Maryland
|
001-35236
|
27-3269228
|
(State or Other Jurisdiction of Incorporation)
|
(Commission File Number)
|
(IRS Employer Identification No.)
|
¨
|
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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¨
|
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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¨
|
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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¨
|
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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99.1
|
Press Release dated November 4, 2013
|
Date: November 6, 2013
|
ORCHID ISLAND CAPITAL, INC.
|
||
By:
|
/s/ Robert E. Cauley | ||
Robert E. Cauley
|
|||
Chairman and Chief Executive Officer
|
·
|
Net loss of $1.0 Million, or $0.30 per common share
|
·
|
Third quarter total dividend payments of $0.405 per common share
|
·
|
Book Value per Share of $13.41
|
·
|
2.2% Economic loss on common equity for the quarter, or 8.6% annualized, comprised of $0.405 dividend per common share and $0.71 decrease in net book value per common share
|
·
|
Company to discuss results on Wednesday, November 6, 2013, at 10:00 AM ET
|
Portfolio Activity for the Quarter
|
||||||||||||||||||||
Structured Security Portfolio
|
||||||||||||||||||||
Pass-Through
|
Interest Only
|
Inverse Interest
|
||||||||||||||||||
Portfolio
|
Securities
|
Only Securities
|
Sub-total
|
Total
|
||||||||||||||||
Market Value - June 30, 2013
|
$ | 317,175,526 | $ | 20,101,134 | $ | 1,871,253 | $ | 21,972,387 | $ | 339,147,913 | ||||||||||
Securities Purchased
|
77,061,877 | 6,071,773 | 3,839,422 | 9,911,195 | 86,973,072 | |||||||||||||||
Securities Sold
|
(76,107,279 | ) | (9,204,556 | ) | - | (9,204,556 | ) | (85,311,835 | ) | |||||||||||
Gain (Loss) on Sale
|
(366,452 | ) | (300,730 | ) | - | (300,730 | ) | (667,182 | ) | |||||||||||
Return on Investment
|
n/a | (1,318,925 | ) | (334,793 | ) | (1,653,718 | ) | (1,653,718 | ) | |||||||||||
Pay-downs
|
(6,787,387 | ) | n/a | n/a | n/a | (6,787,387 | ) | |||||||||||||
Premium Lost Due to Pay-downs
|
(79,523 | ) | n/a | n/a | n/a | (79,523 | ) | |||||||||||||
Mark to Market Gains (Losses)
|
120,384 | 22,002 | 23,207 | 45,209 | 165,593 | |||||||||||||||
Market Value - September 30, 2013
|
$ | 311,017,146 | $ | 15,370,698 | $ | 5,399,089 | $ | 20,769,787 | $ | 331,786,933 |
Capital Allocation
|
||||||||||||||||||||
Structured Security Portfolio
|
||||||||||||||||||||
Pass-Through
|
Interest Only
|
Inverse Interest
|
||||||||||||||||||
Portfolio
|
Securities
|
Only Securities
|
Sub-total
|
Total
|
||||||||||||||||
September 30, 2013
|
||||||||||||||||||||
Market Value
|
$ | 311,017,146 | $ | 15,370,698 | $ | 5,399,089 | $ | 20,769,787 | $ | 331,786,933 | ||||||||||
Cash
|
10,481,831 | - | - | - | 10,481,831 | |||||||||||||||
Repurchase Agreement Obligations(1)
|
(301,656,523 | ) | - | - | - | (301,656,523 | ) | |||||||||||||
Total
|
$ | 19,842,454 | $ | 15,370,698 | $ | 5,399,089 | $ | 20,769,787 | $ | 40,612,241 | ||||||||||
% of Total
|
48.9 | % | 37.8 | % | 13.3 | % | 51.1 | % | 100.0 | % | ||||||||||
June 30, 2013
|
||||||||||||||||||||
Market Value
|
$ | 317,175,526 | $ | 20,101,134 | $ | 1,871,253 | $ | 21,972,387 | $ | 339,147,913 | ||||||||||
Cash
|
15,223,827 | - | - | - | 15,223,827 | |||||||||||||||
Repurchase Agreement Obligations
|
(308,735,338 | ) | - | - | - | (308,735,338 | ) | |||||||||||||
Total
|
$ | 23,664,015 | $ | 20,101,134 | $ | 1,871,253 | $ | 21,972,387 | $ | 45,636,402 | ||||||||||
% of Total
|
51.9 | % | 44.0 | % | 4.1 | % | 48.1 | % | 100.0 | % |
(1)
|
At September 30, 2013, there were outstanding repurchase agreement balances of $5.0 million and $0.2 million secured by interest-only and inverse interest-only securities, respectively. We entered into these arrangements to generate additional cash to support the pass-through strategy; therefore we have not considered these balances to be allocated to the structures securities strategy.
