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Orchid Island Capital Announces January 2016 Monthly Dividend and December 31, 2015 RMBS Portfolio Characteristics

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  • January 2016 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at December 31, 2015 of $11.64
  • Estimated 3.2% total return on equity for the quarter, or 12.7% annualized
  • RMBS Portfolio Characteristics as of December 31, 2015
  • 1,216,243 cumulative shares repurchased through stock repurchase program

VERO BEACH, Fla., Jan. 11, 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 January 2016. The dividend of $0.14 per share will be paid January 29, 2016, to holders of record on January 26, 2016, with an ex-dividend date of January 22, 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 January 11, 2016, the Company had 21,749,490 shares outstanding. At September 30, 2015, the Company had 21,892,773 shares outstanding.

Estimated December 31, 2015 Book Value Per Share

The Company's estimated book value per share as of December 31, 2015 was $11.64.  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 December 31, 2015, the Company's preliminary estimated total stockholders' equity was approximately $253.3 million with 21,749,490 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 December 31, 2015 was 3.2%, or 12.7% 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 $0.37 per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.05 from September 30, 2015.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 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 December 31, 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
  • Borrowings 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, 2015.

RMBS Valuation Characteristics        
($ in thousands)        
      PercentageWeightedRealized
  Current FairCurrentofAverageDec 2015 CPR
Asset Category Face ValuePricePortfolioCoupon(Reported in Jan)
As of December 31, 2015        
Adjustable Rate RMBS$2,791$2,976106.64 0.14% 3.63% 0.45%
10-1 Hybrid Rate RMBS 51,297 52,238101.83 2.42% 2.55% 2.02%
Hybrid Adjustable Rate RMBS 51,297 52,238101.83 2.42% 2.55% 2.02%
15 Year Fixed Rate RMBS 99,030 103,534104.55 4.80% 3.28% 5.69%
20 Year Fixed Rate RMBS 438,687 468,564106.81 21.71% 4.00% 4.15%
30 Year Fixed Rate RMBS 1,319,596 1,428,525108.25 66.20% 4.36% 6.64%
Total Fixed Rate RMBS 1,857,313 2,000,623107.72 92.71% 4.22% 6.00%
Total Pass-through RMBS 1,911,401 2,055,837107.56 95.27% 4.18% 5.89%
Interest-Only Securities 504,758 61,57412.20 2.85% 3.58% 13.36%
Inverse Interest-Only Securities 216,114 40,59918.79 1.88% 5.97% 14.84%
Structured RMBS 720,872 102,17314.17 4.73% 4.53% 13.80%
Total Mortgage Assets$2,632,273$2,158,010  100.00% 4.19% 8.06%



RMBS Assets by Agency    Investment Company Act of 1940 (Whole Pool) Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of December 31, 2015    As of December 31, 2015   
Fannie Mae$1,747,699 81.0% Whole Pool Assets$1,654,742 76.7%
Freddie Mac 394,256 18.3% Non Whole Pool Assets 503,268 23.3%
Ginnie Mae 16,055 0.7% Total Mortgage Assets$2,158,010 100.0%
Total Mortgage Assets$2,158,010 100.0%     



Borrowings By Counterparty       
($ in thousands)       
      Weighted 
    % of Average 
  Total Total MaturityLongest
As of December 31, 2015 Borrowings Debt in DaysMaturity
Citigroup Global Markets Inc$185,107  9.4% 142/12/2016
Federal Home Loan Bank of Cincinnati 183,750  9.3% 231/23/2016
South Street Securities, LLC 156,375  7.9% 281/28/2016
Wells Fargo Bank, N.A. 130,331  6.6% 111/13/2016
Cantor Fitzgerald & Co 128,751  6.5% 201/27/2016
ED&F Man Capital Markets Inc 127,285  6.4% 191/25/2016
ICBC Financial Services LLC 125,437  6.3% 121/12/2016
Mizuho Securities USA, Inc 119,092  6.0% 131/25/2016
KGS-Alpha Capital Markets, L.P 117,395  5.9% 131/22/2016
Mitsubishi UFJ Securities (USA), Inc 113,021  5.7% 181/29/2016
J.P. Morgan Securities LLC 108,145  5.5% 142/2/2016
Daiwa Securities America Inc. 99,292  5.0% 91/11/2016
RBC Capital Markets, LLC 93,582  4.7% 131/22/2016
Natixis, New York Branch 86,180  4.3% 101/22/2016
Guggenheim Securities, LLC 83,913  4.2% 171/29/2016
Merrill Lynch, Pierce, Fenner & Smith Inc 81,284  4.1% 151/15/2016
Nomura Securities International, Inc. 39,422  2.0% 131/13/2016
Suntrust Robinson Humphrey, Inc 4,201  0.2% 151/15/2016
Total Borrowings$1,982,563  100.0% 162/12/2016



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 December 31, 2015          
Adjustable Rate RMBS$2,9764 10.04%2.00%$18 $(16)
Hybrid Adjustable Rate RMBS 52,23885 7.55%2.00% 880  (1,012)
Total Fixed Rate RMBS 2,000,623n/a n/a n/a  32,110  (42,585)
Total Pass-through RMBS 2,055,837n/a n/a n/a  33,008  (43,613)
Interest-Only Securities 61,574n/a n/a n/a  (10,394) 8,592 
Inverse Interest-Only Securities 40,5991 6.36%n/a  902  (1,776)
Structured RMBS 102,173n/a n/a n/a  (9,492) 6,816 
Total Mortgage Assets$2,158,010n/a n/a n/a $23,516 $(36,797)
           
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$780,000 Mar-2019$(13,189)$14,625 
Treasury Futures Contracts - Short Positions 185,000 Mar-2026 (7,518) 7,136 
Receiver Swaption    100,000 May-2021 1,615  (563)
Grand Total      $4,424 $(15,599)
             
(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 125.91 at December 31, 2015.  The nominal value of the short position was $232.93 million.

 

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

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