- July 2016 Monthly Dividend of $0.14 Per Share
- Estimated Book Value Per Share at June 30, 2016 of $10.86
- Estimated 2.5% total return on equity for the quarter, or 9.8% annualized
- RMBS Portfolio Characteristics as of June 30, 2016
VERO BEACH, Fla., July 13, 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 July 2016. The dividend of $0.14 per share will be paid July 29, 2016, to holders of record on July 27, 2016, with an ex-dividend date of July 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 July 13, 2016, the Company had 22,781,769 shares outstanding. At March 31, 2016, the Company had 21,772,464 shares outstanding.
Estimated June 30, 2016 Book Value Per Share
The Company’s estimated book value per share as of June 30, 2016 was $10.86. 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, 2016, the Company’s preliminary estimated total stockholders’ equity was approximately $243.7 million with 22,430,858 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, 2016 was 2.5%, or 9.8% 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 $0.27 per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.15 from March 31, 2016.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of June 30, 2016 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended June 30, 2016, are subject to review by the Company’s independent registered public accounting firm.
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 Whole Pool Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2015.
| RMBS Valuation Characteristics | |||||||||||||||
| ($ in thousands) | |||||||||||||||
| Percentage | Weighted | Realized | |||||||||||||
| Current | Fair | Current | of | Average | Jun 2016 CPR | ||||||||||
| Asset Category | Face | Value(1) | Price | Portfolio | Coupon | (Reported in Jul) | |||||||||
| As of June 30, 2016 | |||||||||||||||
| Adjustable Rate RMBS | $ | 1,975 | $ | 2,095 | 106.10 | 0.09 | % | 3.10 | % | 0.69 | % | ||||
| 10-1 Hybrid Rate RMBS | 48,526 | 50,461 | 103.99 | 2.27 | % | 2.55 | % | 7.96 | % | ||||||
| Hybrid Adjustable Rate RMBS | 48,526 | 50,461 | 103.99 | 2.27 | % | 2.55 | % | 7.96 | % | ||||||
| 15 Year Fixed Rate RMBS | 92,806 | 98,856 | 106.52 | 4.45 | % | 3.28 | % | 11.34 | % | ||||||
| 20 Year Fixed Rate RMBS | 420,516 | 458,118 | 108.94 | 20.61 | % | 4.00 | % | 10.55 | % | ||||||
| 30 Year Fixed Rate RMBS | 1,373,367 | 1,521,711 | 110.80 | 68.44 | % | 4.36 | % | 8.06 | % | ||||||
| Total Fixed Rate RMBS | 1,886,689 | 2,078,685 | 110.18 | 93.50 | % | 4.23 | % | 8.78 | % | ||||||
| Total Pass-through RMBS | 1,937,190 | 2,131,241 | 110.02 | 95.86 | % | 4.19 | % | 8.75 | % | ||||||
| Interest-Only Securities | 596,285 | 55,918 | 9.38 | 2.52 | % | 3.56 | % | 17.97 | % | ||||||
| Inverse Interest-Only Securities | 193,122 | 36,098 | 18.69 | 1.62 | % | 5.90 | % | 15.66 | % | ||||||
| Structured RMBS | 789,407 | 92,016 | 11.66 | 4.14 | % | 4.47 | % | 17.37 | % | ||||||
| Total Mortgage Assets | $ | 2,726,597 | $ | 2,223,257 | 100.00 | % | 4.20 | % | 11.15 | % | |||||
| 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, 2016 | As of June 30, 2016 | |||||||||||
| Fannie Mae | $ | 1,793,707 | 80.7 | % | Whole Pool Assets | $ | 1,638,160 | 73.7 | % | |||
| Freddie Mac | 420,006 | 18.9 | % | Non Whole Pool Assets | 585,097 | 26.3 | % | |||||
| Ginnie Mae | 9,544 | 0.4 | % | Total Mortgage Assets | $ | 2,223,257 | 100.0 | % | ||||
| Total Mortgage Assets | $ | 2,223,257 | 100.0 | % | ||||||||
(1) Amounts in the tables above include assets with a fair value of approximately $4.3 million purchased in June 2016 which settle in July 2016.
