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Orchid Island Capital Announces July 2015 Monthly Dividend and June 30, 2015 RMBS Portfolio Characteristics

  • July 2015 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at June 30, 2015 of $12.38
  • Estimated 0.4% total return on equity for the quarter, or 1.6% annualized
  • RMBS Portfolio Characteristics as of June 30, 2015

VERO BEACH, Fla., July 10, 2015 (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 2015. The dividend of $0.14 per share will be paid July 31, 2015, to holders of record on July 27, 2015, with an ex-dividend date of July 23, 2015.

Commenting on the dividend adjustment, Robert E. Cauley, Chairman and Chief Executive Officer, said, "The Company today announced a reduction in its monthly dividend rate from $0.18 to $0.14 per share. The reduction was the result of elevated prepayment speeds on mortgages underlying our portfolio. The Company's portfolio is weighted towards premium coupon pass-through, interest only and inverse interest only RMBS, which are highly sensitive to prepayment rates. The $0.14 monthly dividend brings our pay-out rate more closely in line with the premium amortization that we are currently experiencing in the portfolio."

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 10, 2015, the Company had 22,959,817 shares outstanding. At March 31, 2015, the Company had 17,924,383 shares outstanding.

Estimated June 30, 2015 Book Value Per Share

The Company's estimated book value per share as of June 30, 2015 was $12.38. 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, 2015, the Company's preliminary estimated total stockholders' equity was approximately $284.2 million with 22,959,817 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, 2015 was 0.4%, or 1.6% 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 $0.05 per share, comprised of dividends per share of $0.54 and a decrease in book value per share of $0.49 from March 31, 2015.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 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 and six months ended June 30, 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 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 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 Jun 2015 CPR
Asset Category Face Value(1) Price Portfolio Coupon (Reported in Jul)
As of June 30, 2015
Adjustable Rate RMBS $ 3,226 $ 3,456 107.15 0.16% 3.64% 0.22%
10-1 Hybrid Rate RMBS 55,544 56,754 102.18 2.61% 2.56% 7.90%
Hybrid Adjustable Rate RMBS 55,544 56,754 102.18 2.61% 2.56% 7.90%
15 Year Fixed Rate RMBS 74,255 78,434 105.63 3.61% 3.40% 11.72%
20 Year Fixed Rate RMBS 323,601 346,133 106.96 15.92% 4.00% 5.50%
30 Year Fixed Rate RMBS 1,457,655 1,568,802 107.62 72.12% 4.24% 10.62%
Total Fixed Rate RMBS 1,855,511 1,993,369 107.43 91.65% 4.17% 9.77%
Total Pass-through RMBS 1,914,281 2,053,579 107.28 94.42% 4.12% 9.70%
Interest-Only Securities 577,619 78,347 13.56 3.60% 3.62% 17.22%
Inverse Interest-Only Securities 205,433 42,945 20.90 1.98% 6.20% 19.91%
Structured RMBS 783,052 121,292 15.49 5.58% 4.53% 17.83%
Total Mortgage Assets $ 2,697,333 $ 2,174,871 100.00% 4.15% 11.98%
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, 2015 As of June 30, 2015
Fannie Mae $ 1,766,724 81.2% Whole Pool Assets $ 1,731,062 79.6%
Freddie Mac 386,981 17.8% Non Whole Pool Assets 443,809 20.4%
Ginnie Mae 21,166 1.0% Total Mortgage Assets $ 2,174,871 100.0%
Total Mortgage Assets $ 2,174,871 100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $7.6 million purchased in June 2015 which settle in July 2015.
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of June 30, 2015 Borrowings(1) Debt in Days Maturity
J.P. Morgan Securities LLC $ 246,677 12.3% 10 7/13/2015
Citigroup Global Markets Inc 246,642 12.2% 17 9/14/2015
RBC Capital Markets, LLC 154,226 7.7% 18 7/22/2015
ICBC Financial Services LLC 151,271 7.5% 13 7/22/2015
Cantor Fitzgerald & Co 146,785 7.3% 13 7/17/2015
ED&F Man Capital Markets Inc 142,205 7.1% 38 8/24/2015
Mitsubishi UFJ Securities (USA), Inc 138,558 6.9% 20 7/31/2015
Mizuho Securities USA, Inc 116,520 5.8% 13 7/29/2015
KGS-Alpha Capital Markets, L.P 104,460 5.2% 10 7/27/2015
Daiwa Securities America Inc. 100,975 5.0% 10 7/15/2015
Merrill Lynch, Pierce, Fenner & Smith Inc 96,449 4.8% 19 7/29/2015
South Street Securities, LLC 66,963 3.3% 12 7/20/2015
Wells Fargo Bank, N.A. 66,396 3.3% 15 7/15/2015
Goldman, Sachs & Co 54,670 2.7% 79 9/17/2015
Morgan Stanley & Co 54,378 2.7% 7 7/7/2015
CRT Capital Group, LLC 44,844 2.2% 16 7/29/2015
Nomura Securities International, Inc. 34,720 1.7% 9 7/13/2015
Guggenheim Securities, LLC 32,742 1.6% 29 9/2/2015
Barclays Capital Inc 10,128 0.5% 14 7/14/2015
Suntrust Robinson Humphrey, Inc 4,462 0.2% 2 7/2/2015
Total Borrowings $ 2,014,071 100.0% 18 9/17/2015
(1) In June 2015, the Company purchased assets with a fair value of approximately $7.6 million which settle in July 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
RMBS Risk Measures
($ 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, 2015
Adjustable Rate RMBS $ 3,456 1 10.07% 2.00% $ 19 $ (19)
Hybrid Adjustable Rate RMBS 56,754 91 7.56% 2.00% 1,003 (1,196)
Total Fixed Rate RMBS 1,993,369 n/a n/a n/a 37,182 (48,754)
Total Pass-through RMBS 2,053,579 n/a n/a n/a 38,204 (49,969)
Interest-Only Securities 78,347 n/a n/a n/a (12,422) 9,797
Inverse Interest-Only Securities 42,945 1 6.38% n/a 284 (1,817)
Structured RMBS 121,292 n/a n/a n/a (12,138) 7,980
Total Mortgage Assets $ 2,174,871 n/a n/a n/a $ 26,066 $ (41,989)
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 $ 780,000 Mar-2019 $ (15,233) $ 16,875
Treasury Futures Contracts - Short Positions 120,000 Sep-2025 (5,056) 4,645
Payer Swaption 175,000 Sep-2025 (54) 377
Grand Total $ 5,723 $ (20,092)
(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.
(2) Treasury Futures Contracts were valued at 126-05+ at June 30, 2015. The nominal value of the short position was $151.4 million.

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

Source:Orchid Island Capital