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Orchid Island Capital Announces October 2016 Monthly Dividend and September 30, 2016 RMBS Portfolio Characteristics

  • October 2016 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at September 30, 2016 of $11.21
  • Estimated 7.1% total return on equity for the quarter, or 28.4% annualized
  • RMBS Portfolio Characteristics as of September 30, 2016

VERO BEACH, Fla., Oct. 12, 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 October 2016. The dividend of $0.14 per share will be paid October 31, 2016, to holders of record on October 27, 2016, with an ex-dividend date of October 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 October 12, 2016, the Company had 26,252,193 shares outstanding. At June 30, 2016, the Company had 22,430,858 shares outstanding.

Estimated September 30, 2016 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2016 was $11.21. 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 September 30, 2016, the Company's preliminary estimated total stockholders' equity was approximately $294.4 million with 26,252,193 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 September 30, 2016 was 7.1%, or 28.4% 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 $0.77 per share, comprised of dividends per share of $0.42 and an increase in book value per share of $0.35 from June 30, 2016.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 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 September 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, the expected funding of purchased assets and anticipated borrowings. 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)
PercentageWeightedRealized
Current Fair Current ofAverageSep 2016 CPR
Asset Category Face Value(1) Price PortfolioCoupon(Reported in Oct)
As of September 30, 2016
Adjustable Rate RMBS$1,953 $2,076 106.30 0.08% 3.46% 0.66%
10-1 Hybrid Rate RMBS 46,752 48,764 104.30 1.95% 2.55% 18.09%
Hybrid Adjustable Rate RMBS 46,752 48,764 104.30 1.95% 2.55% 18.09%
15 Year Fixed Rate RMBS 89,028 94,775 106.46 3.79% 3.28% 10.54%
20 Year Fixed Rate RMBS 423,917 465,671 109.85 18.62% 4.00% 7.56%
30 Year Fixed Rate RMBS 1,598,383 1,772,433 110.89 70.85% 4.34% 8.14%
Total Fixed Rate RMBS 2,111,328 2,332,879 110.49 93.26% 4.23% 8.12%
Total Pass-through RMBS 2,160,033 2,383,719 110.36 95.29% 4.19% 8.34%
Interest-Only Securities 549,780 51,174 9.31 2.05% 3.53% 19.30%
Inverse Interest-Only Securities 316,114 66,604 21.07 2.66% 5.65% 15.72%
Structured RMBS 865,894 117,778 13.60 4.71% 4.73% 18.22%
Total Mortgage Assets$3,025,927 $2,501,497 100.00% 4.22% 11.02%



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 September 30, 2016 As of September 30, 2016
Fannie Mae$1,967,077 78.6% Whole Pool Assets$2,088,608 83.5%
Freddie Mac 526,476 21.1% Non Whole Pool Assets 412,889 16.5%
Ginnie Mae 7,944 0.3% Total Mortgage Assets$2,501,497 100.0%
Total Mortgage Assets$2,501,497 100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $72.5 million purchased in September 2016 which settle in October 2016, and exclude assets with a fair value of $28.3 million sold in September 2016 which settle in October 2016.


Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of September 30, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$270,285 11.8% 1310/26/2016
Mitsubishi UFJ Securities (USA), Inc 207,159 9.0% 1510/31/2016
ED&F Man Capital Markets Inc 197,813 8.6% 1911/3/2016
South Street Securities, LLC 185,800 8.1% 410/19/2016
J.P. Morgan Securities LLC 185,041 8.1% 1610/28/2016
RBC Capital Markets, LLC 182,192 7.9% 1210/14/2016
Goldman, Sachs & Co 161,739 7.0% 1410/20/2016
ICBC Financial Services LLC 143,778 6.3% 1010/17/2016
Cantor Fitzgerald & Co 114,312 5.0% 1910/24/2016
Daiwa Securities America Inc. 113,005 4.9% 910/12/2016
Wells Fargo Bank, N.A. 101,563 4.4% 1310/14/2016
Natixis, New York Branch 97,578 4.2% 1110/21/2016
KGS-Alpha Capital Markets, L.P 88,964 3.9% 1910/24/2016
Nomura Securities International, Inc. 68,508 3.0% 1411/25/2016
Mizuho Securities USA, Inc 55,920 2.4% 710/7/2016
FHLB-Cincinnati 55,397 2.4% 310/3/2016
Guggenheim Securities, LLC 50,985 2.2% 2810/28/2016
Morgan Stanley & Co. LLC 14,027 0.6% 710/7/2016
Suntrust Robinson Humphrey, Inc 4,031 0.2% 1410/14/2016
Total Borrowings$2,298,097 100.0% 1311/25/2016
(1) In September 2016, the Company purchased assets with a fair value of approximately $72.5 million which settle in October 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In September 2016, the Company also sold assets with a fair value of approximately $28.3 million which settle in October 2016. The table above includes repurchase agreement borrowings of approximately $27.0 million which are collateralized by these sold securities.


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 September 30, 2016
Adjustable Rate RMBS$2,0768 10.05% 2.00%$ 12 $ (12)
Hybrid Adjustable Rate RMBS 48,76476 7.55% 2.00% 445 (678)
Total Fixed Rate RMBS 2,332,879n/a n/a n/a 29,393 (42,626)
Total Pass-through RMBS 2,383,719n/a n/a n/a 29,850 (43,316)
Interest-Only Securities 51,174n/a n/a n/a (8,622) 7,193
Inverse Interest-Only Securities 66,6041 6.17%n/a 1,496 (3,117)
Structured RMBS 117,778n/a n/a n/a (7,126) 4,076
Total Mortgage Assets$2,501,497n/a n/a n/a$ 22,724 $ (39,240)
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$ (1,032)$ 2,500
Treasury Futures Contracts - Short Positions 185,000 Dec-2026 (8,427) 6,597
Payer Swaps 600,000 Feb-2020 (9,743) 9,743
TBA Short Positions 146,800 Oct-2016 (1,197) 2,119
Grand Total $ 2,325 $ (18,281)
(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 $131.13 at September 30, 2016. The nominal value of the short position was $242.6 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.