Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q2 2017 Earnings Presentation
30 slides from Orchid Island Capital's earnings presentation, Jul 31, 2017
Slide 1: Q2 2017 Supplemental Materials
8 Q2 2017 Supplemental Materials July 31, 2017
Slide 2: Disclaimers: Forward-Looking Information
Disclaimers Forward-Looking InformationThis presentation contains forward-looking statements and information. Statements that are not historical facts, including statements about our beliefs and expectations, are forward-looking statements. Forward-looking statements include statements preceded by,
Slide 3: GAAP to Non-GAAP Reconciliation
GAAP to Non-GAAP Reconciliation In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including “Net Income Excluding Realized and Unrealized Gains and Losses.”Net Income Excluding Realized and Unrealiz
Slide 4: Table of Contents
Table of Contents Topic Point Financial Highlights for the QuarterMarket DevelopmentsFinancial ResultsMBS Portfolio Characteristics, Credit Counterparties, and Hedge PositionAppendix 5 6 – 1213 – 1819 – 2829 – 30 4 Slide(s)
Slide 5: Financial Highlights for the Quarter Ended June 30, 2017
Financial Highlights for the Quarter Ended June 30, 2017 Earnings per share of $(0.26)Incurred $0.88 loss per share from net realized and unrealized gain/(losses) on MBS and derivative instrumentsEarnings per share of $0.62 excluding realized and unrealized gains/(losses) on MBS and derivative instr
Slide 6: Market Developments
Market Developments 6 SORCHIDISLAND
Slide 7: 10-Year U.S. Treasury Note & U.S. Dollar Swap: Q2 2017
10-Year U.S. Treasury Note & U.S. Dollar Swap: Q2 2017 7 10-Year U.S. Treasury Note: Q2 2017 10-Year U.S. Dollar Swap: Q2 2017 Source: Bloomberg Data
Slide 8: U.S. Treasury Curve: Q2 2017 Performance
U.S. Treasury Curve: Q2 2017 Performance Yield (%) Change (bps) 8 Source: Bloomberg Data
Slide 9: U.S. Dollar Swap Curve: Q2 2017 Performance
U.S. Dollar Swap Curve: Q2 2017 Performance 3Mo 1Yr 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr 3Mo 1Yr 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr 9 Source: Bloomberg Data Tenor
Slide 10: FNCL 4.0 & FNCL 4.5: Q2 2017
FNCL 4.0 & FNCL 4.5: Q2 2017 10 Source: Bloomberg Data
Slide 11: Wells Fargo Production '85k Max' Specified Pool Payup over TBA
Wells Fargo Production ‘85k Max’ Specified Pool Payup over TBA 11 Source: Wells Fargo Securities FNCL ‘85k Max’ 4.0 FNCL ‘85k Max’ 4.5
Slide 12: Wells Fargo 'New Production' Specified Pool Payup over TBA
Wells Fargo ‘New Production’ Specified Pool Payup over TBA 12 Source: Wells Fargo Securities FNCL ‘New Prod’ 4.0 FNCL ‘New Prod’ 4.5
Slide 13: Financial Results
Financial Results 13 SORCHIDISLAND
Slide 14: Financial Results for the Three Months Ended June 30, 2017
Financial Results for the Three Months Ended June 30, 2017 14 ($ in thousands, except per share data) Net Income Excluding Realized and Unrealized Gains and (Losses) Realized and Unrealized Gains/(Losses) Total Interest income $ 34,579 $ - $ 34,579 Interest expense (8,763) - (8,763) Net interest inc
Slide 15: Earnings Per Share as Reported and with Gains/(Losses) Removed
Earnings Per Share (EPS) as Reported and with Gains/(Losses) Removed(1) 15 Source: Company Financials See appendix for supporting data.
