Market Overview

Orchid Island Capital Announces April 2016 Monthly Dividend and March 31, 2016 RMBS Portfolio Characteristics

Share:
  • April 2016 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at March 31, 2016 of $10.99
  • Estimated (2.0)% total return on equity for the quarter, or (7.9)% annualized
  • RMBS Portfolio Characteristics as of March 31, 2016

VERO BEACH, Fla., April 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 April 2016. The dividend of $0.14 per share will be paid April 29, 2016, to holders of record on April 26, 2016, with an ex-dividend date of April 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 April 13, 2016, the Company had 21,775,356 shares outstanding. At December 31, 2015, the Company had 21,749,490 shares outstanding.

Estimated March 31, 2016 Book Value Per Share

The Company's estimated book value per share as of March 31, 2016 was $10.99.  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 March 31, 2016, the Company's preliminary estimated total stockholders' equity was approximately $239.4 million with 21,772,464 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 March 31, 2016 was (2.0)%, or (7.9)% 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 $(0.23) per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.65 from December 31, 2015.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 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 quarter ended March 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)           
         PercentageWeightedRealized
  Current  Fair Current ofAverageMar 2016 CPR
Asset Category Face  Value(1) Price PortfolioCoupon(Reported in Apr)
As of March 31, 2016           
Adjustable Rate RMBS$2,762 $2,939 106.41   0.15%  3.63% 42.10%
10-1 Hybrid Rate RMBS 50,407  52,043 103.25   2.63%  2.55% 8.78%
Hybrid Adjustable Rate RMBS 50,407  52,043 103.25   2.63%  2.55% 8.78%
15 Year Fixed Rate RMBS 96,058  101,791 105.97   5.15%  3.28% 7.84%
20 Year Fixed Rate RMBS 355,960  384,048 107.89   19.43%  4.00% 5.75%
30 Year Fixed Rate RMBS 1,218,633  1,340,723 110.02   67.81%  4.44% 7.42%
Total Fixed Rate RMBS 1,670,651  1,826,562 109.33   92.39%  4.29% 7.10%
Total Pass-through RMBS 1,723,820  1,881,544 109.15   95.17%  4.24% 7.21%
Interest-Only Securities 519,953  56,607 10.89   2.86%  3.64% 14.84%
Inverse Interest-Only Securities 205,418  38,894 18.93   1.97%  5.91% 15.53%
Structured RMBS 725,371  95,501 13.17   4.83%  4.56% 15.04%
Total Mortgage Assets$2,449,191 $1,977,045     100.00%  4.25% 9.55%



      
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 March 31, 2016    As of March 31, 2016   
Fannie Mae$1,639,521 82.9% Whole Pool Assets$1,532,872 77.5%
Freddie Mac 325,721 16.5% Non Whole Pool Assets 444,173 22.5%
Ginnie Mae 11,803 0.6% Total Mortgage Assets$1,977,045 100.0%
Total Mortgage Assets$1,977,045 100.0%     
           

(1) Amounts in the tables above include assets with a fair value of approximately $21.5 million purchased in March 2016 which settle in April 2016, and exclude assets with a fair value of $132.7 million sold in March 2016 which settle in April 2016.

        
Borrowings By Counterparty       
($ in thousands)       
      Weighted 
    % of Average 
  Total Total MaturityLongest
As of March 31, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$277,382  14.5% 134/29/2016
South Street Securities, LLC 181,318  9.3% 34/15/2016
FHLB-Cincinnati 146,355  7.5% 305/24/2016
Cantor Fitzgerald & Co 122,962  6.3% 214/26/2016
Guggenheim Securities, LLC 121,134  6.2% 275/4/2016
Goldman, Sachs & Co 119,762  6.2% 154/22/2016
Wells Fargo Bank, N.A. 107,871  5.6% 134/18/2016
Daiwa Securities America Inc. 107,374  5.5% 84/11/2016
Natixis, New York Branch 102,588  5.3% 114/20/2016
Mitsubishi UFJ Securities (USA), Inc 97,327  5.0% 184/29/2016
KGS-Alpha Capital Markets, L.P 89,203  4.6% 204/25/2016
Merrill Lynch, Pierce, Fenner & Smith Inc 84,771  4.4% 184/18/2016
Nomura Securities International, Inc. 83,517  4.3% 144/27/2016
Mizuho Securities USA, Inc 68,716  3.5% 164/25/2016
ICBC Financial Services LLC 62,814  3.2% 114/11/2016
J.P. Morgan Securities LLC 61,247  3.2% 165/2/2016
ED&F Man Capital Markets Inc 60,070  3.1% 14/1/2016
RBC Capital Markets, LLC 40,887  2.1% 134/13/2016
Suntrust Robinson Humphrey, Inc 4,191  0.2% 84/8/2016
Total Borrowings$1,939,489  100.0% 155/24/2016
          

(1) In March 2016, the Company purchased assets with a fair value of approximately $21.5 million which settle in April 2016 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above.

           
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 March 31, 2016          
Adjustable Rate RMBS$2,9392  10.04% 2.00%$ 18 $ (17)
Hybrid Adjustable Rate RMBS 52,04382  7.55% 2.00%  702   (909)
Total Fixed Rate RMBS 1,826,562n/a  n/a n/a  26,251   (36,541)
Total Pass-through RMBS 1,881,544n/a  n/a n/a  26,971   (37,467)
Interest-Only Securities 56,607n/a  n/a n/a  (9,821)  8,241 
Inverse Interest-Only Securities 38,8941  6.35%n/a  246   (1,266)
Structured RMBS 95,501n/a  n/a n/a  (9,575)  6,975 
Total Mortgage Assets$1,977,045n/a  n/a n/a$ 17,396 $ (30,492)
           
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$ 160,000 Mar-2019$ (2,066)$ 3,000 
Treasury Futures Contracts - Short Positions  185,000 Jun-2026  (6,718)  8,075 
Payer Swaps     600,000 Feb-2020  (11,841)  11,841 
TBA Short Positions     103,000 Apr-2016  (1,135)  1,665 
Grand Total      $ (4,364)$ (5,911)
               

(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 $130.39 at March 31, 2016.  The nominal value of the short position was $241.2 million.

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

Primary Logo

View Comments and Join the Discussion!