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Orchid Island Capital Announces July 2016 Monthly Dividend and June 30, 2016 Rmbs Portfolio Characteristics

  • 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 FairCurrent ofAverageJun 2016 CPR
Asset Category Face Value(1)PricePortfolioCoupon(Reported in Jul)
As of June 30, 2016
Adjustable Rate RMBS$1,975 $2,095106.10 0.09% 3.10% 0.69%
10-1 Hybrid Rate RMBS 48,526 50,461103.99 2.27% 2.55% 7.96%
Hybrid Adjustable Rate RMBS 48,526 50,461103.99 2.27% 2.55% 7.96%
15 Year Fixed Rate RMBS 92,806 98,856106.52 4.45% 3.28% 11.34%
20 Year Fixed Rate RMBS 420,516 458,118108.94 20.61% 4.00% 10.55%
30 Year Fixed Rate RMBS 1,373,367 1,521,711110.80 68.44% 4.36% 8.06%
Total Fixed Rate RMBS 1,886,689 2,078,685110.18 93.50% 4.23% 8.78%
Total Pass-through RMBS 1,937,190 2,131,241110.02 95.86% 4.19% 8.75%
Interest-Only Securities 596,285 55,9189.38 2.52% 3.56% 17.97%
Inverse Interest-Only Securities 193,122 36,09818.69 1.62% 5.90% 15.66%
Structured RMBS 789,407 92,01611.66 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
Fairof Fairof
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 MaturityLongest
As of June 30, 2016 Borrowings Debt in DaysMaturity
Citigroup Global Markets Inc$269,967 13.2% 137/26/2016
J.P. Morgan Securities LLC 216,100 10.5% 348/15/2016
South Street Securities, LLC 187,788 9.1% 37/18/2016
ICBC Financial Services LLC 146,010 7.1% 117/18/2016
FHLB-Cincinnati 139,883 6.8% 479/15/2016
Goldman, Sachs & Co 128,056 6.2% 157/20/2016
Cantor Fitzgerald & Co 122,588 5.9% 217/26/2016
Mitsubishi UFJ Securities (USA), Inc 121,991 5.9% 117/18/2016
Wells Fargo Bank, N.A. 102,708 5.0% 127/15/2016
Natixis, New York Branch 101,447 4.9% 107/20/2016
Daiwa Securities America Inc. 99,205 4.8% 87/11/2016
KGS-Alpha Capital Markets, L.P 87,506 4.2% 207/25/2016
RBC Capital Markets, LLC 74,475 3.6% 127/14/2016
Nomura Securities International, Inc. 70,316 3.4% 418/12/2016
Guggenheim Securities, LLC 67,113 3.3% 548/29/2016
Mizuho Securities USA, Inc 64,354 3.1% 398/18/2016
ED&F Man Capital Markets Inc 57,105 2.8% 17/1/2016
Suntrust Robinson Humphrey, Inc 4,215 0.2% 87/8/2016
Total Borrowings$2,060,827 100.0% 209/15/2016


RMBS Risk Measures
($ in thousands)
Mortgage Assets
Weighted
Average WeightedWeighted Modeled Modeled
Months AverageAverage Interest Interest
To Next LifetimePeriodic Rate Rate
FairCoupon Reset CapCap 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$2,0951 10.05% 2.00%$ 7 $ (7)
Hybrid Adjustable Rate RMBS 50,46179 7.54% 2.00% 521 (739)
Total Fixed Rate RMBS 2,078,685n/a n/an/a 27,856 (38,802)
Total Pass-through RMBS 2,131,241n/a n/an/a 28,384 (39,548)
Interest-Only Securities 55,918n/a n/an/a (9,757) 8,550
Inverse Interest-Only Securities 36,0981 6.34%n/a 152 (942)
Structured RMBS 92,016n/a n/an/a (9,605) 7,608
Total Mortgage Assets$2,223,257n/a n/an/a$ 18,779 $ (31,940)


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 $200,000 Mar-2019 $ (982)$ 2,750
Treasury Futures Contracts - Short Positions 185,000Sep-2026 (9,318) 6,318
Payer Swaps 600,000Feb-2020 (10,508) 10,508
TBA Short Positions 100,000Jul-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: Orchid Island Capital, Inc. Robert E. Cauley 3305 Flamingo Drive, Vero Beach, Florida 32963 Telephone: (772) 231-1400

Source:Orchid Island Capital Inc.