|
Returns for the Quarter
|
||||||||||||||||||||
Income / (loss) (net of repo cost)
|
$ | 2,118,029 | $ | 118,039 | $ | 20,857 | $ | 138,896 | $ | 2,256,925 | ||||||||||
Realized and unrealized gains / (losses)
|
(325,592 | ) | (278,727 | ) | 23,207 | (255,520 | ) | (581,112 | ) | |||||||||||
Hedge losses
|
(2,271,875 | ) | n/a | n/a | n/a | (2,271,875 | ) | |||||||||||||
$ | (479,438 | ) | $ | (160,688 | ) | $ | 44,064 | $ | (116,624 | ) | $ | (596,062 | ) | |||||||
Return on Invested Capital for the Quarter
|
(2.0 | )% | (0.8 | )% | 2.4 | % | (0.5 | )% | (1.3 | )% |
Structured
|
||||||||||||
PT MBS
|
MBS
|
Total
|
||||||||||
Three Months Ended,
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
September 30, 2013
|
6.5 | 28.2 | 12.6 | |||||||||
June 30, 2013
|
6.5 | 29.8 | 16.3 | |||||||||
March 31, 2013
|
9.2 | 33.0 | 20.0 | |||||||||
December 31, 2012
|
1.1 | 42.3 | 28.6 | |||||||||
September 30, 2012
|
4.2 | 38.7 | 25.0 | |||||||||
June 30, 2012
|
0.2 | 41.4 | 38.7 | |||||||||
March 31, 2012
|
11.0 | 31.2 | 23.8 |
(in thousands)
|
|||||||||
Weighted
|
Weighted
|
||||||||
Percentage
|
Average
|
Average
|
Weighted
|
Weighted
|
|||||
of
|
Weighted
|
Maturity
|
Coupon
|
Average
|
Average
|
||||
Fair
|
Entire
|
Average
|
in
|
Longest
|
Reset in
|
Lifetime
|
Periodic
|
||
Asset Category
|
Value
|
Portfolio
|
Coupon
|
Months
|
Maturity
|
Months
|
Cap
|
Cap
|
|
September 30, 2013
|
|||||||||
Adjustable Rate MBS
|
$
|
6,150
|
1.9%
|
4.04%
|
248
|
1-Sep-35
|
4.71
|
10.05%
|
2.00%
|
Fixed Rate MBS
|
184,662
|
55.7%
|
3.62%
|
310
|
1-Sep-43
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate MBS
|
120,205
|
36.2%
|
2.56%
|
352
|
1-Aug-43
|
111.61
|
7.56%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
311,017
|
93.7%
|
3.22%
|
325
|
1-Sep-43
|
106.41
|
7.68%
|
2.00%
|
|
Interest-Only Securities
|
15,371
|
4.6%
|
4.32%
|
236
|
20-Oct-42
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
5,399
|
1.6%
|
5.91%
|
319
|
15-Dec-40
|
NA
|
6.09%
|
NA
|
|
Total Structured MBS
|
20,770
|
6.3%
|
4.73%
|
258
|
20-Oct-42
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
331,787
|
100.0%
|
3.31%
|
321
|
1-Sep-43
|
NA
|
NA
|
NA
|
December 31, 2012
|
|||||||||
Adjustable Rate MBS
|
$
|
6,531
|
5.7%
|
4.20%
|
258
|
1-Sep-35
|
3.46
|
10.04%
|
2.00%
|
Fixed Rate MBS
|
43,589
|
37.8%
|
3.24%
|
181
|
1-Dec-40
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate MBS
|
59,485
|
51.5%
|
2.69%
|
357
|
1-Nov-42
|
100.51
|
7.69%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
109,605
|
95.0%
|
3.00%
|
281
|
1-Nov-42
|
90.91
|
7.93%
|
2.00%
|
|
Interest-Only Securities
|
2,884
|
2.5%
|
3.52%
|
151
|
25-Dec-39
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
2,891
|
2.5%
|
6.13%
|
309
|
25-Nov-40
|
NA
|
6.34%
|
NA
|
|
Total Structured MBS
|
5,775
|
5.0%
|
4.83%
|
230
|
25-Nov-40
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
115,380
|
100.0%
|
3.09%
|
278
|
1-Nov-42
|
NA
|
NA
|
NA
|
(in thousands)
|
||||||||||||||||
September 30, 2013
|
December 31, 2012
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$ | 203,477 | 61.33 | % | $ | 113,235 | 98.14 | % | ||||||||
Freddie Mac
|
107,876 | 32.51 | % | 2,145 | 1.86 | % | ||||||||||
Ginnie Mae
|
20,434 | 6.16 | % | - | - | |||||||||||
Total Portfolio
|
$ | 331,787 | 100.00 | % | $ | 115,380 | 100.00 | % |
September 30, 2013
|
December 31, 2012
|
|||||||
Weighted Average Pass Through Purchase Price
|
$ | 104.71 | $ | 105.65 | ||||
Weighted Average Structured Purchase Price
|
$ | 11.77 | $ | 9.91 | ||||
Weighted Average Pass Through Current Price
|
$ | 101.87 | $ | 105.81 | ||||
Weighted Average Structured Current Price
|
$ | 13.37 | $ | 7.84 | ||||
Effective Duration (1)
|
4.614 | 1.209 |
(1)
|
Effective duration of 4.614 indicates that an interest rate increase of 1.0% would be expected to cause a 4.614% decrease in the value of the MBS in the Company’s investment portfolio at September 30, 2013. An effective duration of 1.209 indicates that an interest rate increase of 1.0% would be expected to cause a 1.209% decrease in the value of the MBS in the Company’s investment portfolio at December 31, 2012. These figures include the structured securities in the portfolio, but not the effect of the Company’s funding cost hedges.
