Close

Orchid Island Capital (ORC) Updates on Est'd Book Value/Share, ROE, RMBS Portfolio Characteristics

July 10, 2015 9:42 AM EDT

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)
PercentageWeightedRealized
CurrentFairCurrentofAverageJun 2015 CPR
Asset CategoryFaceValue(1)PricePortfolioCoupon(Reported in Jul)
As of June 30, 2015
Adjustable Rate RMBS $ 3,226 $ 3,456107.150.16%3.64%0.22%
10-1 Hybrid Rate RMBS55,54456,754102.182.61%2.56%7.90%
Hybrid Adjustable Rate RMBS55,54456,754102.182.61%2.56%7.90%
15 Year Fixed Rate RMBS74,25578,434105.633.61%3.40%11.72%
20 Year Fixed Rate RMBS323,601346,133106.9615.92%4.00%5.50%
30 Year Fixed Rate RMBS1,457,6551,568,802107.6272.12%4.24%10.62%
Total Fixed Rate RMBS1,855,5111,993,369107.4391.65%4.17%9.77%
Total Pass-through RMBS1,914,2812,053,579107.2894.42%4.12%9.70%
Interest-Only Securities577,61978,34713.563.60%3.62%17.22%
Inverse Interest-Only Securities205,43342,94520.901.98%6.20%19.91%
Structured RMBS783,052121,29215.495.58%4.53%17.83%
Total Mortgage Assets $ 2,697,333 $ 2,174,871 100.00%4.15%11.98%
RMBS Assets by AgencyInvestment Company Act of 1940 (Whole Pool) Test
($ in thousands)($ in thousands)
Percentage Percentage
Fairof Fairof
Asset CategoryValue(1)PortfolioAsset CategoryValue(1)Portfolio
As of June 30, 2015 As of June 30, 2015
Fannie Mae $ 1,766,72481.2%Whole Pool Assets $ 1,731,06279.6%
Freddie Mac386,98117.8%Non Whole Pool Assets443,80920.4%
Ginnie Mae21,1661.0%Total Mortgage Assets $ 2,174,871100.0%
Total Mortgage Assets $ 2,174,871100.0%
(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
% ofAverage
TotalTotalMaturityLongest
As of June 30, 2015Borrowings(1)Debtin DaysMaturity
J.P. Morgan Securities LLC $ 246,67712.3%107/13/2015
Citigroup Global Markets Inc246,64212.2%179/14/2015
RBC Capital Markets, LLC154,2267.7%187/22/2015
ICBC Financial Services LLC151,2717.5%137/22/2015
Cantor Fitzgerald & Co146,7857.3%137/17/2015
ED&F Man Capital Markets Inc142,2057.1%388/24/2015
Mitsubishi UFJ Securities (USA), Inc138,5586.9%207/31/2015
Mizuho Securities USA, Inc116,5205.8%137/29/2015
KGS-Alpha Capital Markets, L.P104,4605.2%107/27/2015
Daiwa Securities America Inc.100,9755.0%107/15/2015
Merrill Lynch, Pierce, Fenner & Smith Inc96,4494.8%197/29/2015
South Street Securities, LLC66,9633.3%127/20/2015
Wells Fargo Bank, N.A.66,3963.3%157/15/2015
Goldman, Sachs & Co54,6702.7%799/17/2015
Morgan Stanley & Co54,3782.7%77/7/2015
CRT Capital Group, LLC44,8442.2%167/29/2015
Nomura Securities International, Inc.34,7201.7%97/13/2015
Guggenheim Securities, LLC32,7421.6%299/2/2015
Barclays Capital Inc10,1280.5%147/14/2015
Suntrust Robinson Humphrey, Inc4,4620.2%27/2/2015
Total Borrowings $ 2,014,071100.0%189/17/2015
(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
AverageWeightedWeightedModeledModeled
MonthsAverageAverageInterestInterest
To NextLifetimePeriodicRateRate
FairCoupon ResetCapCap Per YearSensitivitySensitivity
Asset CategoryValue(if applicable)(if applicable)(if applicable)(-50 BPS)(1)(+50 BPS)(1)
As of June 30, 2015
Adjustable Rate RMBS $ 3,456110.07%2.00% $ 19 $ (19)
Hybrid Adjustable Rate RMBS56,754917.56%2.00%1,003(1,196)
Total Fixed Rate RMBS1,993,369n/an/an/a37,182(48,754)
Total Pass-through RMBS2,053,579n/an/an/a38,204(49,969)
Interest-Only Securities78,347n/an/an/a(12,422)9,797
Inverse Interest-Only Securities42,94516.38%n/a284(1,817)
Structured RMBS121,292n/an/an/a(12,138)7,980
Total Mortgage Assets $ 2,174,871n/an/an/a $ 26,066 $ (41,989)
Funding Hedges
ModeledModeled
InterestInterest
AverageHedgeRateRate
NotionalPeriodSensitivitySensitivity
Balance(2)End Date(-50 BPS)(1)(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions $ 780,000Mar-2019 $ (15,233) $ 16,875
Treasury Futures Contracts - Short Positions 120,000Sep-2025(5,056)4,645
Payer Swaption175,000Sep-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.


Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

Corporate News, Guidance

Related Entities

Cantor Fitzgerald, JPMorgan, Citi, Morgan Stanley, RBC Capital, Barclays, Nomura, Wells Fargo