11/01/2017 21:50:00

Orchid Island Capital Announces January 2017 Monthly Dividend and December 31, 2016 RMBS Portfolio Characteristics

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  • January 2017 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at December 31, 2016 of $10.09
  • Estimated (6.2)% total return on equity for the quarter ended December 31, 2016, or (25.0)% annualized
  • Estimated 1.1% total return for the year ended December 31, 2016
  • RMBS Portfolio Characteristics as of December 31, 2016

VERO BEACH, Fla., Jan. 11, 2017 (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 January 2017. The dividend of $0.14 per share will be paid February 10, 2017, to holders of record on January 31, 2017, with an ex-dividend date of January 27, 2017.

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 a certain percentage 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 January 11, 2017, the Company had 32,962,919 shares outstanding. At September 30, 2016, the Company had 26,252,193 shares outstanding.

Estimated December 31, 2016 Book Value Per Share

The Company’s estimated book value per share as of December 31, 2016 was $10.09.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2016, the Company's preliminary estimated total stockholders' equity was approximately $332.8 million with 32,962,919 common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to audit 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 December 31, 2016 was (6.2)%, or (25.0)% 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 $(0.70) per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $1.12 from September 30, 2016.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 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 year ended December 31, 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

 

 

Fair

 

Current

 

of

 

Average

 

Dec 2016 CPR

Asset Category

 

 

Face

 

 

Value

 

Price

 

Portfolio

 

Coupon

 

(Reported in Jan)

As of December 31, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Adjustable Rate RMBS

 $1,931 $2,062 106.79 0.07% 3.50% 0.06%
10-1 Hybrid Rate RMBS  44,435  45,459 102.30 1.50% 2.55% 17.86%

Hybrid Adjustable Rate RMBS

  44,435  45,459 102.30 1.50% 2.55% 17.86%
15 Year Fixed Rate RMBS  84,574  87,981 104.03 2.91% 3.28% 12.19%
20 Year Fixed Rate RMBS  406,357  435,238 107.11 14.40% 4.00% 9.14%
30 Year Fixed Rate RMBS  2,145,347  2,303,475 107.37 76.22% 4.29% 7.98%

Total Fixed Rate RMBS

  2,636,278  2,826,694 107.22 93.53% 4.21% 8.29%

Total Pass-through RMBS

  2,682,644  2,874,215 107.14 95.10% 4.19% 8.44%
Interest-Only Securities  575,377  69,726 12.12 2.31% 3.59% 17.53%
Inverse Interest-Only Securities  379,613  78,233 20.61 2.59% 5.40% 15.98%

Structured RMBS

  954,990  147,959 15.49 4.90% 4.55% 16.91%

Total Mortgage Assets

 $3,637,634 $3,022,174   100.00% 4.20% 10.67%
                  

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 December 31, 2016

 

 

 

 

 

 

As of December 31, 2016

 

 

 

 

 

Fannie Mae $2,260,402 74.8% Whole Pool Assets $2,411,766 79.8%
Freddie Mac  751,987 24.9% Non Whole Pool Assets  610,408 20.2%
Ginnie Mae  9,785 0.3% Total Mortgage Assets $3,022,174 100.0%
Total Mortgage Assets $3,022,174 100.0%       
              

Borrowings By Counterparty

         

($ in thousands)

         

 

      

Weighted

 

 

 

  

 

 

% of

 

Average

 

 

 

  

Total

 

Total

 

Maturity

 

Longest

As of December 31, 2016

  

Borrowings

 

Debt

 

in Days

 

Maturity

Citigroup Global Markets Inc $292,833 10.6% 10 1/26/2017
J.P. Morgan Securities LLC  287,239 10.3% 26 2/17/2017
Cantor Fitzgerald & Co  250,000 8.9% 26 2/13/2017
Wells Fargo Bank, N.A.  242,554 8.7% 10 1/12/2017
Mitsubishi UFJ Securities (USA), Inc  235,913 8.4% 36 2/14/2017
RBC Capital Markets, LLC  230,187 8.2% 19 1/18/2017
South Street Securities, LLC  175,201 6.3% 7 1/20/2017
ICBC Financial Services LLC  165,927 5.9% 18 1/30/2017
ED&F Man Capital Markets Inc  158,763 5.7% 34 2/13/2017
Guggenheim Securities, LLC  150,400 5.4% 60 3/14/2017
KGS-Alpha Capital Markets, L.P  148,808 5.3% 47 3/16/2017
Goldman, Sachs & Co  134,670 4.8% 16 2/17/2017
Daiwa Securities America Inc.  107,651 3.9% 11 1/13/2017
Natixis, New York Branch  90,050 3.2% 10 1/20/2017
Mizuho Securities USA, Inc  52,574 1.9% 13 1/12/2017
FHLB-Cincinnati  51,907 1.9% 4 1/3/2017
Nomura Securities International, Inc.  15,238 0.5% 89 3/29/2017
Suntrust Robinson Humphrey, Inc  3,790 0.1% 7 1/6/2017
Total Borrowings $2,793,705 100.0% 23 3/29/2017
           

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 December 31, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Adjustable Rate RMBS $2,062 6  10.05% 2.00% $11  $(10)
Hybrid Adjustable Rate RMBS  45,459 73  7.55% 2.00%  729   (811)
Total Fixed Rate RMBS  2,826,694 n/a  n/an/a 62,865   (73,259)
Total Pass-through RMBS  2,874,215 n/a  n/an/a 63,605   (74,080)
Interest-Only Securities  69,726 n/a  n/an/a (6,902)  5,232 
Inverse Interest-Only Securities  78,233 1  6.14% n/a 5,054   (6,376)
Structured RMBS  147,959 n/a  n/an/a (1,848)  (1,144)
Total Mortgage Assets $3,022,174 n/a  n/an/a$61,757  $(75,224)
              

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 $643,750  Dec-2020$(11,534) $12,875 
Treasury Futures Contracts - Short Positions  465,000  Mar-2027 (18,208)  17,174 
Payer Swaps  700,000  Dec-2021 (10,655)  10,655 
TBA Short Positions  200,000  Jan-2017 (4,823)  5,851 
Total Hedges       (45,220)  46,555 
Grand Total         $16,537  $(28,669)
                 

(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 $124.28 at December 31, 2016.  The nominal value of the short position was $577.9 million.

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400

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