|
(in thousands)
|
||||||||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||||||
Total
|
Average
|
Average
|
||||||||||||||||||
Outstanding
|
% of
|
Borrowing
|
Amount
|
Maturity
|
||||||||||||||||
Counterparty
|
Balances
|
Total
|
Rate
|
at Risk(1)
|
in Days
|
|||||||||||||||
Citigroup Global Markets, Inc.
|
$ | 124,591 | 41.3 | % | 0.34 | % | $ | 6,924 | 26 | |||||||||||
South Street Securities, LLC
|
49,305 | 16.3 | % | 0.36 | % | 3,182 | 27 | |||||||||||||
CRT Capital Group, LLC
|
28,760 | 9.5 | % | 0.40 | % | 1,677 | 28 | |||||||||||||
The PrinceRidge Group, LLC
|
25,847 | 8.6 | % | 0.39 | % | 1,700 | 25 | |||||||||||||
Mizuho Securities USA, Inc.
|
25,442 | 8.4 | % | 0.46 | % | 2,021 | 26 | |||||||||||||
Suntrust Robinson Humphrey, Inc.
|
24,532 | 8.1 | % | 0.34 | % | 1,328 | 7 | |||||||||||||
Pierpont Securities, LLC
|
10,790 | 3.6 | % | 0.35 | % | 510 | 16 | |||||||||||||
KGS - Alpha Capital Markets, L.P.
|
7,819 | 2.6 | % | 0.35 | % | 579 | 12 | |||||||||||||
Cantor Fitzgerald & Co.
|
4,571 | 1.6 | % | 0.38 | % | 325 | 18 | |||||||||||||
$ | 301,657 | 100.0 | % | 0.37 | % | $ | 18,246 | 24 |
(1)
|
Equal to the fair value of securities sold plus accrued interest receivable and cash posted by the Company as collateral, minus the sum of repurchase agreement liabilities and accrued interest payable.
|
(in thousands)
|
||||||||||||
Average
|
||||||||||||
Weighted
|
Contract
|
|||||||||||
Average
|
Notional
|
Open
|
||||||||||
Expiration Year
|
LIBOR Rate
|
Amount
|
Equity(1)
|
|||||||||
2014
|
0.47 | % | $ | 262,500 | $ | (96 | ) | |||||
2015
|
0.89 | % | 275,000 | 95 | ||||||||
2016
|
1.86 | % | 250,000 | 1,286 | ||||||||
2017
|
2.83 | % | 250,000 | 1,794 | ||||||||
2018
|
3.51 | % | 250,000 | 1,088 | ||||||||
1.95 | % | $ | 4,167 |
(1)
|
Open equity represents the cumulative gains (losses) recorded on open futures positions.
|
Declaration Date
|
Record Date
|
Payment Date
|
Per Share Amount
|
Total
|
||||||
March 8, 2013
|
March 25, 2013
|
March 27, 2013
|
$ | 0.135 | $ | 451,125 | ||||
April 10, 2013
|
April 25, 2013
|
April 30, 2013
|
0.135 | 451,125 | ||||||
May 9, 2013
|
May 28, 2013
|
May 31, 2013
|
0.135 | 451,125 | ||||||
June 10, 2013
|
June 25, 2013
|
June 28, 2013
|
0.135 | 451,125 | ||||||
July 9, 2013
|
July 25, 2013
|
July 31, 2013
|
0.135 | 451,125 | ||||||
August 12, 2013
|
August 26, 2013
|
August 30, 2013
|
0.135 | 451,125 | ||||||
September 10, 2013
|
September 25, 2013
|
September 30, 2013
|
0.135 | 451,125 | ||||||
October 10, 2013
|
October 25, 2013
|
October 31, 2013
|
0.135 | 451,125 |
ORCHID ISLAND CAPITAL, INC.
