- 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) | ||||||||||||||||||||
| Percentage | Weighted | Realized | ||||||||||||||||||
| Current | Fair | Current | of | Average | Sep 2016 CPR | |||||||||||||||
| Asset Category | Face | Value(1) | Price | Portfolio | Coupon | (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 | |||||||||||
| Fair | of | Fair | of | |||||||||
| 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 | Maturity | Longest | ||||||
| As of September 30, 2016 | Borrowings(1) | Debt | in Days | Maturity | |||||
| Citigroup Global Markets Inc | $ | 270,285 | 11.8 | % | 13 | 10/26/2016 | |||
| Mitsubishi UFJ Securities (USA), Inc | 207,159 | 9.0 | % | 15 | 10/31/2016 | ||||
| ED&F Man Capital Markets Inc | 197,813 | 8.6 | % | 19 | 11/3/2016 | ||||
| South Street Securities, LLC | 185,800 | 8.1 | % | 4 | 10/19/2016 | ||||
| J.P. Morgan Securities LLC | 185,041 | 8.1 | % | 16 | 10/28/2016 | ||||
| RBC Capital Markets, LLC | 182,192 | 7.9 | % | 12 | 10/14/2016 | ||||
| Goldman, Sachs & Co | 161,739 | 7.0 | % | 14 | 10/20/2016 | ||||
| ICBC Financial Services LLC | 143,778 | 6.3 | % | 10 | 10/17/2016 | ||||
| Cantor Fitzgerald & Co | 114,312 | 5.0 | % | 19 | 10/24/2016 | ||||
| Daiwa Securities America Inc. | 113,005 | 4.9 | % | 9 | 10/12/2016 | ||||
| Wells Fargo Bank, N.A. | 101,563 | 4.4 | % | 13 | 10/14/2016 | ||||
| Natixis, New York Branch | 97,578 | 4.2 | % | 11 | 10/21/2016 | ||||
| KGS-Alpha Capital Markets, L.P | 88,964 | 3.9 | % | 19 | 10/24/2016 | ||||
| Nomura Securities International, Inc. | 68,508 | 3.0 | % | 14 | 11/25/2016 | ||||
| Mizuho Securities USA, Inc | 55,920 | 2.4 | % | 7 | 10/7/2016 | ||||
| FHLB-Cincinnati | 55,397 | 2.4 | % | 3 | 10/3/2016 | ||||
| Guggenheim Securities, LLC | 50,985 | 2.2 | % | 28 | 10/28/2016 | ||||
| Morgan Stanley & Co. LLC | 14,027 | 0.6 | % | 7 | 10/7/2016 | ||||
| Suntrust Robinson Humphrey, Inc | 4,031 | 0.2 | % | 14 | 10/14/2016 | ||||
| Total Borrowings | $ | 2,298,097 | 100.0 | % | 13 | 11/25/2016 | |||
| (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 | 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 September 30, 2016 | ||||||||||||||||||
| Adjustable Rate RMBS | $ | 2,076 | 8 | 10.05 | % | 2.00 | % | $ | 12 | $ | (12 | ) | ||||||
| Hybrid Adjustable Rate RMBS | 48,764 | 76 | 7.55 | % | 2.00 | % | 445 | (678 | ) | |||||||||
| Total Fixed Rate RMBS | 2,332,879 | n/a | n/a | n/a | 29,393 | (42,626 | ) | |||||||||||
| Total Pass-through RMBS | 2,383,719 | n/a | n/a | n/a | 29,850 | (43,316 | ) | |||||||||||
| Interest-Only Securities | 51,174 | n/a | n/a | n/a | (8,622 | ) | 7,193 | |||||||||||
| Inverse Interest-Only Securities | 66,604 | 1 | 6.17 | % | n/a | 1,496 | (3,117 | ) | ||||||||||
| Structured RMBS | 117,778 | n/a | n/a | n/a | (7,126 | ) | 4,076 | |||||||||||
| Total Mortgage Assets | $ | 2,501,497 | n/a | n/a | n/a | $ | 22,724 | $ | (39,240 | ) | ||||||||
| 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 | $ | 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. | ||||||||||||||||||