Orchid Island Capital Announces January 2017 Monthly Dividend and December 31, 2016 RMBS Portfolio Characteristics

GlobeNewswire |
  • Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at of $10.09
  • Estimated (6.2)% total return on equity for the quarter ended , or (25.0)% annualized
  • Estimated 1.1% total return for the year ended
  • RMBS Portfolio Characteristics as of

VERO BEACH, Fla., (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 . The dividend of $0.14 per share will be paid , to holders of record on , with an ex-dividend date of .

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 a certain percentage 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 , the Company had 32,962,919 shares outstanding. At , the Company had 26,252,193 shares outstanding.

Estimated Book Value Per Share

The Company’s estimated book value per share as of was $10.09.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At , the Company's preliminary estimated total stockholders' equity was approximately $332.8 million with 32,962,919 common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to audit 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 was (6.2)%, or (25.0)% 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 $(0.70) per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $1.12 from .

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of 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 year ended , 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 .

RMBS Valuation Characteristics            
($ in thousands)            
          Percentage
 Weighted
 Realized
   Current  Fair Current of
 Average
  CPR
Asset Category  Face  Value Price Portfolio
 Coupon
 (Reported in Jan)
As of           
  
  
Adjustable Rate RMBS $1,931 $2,062 106.79 0.07% 3.50% 0.06%
10-1 Hybrid Rate RMBS  44,435  45,459 102.30 1.50% 2.55% 17.86%
Hybrid Adjustable Rate RMBS  44,435  45,459 102.30 1.50% 2.55% 17.86%
15 Year Fixed Rate RMBS  84,574  87,981 104.03 2.91% 3.28% 12.19%
20 Year Fixed Rate RMBS  406,357  435,238 107.11 14.40% 4.00% 9.14%
30 Year Fixed Rate RMBS  2,145,347  2,303,475 107.37 76.22% 4.29% 7.98%
Total Fixed Rate RMBS  2,636,278  2,826,694 107.22 93.53% 4.21% 8.29%
Total Pass-through RMBS  2,682,644  2,874,215 107.14 95.10% 4.19% 8.44%
Interest-Only Securities  575,377  69,726 12.12 2.31% 3.59% 17.53%
Inverse Interest-Only Securities  379,613  78,233 20.61 2.59% 5.40% 15.98%
Structured RMBS  954,990  147,959 15.49 4.90% 4.55% 16.91%
Total Mortgage Assets $3,637,634 $3,022,174   100.00% 4.20% 10.67%
                  


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 Portfolio Asset Category  Value Portfolio
As of       As of      
Fannie Mae $2,260,402 74.8% Whole Pool Assets $2,411,766 79.8%
Freddie Mac  751,987 24.9% Non Whole Pool Assets  610,408 20.2%
Ginnie Mae  9,785 0.3% Total Mortgage Assets $3,022,174 100.0%
Total Mortgage Assets $3,022,174 100.0%       
              




Borrowings By Counterparty         
($ in thousands)         
       Weighted  
     % of Average  
   Total Total Maturity Longest
As of   Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $292,833 10.6% 10 
J.P. Morgan Securities LLC  287,239 10.3% 26 
Cantor Fitzgerald & Co  250,000 8.9% 26 
Wells Fargo Bank, N.A.  242,554 8.7% 10 
Mitsubishi UFJ Securities (USA), Inc  235,913 8.4% 36 
RBC Capital Markets, LLC  230,187 8.2% 19 
South Street Securities, LLC  175,201 6.3% 7 
ICBC Financial Services LLC  165,927 5.9% 18 
ED&F Man Capital Markets Inc  158,763 5.7% 34 
Guggenheim Securities, LLC  150,400 5.4% 60 
KGS-Alpha Capital Markets, L.P  148,808 5.3% 47 
Goldman, Sachs & Co  134,670 4.8% 16 
Daiwa Securities America Inc.  107,651 3.9% 11 
Natixis, New York Branch  90,050 3.2% 10 
Mizuho Securities USA, Inc  52,574 1.9% 13 
FHLB-Cincinnati  51,907 1.9% 4 
Nomura Securities International, Inc.  15,238 0.5% 89 
Suntrust Robinson Humphrey, Inc  3,790 0.1% 7 
Total Borrowings $2,793,705 100.0% 23 
           


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         
  
   
   
Adjustable Rate RMBS $2,062 6  10.05% 2.00% $11  $(10)
Hybrid Adjustable Rate RMBS  45,459 73  7.55% 2.00%  729   (811)
Total Fixed Rate RMBS  2,826,694 n/a  n/an/a 62,865   (73,259)
Total Pass-through RMBS  2,874,215 n/a  n/an/a 63,605   (74,080)
Interest-Only Securities  69,726 n/a  n/an/a (6,902)  5,232 
Inverse Interest-Only Securities  78,233 1  6.14% n/a 5,054   (6,376)
Structured RMBS  147,959 n/a  n/an/a (1,848)  (1,144)
Total Mortgage Assets $3,022,174 n/a  n/an/a$61,757  $(75,224)
              
Funding Hedges             
           Modeled
  Modeled
           Interest
  Interest
        AverageHedge Rate
  Rate
        NotionalPeriod Sensitivity
  Sensitivity
        Balance(2)End Date (-50 BPS)(1)
  (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions $643,750  Dec-2020$(11,534) $12,875 
Treasury Futures Contracts - Short Positions  465,000  Mar-2027 (18,208)  17,174 
Payer Swaps  700,000  Dec-2021 (10,655)  10,655 
TBA Short Positions  200,000  Jan-2017 (4,823)  5,851 
Total Hedges       (45,220)  46,555 
Grand Total         $16,537  $(28,669)
                 

(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 $124.28 at .  The nominal value of the short position was $577.9 million.

Contact:

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

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Source: Orchid Island Capital Inc.

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