|
||||||||
BALANCE SHEETS
|
||||||||
(Unaudited - Amounts Subject To Change)
|
||||||||
September 30, 2013
|
December 31, 2012
|
|||||||
ASSETS:
|
||||||||
Total mortgage-backed securities
|
$ | 331,786,933 | $ | 115,379,574 | ||||
Cash, cash equivalents and restricted cash
|
10,481,831 | 2,986,257 | ||||||
Accrued interest receivable
|
1,388,496 | 440,877 | ||||||
Due from affiliates
|
- | 45,126 | ||||||
Receivable for securities sold
|
41,150,840 | - | ||||||
Prepaid expenses and other assets
|
671,733 | 9,122 | ||||||
Total Assets
|
$ | 385,479,833 | $ | 118,860,956 | ||||
LIABILITIES AND STOCKHOLDERS' EQUITY
|
||||||||
Repurchase agreements
|
$ | 301,656,523 | $ | 103,941,174 | ||||
Accrued interest payable
|
77,697 | 54,084 | ||||||
Due to affiliates
|
79,878 | - | ||||||
Payable for unsettled securities purchased
|
38,720,351 | - | ||||||
Accounts payable, accrued expenses and other
|
121,183 | 140,723 | ||||||
Total Liabilities
|
340,655,632 | 104,135,981 | ||||||
Total Stockholders' Equity
|
44,824,201 | 14,724,975 | ||||||
Total Liabilities and Stockholders' Equity
|
$ | 385,479,833 | $ | 118,860,956 | ||||
Common shares outstanding
|
3,341,665 | 154,110 | ||||||
Book value per share
|
$ | 13.41 | $ | 95.55 |
ORCHID ISLAND CAPITAL, INC.
|
||||||||||||||||
STATEMENTS OF OPERATIONS
|
||||||||||||||||
(Unaudited - Amounts Subject to Change)
|
||||||||||||||||
Nine Months Ended September 30,
|
Three Months Ended September 30,
|
|||||||||||||||
2013
|
2012
|
2013
|
2012
|
|||||||||||||
Interest income
|
$ | 6,393,156 | $ | 2,224,749 | $ | 2,551,199 | $ | 696,905 | ||||||||
Interest expense
|
(817,219 | ) | (182,815 | ) | (293,913 | ) | (58,381 | ) | ||||||||
Net interest income
|
5,575,937 | 2,041,934 | 2,257,286 | 638,524 | ||||||||||||
(Losses) gains
|
(6,467,636 | ) | (682,034 | ) | (2,852,987 | ) | 141,428 | |||||||||
Net portfolio (loss) income
|
(891,699 | ) | 1,359,900 | (595,701 | ) | 779,952 | ||||||||||
Expenses
|
1,251,202 | 558,344 | 401,406 | 234,544 | ||||||||||||
Net (loss) income
|
$ | (2,142,901 | ) | $ | 801,556 | $ | (997,107 | ) | $ | 545,408 | ||||||
Basic and diluted net (loss) income per share
|
$ | (0.74 | ) | $ | 0.82 | $ | (0.30 | ) | $ | 0.56 | ||||||
Dividends Declared Per Common Share:
|
$ | 0.945 | $ | - | $ | 0.405 | $ | - |
Three Months Ended
|
||||||||
September 30,
|
||||||||
Key Balance Sheet Metrics
|
2013
|
2012
|
||||||
Average MBS
|
$ | 335,467,426 | $ | 64,378,317 | ||||
Average repurchase agreements
|
305,195,931 | 53,698,246 | ||||||
Average stockholders' equity
|
45,999,442 | 14,513,985 | ||||||
Leverage ratio(1)
|
6.7:1
|
3.8:1
|
||||||
Key Performance Metrics
|
||||||||
Average yield on MBS
|
3.04 | % | 4.33 | % | ||||
Average cost of funds
|
0.39 | % | 0.43 | % | ||||
Average economic cost of funds
|
0.42 | % | 0.64 | % | ||||
Average interest rate spread
|
2.65 | % | 3.90 | % | ||||
Average economic interest rate spread
|
2.62 | % | 3.69 | % |
(1)
|
The leverage ratio is calculated by dividing total ending liabilities by ending stockholders equity. At September 30, 2013, the $38.7 million of payable for unsettled securities purchased has been excluded from total liabilities for this ratio.
|