| Borrowings By Counterparty | |||||||||
| ($ in thousands) | |||||||||
| Weighted | |||||||||
| % of | Average | ||||||||
| Total | Total | Maturity | Longest | ||||||
| As of June 30, 2016 | Borrowings | Debt | in Days | Maturity | |||||
| Citigroup Global Markets Inc | $ | 269,967 | 13.2 | % | 13 | 7/26/2016 | |||
| J.P. Morgan Securities LLC | 216,100 | 10.5 | % | 34 | 8/15/2016 | ||||
| South Street Securities, LLC | 187,788 | 9.1 | % | 3 | 7/18/2016 | ||||
| ICBC Financial Services LLC | 146,010 | 7.1 | % | 11 | 7/18/2016 | ||||
| FHLB-Cincinnati | 139,883 | 6.8 | % | 47 | 9/15/2016 | ||||
| Goldman, Sachs & Co | 128,056 | 6.2 | % | 15 | 7/20/2016 | ||||
| Cantor Fitzgerald & Co | 122,588 | 5.9 | % | 21 | 7/26/2016 | ||||
| Mitsubishi UFJ Securities (USA), Inc | 121,991 | 5.9 | % | 11 | 7/18/2016 | ||||
| Wells Fargo Bank, N.A. | 102,708 | 5.0 | % | 12 | 7/15/2016 | ||||
| Natixis, New York Branch | 101,447 | 4.9 | % | 10 | 7/20/2016 | ||||
| Daiwa Securities America Inc. | 99,205 | 4.8 | % | 8 | 7/11/2016 | ||||
| KGS-Alpha Capital Markets, L.P | 87,506 | 4.2 | % | 20 | 7/25/2016 | ||||
| RBC Capital Markets, LLC | 74,475 | 3.6 | % | 12 | 7/14/2016 | ||||
| Nomura Securities International, Inc. | 70,316 | 3.4 | % | 41 | 8/12/2016 | ||||
| Guggenheim Securities, LLC | 67,113 | 3.3 | % | 54 | 8/29/2016 | ||||
| Mizuho Securities USA, Inc | 64,354 | 3.1 | % | 39 | 8/18/2016 | ||||
| ED&F Man Capital Markets Inc | 57,105 | 2.8 | % | 1 | 7/1/2016 | ||||
| Suntrust Robinson Humphrey, Inc | 4,215 | 0.2 | % | 8 | 7/8/2016 | ||||
| Total Borrowings | $ | 2,060,827 | 100.0 | % | 20 | 9/15/2016 | |||
| 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, 2016 | ||||||||||||||||||
| Adjustable Rate RMBS | $ | 2,095 | 1 | 10.05 | % | 2.00 | % | $ | 7 | $ | (7 | ) | ||||||
| Hybrid Adjustable Rate RMBS | 50,461 | 79 | 7.54 | % | 2.00 | % | 521 | (739 | ) | |||||||||
| Total Fixed Rate RMBS | 2,078,685 | n/a | n/a | n/a | 27,856 | (38,802 | ) | |||||||||||
| Total Pass-through RMBS | 2,131,241 | n/a | n/a | n/a | 28,384 | (39,548 | ) | |||||||||||
| Interest-Only Securities | 55,918 | n/a | n/a | n/a | (9,757 | ) | 8,550 | |||||||||||
| Inverse Interest-Only Securities | 36,098 | 1 | 6.34 | % | n/a | 152 | (942 | ) | ||||||||||
| Structured RMBS | 92,016 | n/a | n/a | n/a | (9,605 | ) | 7,608 | |||||||||||
| Total Mortgage Assets | $ | 2,223,257 | n/a | n/a | n/a | $ | 18,779 | $ | (31,940 | ) | ||||||||
| 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 | $ | (982 | ) | $ | 2,750 | ||||||
| Treasury Futures Contracts – Short Positions | 185,000 | Sep-2026 | (9,318 | ) | 6,318 | |||||||||
| Payer Swaps | 600,000 | Feb-2020 | (10,508 | ) | 10,508 | |||||||||
| TBA Short Positions | 100,000 | Jul-2016 | (737 | ) | 1,375 | |||||||||
| Grand Total | $ | (2,766 | ) | $ | (10,989 | ) | ||||||||
(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 $132.98 at June 30, 2016. The nominal value of the short position was $246.0 million.
CONTACT: Contact: Orchid Island Capital, Inc. Robert E. Cauley 3305 Flamingo Drive, Vero Beach, Florida 32963 Telephone: (772) 231-1400