Orchid Island Capital Announces October 2016 Monthly Dividend and September 30, 2016 RMBS Portfolio Characteristics

  • October 2016 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at September 30, 2016 of $11.21
  • Estimated 7.1% total return on equity for the quarter, or 28.4% annualized
  • RMBS Portfolio Characteristics as of September 30, 2016

VERO BEACH, Fla., Oct. 12, 2016 (GLOBE NEWSWIRE) — Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of October 2016. The dividend of $0.14 per share will be paid October 31, 2016, to holders of record on October 27, 2016, with an ex-dividend date of October 25, 2016.

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 certain percentages 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 October 12, 2016, the Company had 26,252,193 shares outstanding. At June 30, 2016, the Company had 22,430,858 shares outstanding.

Estimated September 30, 2016 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2016 was $11.21. 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 September 30, 2016, the Company’s preliminary estimated total stockholders’ equity was approximately $294.4 million with 26,252,193 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 September 30, 2016 was 7.1%, or 28.4% 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 $0.77 per share, comprised of dividends per share of $0.42 and an increase in book value per share of $0.35 from June 30, 2016.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2016 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 September 30, 2016, 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 in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

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, the expected funding of purchased assets and anticipated borrowings. 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, 2015.

RMBS Valuation Characteristics                            
($ in thousands)                            
                        Percentage Weighted Realized
    Current       Fair     Current     of Average Sep 2016 CPR
Asset Category   Face       Value(1)     Price     Portfolio Coupon (Reported in Oct)
As of September 30, 2016                            
Adjustable Rate RMBS $ 1,953     $ 2,076     106.30       0.08 %   3.46 %   0.66 %
10-1 Hybrid Rate RMBS   46,752       48,764     104.30       1.95 %   2.55 %   18.09 %
Hybrid Adjustable Rate RMBS   46,752       48,764     104.30       1.95 %   2.55 %   18.09 %
15 Year Fixed Rate RMBS   89,028       94,775     106.46       3.79 %   3.28 %   10.54 %
20 Year Fixed Rate RMBS   423,917       465,671     109.85       18.62 %   4.00 %   7.56 %
30 Year Fixed Rate RMBS   1,598,383       1,772,433     110.89       70.85 %   4.34 %   8.14 %
Total Fixed Rate RMBS   2,111,328       2,332,879     110.49       93.26 %   4.23 %   8.12 %
Total Pass-through RMBS   2,160,033       2,383,719     110.36       95.29 %   4.19 %   8.34 %
Interest-Only Securities   549,780       51,174     9.31       2.05 %   3.53 %   19.30 %
Inverse Interest-Only Securities   316,114       66,604     21.07       2.66 %   5.65 %   15.72 %
Structured RMBS   865,894       117,778     13.60       4.71 %   4.73 %   18.22 %
Total Mortgage Assets $ 3,025,927     $ 2,501,497             100.00 %   4.22 %   11.02 %
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 September 30, 2016         As of September 30, 2016      
Fannie Mae $ 1,967,077   78.6 %   Whole Pool Assets $ 2,088,608   83.5 %
Freddie Mac   526,476   21.1 %   Non Whole Pool Assets   412,889   16.5 %
Ginnie Mae   7,944   0.3 %   Total Mortgage Assets $ 2,501,497   100.0 %
Total Mortgage Assets $ 2,501,497   100.0 %          
                     
(1)  Amounts in the tables above include assets with a fair value of approximately $72.5 million purchased in September 2016 which settle in October 2016, and exclude assets with a fair value of $28.3 million sold in September 2016 which settle in October 2016.

Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of September 30, 2016   Borrowings(1)   Debt   in Days Maturity
Citigroup Global Markets Inc $ 270,285     11.8 %   13 10/26/2016
Mitsubishi UFJ Securities (USA), Inc   207,159     9.0 %   15 10/31/2016
ED&F Man Capital Markets Inc   197,813     8.6 %   19 11/3/2016
South Street Securities, LLC   185,800     8.1 %   4 10/19/2016
J.P. Morgan Securities LLC   185,041     8.1 %   16 10/28/2016
RBC Capital Markets, LLC   182,192     7.9 %   12 10/14/2016
Goldman, Sachs & Co   161,739     7.0 %   14 10/20/2016
ICBC Financial Services LLC   143,778     6.3 %   10 10/17/2016
Cantor Fitzgerald & Co   114,312     5.0 %   19 10/24/2016
Daiwa Securities America Inc.   113,005     4.9 %   9 10/12/2016
Wells Fargo Bank, N.A.   101,563     4.4 %   13 10/14/2016
Natixis, New York Branch   97,578     4.2 %   11 10/21/2016
KGS-Alpha Capital Markets, L.P   88,964     3.9 %   19 10/24/2016
Nomura Securities International, Inc.   68,508     3.0 %   14 11/25/2016
Mizuho Securities USA, Inc   55,920     2.4 %   7 10/7/2016
FHLB-Cincinnati   55,397     2.4 %   3 10/3/2016
Guggenheim Securities, LLC   50,985     2.2 %   28 10/28/2016
Morgan Stanley & Co. LLC   14,027     0.6 %   7 10/7/2016
Suntrust Robinson Humphrey, Inc   4,031     0.2 %   14 10/14/2016
Total Borrowings $ 2,298,097     100.0 %   13 11/25/2016
                   
(1) In September 2016, the Company purchased assets with a fair value of approximately $72.5 million which settle in October 2016 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above. In September 2016, the Company also sold assets with a fair value of approximately $28.3 million which settle in October 2016. The table above includes repurchase agreement borrowings of approximately $27.0 million which are collateralized by these sold securities.

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 September 30, 2016                    
Adjustable Rate RMBS $ 2,076 8     10.05 %   2.00 % $   12   $   (12 )
Hybrid Adjustable Rate RMBS   48,764 76     7.55 %   2.00 %     445       (678 )
Total Fixed Rate RMBS   2,332,879 n/a     n/a   n/a     29,393       (42,626 )
Total Pass-through RMBS   2,383,719 n/a     n/a   n/a     29,850       (43,316 )
Interest-Only Securities   51,174 n/a     n/a   n/a     (8,622 )     7,193  
Inverse Interest-Only Securities   66,604 1     6.17 % n/a     1,496       (3,117 )
Structured RMBS   117,778 n/a     n/a   n/a     (7,126 )     4,076  
Total Mortgage Assets $ 2,501,497 n/a     n/a   n/a $   22,724   $   (39,240 )
                     
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 $   200,000   Mar-2019 $   (1,032 ) $   2,500  
Treasury Futures Contracts – Short Positions     185,000   Dec-2026     (8,427 )     6,597  
Payer Swaps           600,000   Feb-2020     (9,743 )     9,743  
TBA Short Positions           146,800   Oct-2016     (1,197 )     2,119  
Grand Total             $   2,325   $   (18,281 )
                             
(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) Treasury futures contracts were valued at a price of $131.13 at September 30, 2016.  The nominal value of the short position was $242.6 million.

 

CONTACT: Contact:

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

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