Slide 16: MBS Portfolio Roll Forward March 31, 2017 to June 30, 2017
MBS Portfolio Roll Forward March 31, 2017 to June 30, 2017 (in thousands) Portfolio Activity for the Quarter Structured Security Portfolio Pass-Through Interest-Only Inverse Interest Portfolio Securities Only Securities Sub-total Total Market value - March 31, 2017 $ 3,107,660 $ 107,214 $ 47,143 $ 1
Slide 17: MBS Portfolio Capital Allocation at March 31, 2017 and June 30, 2017
MBS Portfolio Capital Allocation at March 31, 2017 and June 30, 2017 ($ in thousands) Capital Allocation Structured Security Portfolio Pass-Through Interest-Only Inverse Interest Portfolio Securities Only Securities Sub-total Total As of June 30, 2017 Market value $ 3,590,424 $ 102,552 $ 44,851 $ 14
Slide 18: MBS Portfolio Returns by Sector for the Quarter Ended June 30, 2017
MBS Portfolio Returns by Sector for the Quarter Ended June 30, 2017 ($ in thousands) Returns for the Quarter Ended June 30, 2017 Structured Security Portfolio Pass-Through Interest-Only Inverse Interest Portfolio Securities Only Securities Sub-total Total Net interest income $ 23,716 $ 843 $ 1,257 $
Slide 19: Portfolio Characteristics, Credit Counterparties & Hedge Position
Portfolio Characteristics, Credit Counterparties & Hedge Position 19
Slide 20: Orchid Island Capital Portfolio Market Value Composition
Orchid Island Capital Portfolio Market Value Composition 20 Source: Company Press Releases
Slide 21: Market Value of Structured Securities (IO & IIO)
Orchid Island Capital Market Value of Structured Securities (IO & IIO) 21 Source: Company Press Releases
Slide 22: Fixed Rate MBS Holdings
Orchid Island Capital Fixed Rate MBS Holdings 22 Source: Company Press Releases
Slide 23: Portfolio Capital Allocation
Orchid Island Capital Portfolio Capital Allocation 23 Source: Company Press Releases
Slide 24: Leverage Ratio History
Orchid Island Capital Leverage Ratio History 24 Total liabilities minus unsettled purchases divided by stockholders equity. Source: Company Press Releases
Slide 25: MBS Portfolio Characteristics as of June 30, 2017
Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2017 MBS Valuation Characteristics (in thousands of $s) Asset Category Current Face FairValue Current Price Percentage of Portfolio Weighted Average Coupon Realized Jun 2017 CPR (Reported in Jul) As of June 30, 2017 Adjustable Rate M
Slide 26: Credit Counterparties
Orchid Island Capital Credit Counterparties ($ in thousands) As of June 30, 2017 Counterparty Total Outstanding Balances % of Total Weighted Average Borrowing Rate Amount at Risk(1) Weighted Average Maturity in Days J.P. Morgan Securities LLC $ 610,851 18.50% 1.32% $ 35,463 12 Wells Fargo Bank, N.A.
Slide 27: Hedge Positions as of June 30, 2017
Orchid Island Capital Hedge Positions as of June 30, 2017 Treasury Note Futures Contracts (Short Position)(2) June 2017 10 year T-Note futures (Jun 2017 - Jun 2027 Hedge Period) $ 465,000 2.06% 2.12% $ 1,582 Open equity represents the cumulative gains (losses) recorded on open futures positions from
Slide 28: Hedge Positions as of June 30, 2017 - continued
Orchid Island Capital Hedge Positions as of June 30, 2017 - continued TBA Positions ($ in thousands) Notional Amount Long (Short)(1) Cost Basis(2) Market Value(3) Net Carrying Value(4) As of June 30, 2017 30-Year TBA securities: 3.00% $ (250,000) $ (251,063) $ (249,628) $ 1,435 4.50% (150,000) (161,
Slide 29: Appendix
Appendix 29 SORCHIDISLAND
Slide 30: Earnings per Share Support Data
Orchid Island Capital Earnings per Share Support Data 30 Source: Company Financials
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