×

Orchid Island Capital Announces April 2015 Monthly Dividend and March 31, 2015 RMBS Portfolio Characteristics

  • April 2015 Monthly Dividend of $0.18 Per Share
  • Estimated Book Value Per Share at March 31, 2015 of $12.87
  • Estimated 2.7% total return on equity for the quarter, or 10.7% annualized
  • RMBS Portfolio Characteristics as of March 31, 2015

VERO BEACH, Fla., April 9, 2015 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of April 2015. The dividend of $0.18 per share will be paid April 30, 2015, to holders of record on April 27, 2015, with an ex-dividend date of April 23, 2015.

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 April 9, 2015, the Company had 18,321,179 shares outstanding. At December 31, 2014, the Company had 16,699,656 shares outstanding.

Estimated March 31, 2015 Book Value Per Share

The Company's estimated book value per share as of March 31, 2015 was $12.87. 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 March 31, 2015, the Company's preliminary estimated total stockholders' equity was approximately $230.7 million with 17,924,383 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 March 31, 2015 was 2.7%, or 10.7% 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 $0.35 per share, comprised of dividends per share of $0.54 and a decrease in book value per share of $0.19 from December 31, 2014.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 2015 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 March 31, 2015, are subject to review by the Company's independent registered public accounting firm.

  • 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 real estate investment trust 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 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, 2014.

RMBS Valuation Characteristics
($ in thousands)
Percentage Weighted Realized
Current Fair Current of Average Mar 2015 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Apr)
As of March 31, 2015
Adjustable Rate RMBS $ 3,502 $ 3,755 107.20 0.22% 3.55% 45.06%
10-1 Hybrid Rate RMBS 67,659 69,619 102.90 4.15% 2.54% 10.48%
Hybrid Adjustable Rate RMBS 67,659 69,619 102.90 4.15% 2.54% 10.48%
15 Year Fixed Rate RMBS 76,492 81,774 106.90 4.88% 3.40% 3.60%
20 Year Fixed Rate RMBS 346,801 374,505 107.99 22.34% 4.00% 9.07%
30 Year Fixed Rate RMBS 966,821 1,066,554 110.32 63.61% 4.55% 15.43%
Total Fixed Rate RMBS 1,390,114 1,522,833 109.55 90.83% 4.36% 13.30%
Total Pass-through RMBS 1,461,275 1,596,207 109.23 95.20% 4.27% 13.24%
Interest-Only Securities 543,829 65,232 11.99 3.89% 3.67% 19.18%
Inverse Interest-Only Securities 97,249 15,182 15.61 0.91% 6.21% 20.94%
Structured RMBS 641,078 80,414 12.54 4.80% 4.15% 19.48%
Total Mortgage Assets $ 2,102,353 $ 1,676,621 100.00% 4.27% 15.15%
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 Portfolio Asset Category Value Portfolio
As of March 31, 2015 As of March 31, 2015
Fannie Mae $ 1,330,628 79.4% Whole Pool Assets $ 1,219,361 72.7%
Freddie Mac 331,574 19.7% Non Whole Pool Assets 457,260 27.3%
Ginnie Mae 14,419 0.9% Total Mortgage Assets $ 1,676,621 100.0%
Total Mortgage Assets $ 1,676,621 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of March 31, 2015 Borrowings Debt in Days Maturity
J.P. Morgan Securities LLC $ 197,537 13.7% 10 4/14/2015
Citigroup Global Markets Inc 189,239 13.0% 23 5/28/2015
Mitsubishi UFJ Securities (USA), Inc 139,712 9.6% 18 5/8/2015
CRT Capital Group, LLC 135,590 9.3% 20 4/27/2015
ICBC Financial Services LLC 124,600 8.5% 14 4/22/2015
Goldman, Sachs & Co 122,498 8.4% 75 6/17/2015
KGS-Alpha Capital Markets, L.P 108,031 7.4% 15 4/27/2015
ED&F Man Capital Markets Inc 83,663 5.7% 23 6/24/2015
Cantor Fitzgerald & Co 75,043 5.1% 11 4/17/2015
Morgan Stanley & Co 57,444 3.9% 20 4/20/2015
Mizuho Securities USA, Inc 54,587 3.7% 12 4/27/2015
Daiwa Securities America Inc. 49,598 3.4% 11 4/13/2015
Guggenheim Securities, LLC 49,491 3.4% 29 5/18/2015
South Street Securities, LLC 36,611 2.5% 32 5/27/2015
Nomura Securities International, Inc. 31,359 2.1% 18 4/30/2015
Suntrust Robinson Humphrey, Inc 4,487 0.3% 10 4/10/2015
Total Borrowings $ 1,459,490 100.0% 22 6/24/2015
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 March 31, 2015
Adjustable Rate RMBS $ 3,755 2 10.05% 2.00% $ 20 $ (22)
Hybrid Adjustable Rate RMBS 69,619 95 7.54% 2.00% 995 (1,308)
Total Fixed Rate RMBS 1,522,833 n/a n/a n/a 20,231 (26,187)
Total Pass-through RMBS 1,596,207 n/a n/a n/a 21,246 (27,517)
Interest-Only Securities 65,232 n/a n/a n/a (13,177) 12,011
Inverse Interest-Only Securities 15,182 1 6.39% n/a (833) 309
Structured RMBS 80,414 n/a n/a n/a (14,010) 12,320
Total Mortgage Assets $ 1,676,621 n/a n/a n/a $ 7,236 $ (15,197)
Funding Hedges
Modeled Modeled
Interest Interest
Average Hedge Rate Rate
Notional Period Sensitivity Sensitivity
Balance End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions $ 780,000 Dec-2018 $ (13,049) $ 14,625
Payer Swaption 375,000 Sep-2025 (100) 595
Grand Total $ (5,913) $ 23
(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 OAS. These results are for illustrative purposes only and actual results may differ materially.

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

Source:Orchid Island Capital