9 | 7/13/2015 |
Guggenheim Securities, LLC | 32,742 | 1.6% | 29 | 9/2/2015 |
Barclays Capital Inc | 10,128 | 0.5% | 14 | 7/14/2015 |
Suntrust Robinson Humphrey, Inc | 4,462 | 0.2% | 2 | 7/2/2015 |
Total Borrowings | $ 2,014,071 | 100.0% | 18 | 9/17/2015 |
(1) In June 2015, the Company purchased assets with a fair value of approximately $7.6 million which settle in July 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. | ||||
RMBS Risk Measures | ||||||
($ in thousands) | ||||||
Mortgage Assets | ||||||
Weighted | ||||||
Average | Weighted | Weighted | Modeled | Modeled | ||
Months | Average | Average | Interest | Interest | ||
To Next | Lifetime | Periodic | Rate | Rate | ||
Fair | Coupon Reset | Cap | Cap Per Year | Sensitivity | Sensitivity | |
Asset Category | Value | (if applicable) | (if applicable) | (if applicable) | (-50 BPS)(1) | (+50 BPS)(1) |
As of June 30, 2015 | ||||||
Adjustable Rate RMBS | $ 3,456 | 1 | 10.07% | 2.00% | $ 19 | $ (19) |
Hybrid Adjustable Rate RMBS | 56,754 | 91 | 7.56% | 2.00% | 1,003 | (1,196) |
Total Fixed Rate RMBS | 1,993,369 | n/a | n/a | n/a | 37,182 | (48,754) |
Total Pass-through RMBS | 2,053,579 | n/a | n/a | n/a | 38,204 | (49,969) |
Interest-Only Securities | 78,347 | n/a | n/a | n/a | (12,422) | 9,797 |
Inverse Interest-Only Securities | 42,945 | 1 | 6.38% | n/a | 284 | (1,817) |
Structured RMBS | 121,292 | n/a | n/a | n/a | (12,138) | 7,980 |
Total Mortgage Assets | $ 2,174,871 | n/a | n/a | n/a | $ 26,066 | $ (41,989) |
Funding Hedges | ||||||
Modeled | Modeled | |||||
Interest | Interest | |||||
Average | Hedge | Rate | Rate | |||
Notional | Period | Sensitivity | Sensitivity | |||
Balance(2) | End Date | (-50 BPS)(1) | (+50 BPS)(1) | |||
Eurodollar Futures Contracts - Short Positions | $ 780,000 | Mar-2019 | $ (15,233) | $ 16,875 | ||
Treasury Futures Contracts - Short Positions | 120,000 | Sep-2025 | (5,056) | 4,645 | ||
Payer Swaption | 175,000 | Sep-2025 | (54) | 377 | ||
Grand Total | $ 5,723 | $ (20,092) | ||||
(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 OAS. These results are for illustrative purposes only and actual results may differ materially. | ||||||
(2) Treasury Futures Contracts were valued at 126-05+ at June 30, 2015. The nominal value of the short position was $151.4 million. |
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