Market Overview

Orchid Island Capital Announces July 2017 Monthly Dividend and June 30, 2017 RMBS Portfolio Characteristics

Share:
  • July 2017 Monthly Dividend of $0.14 Per Share
  • Estimated Book Value Per Share at June 30, 2017 of $9.23
  • Estimated $(0.86) per share realized and unrealized losses on RMBS and derivative instruments
  • Estimated GAAP net loss of $0.26 per share, which includes the estimated $(0.86) per share of realized and unrealized losses on RMBS and derivative instruments
  • Estimated (1.0)% total return on equity for the quarter, or (4.1)% annualized
  • RMBS Portfolio Characteristics as of June 30, 2017

VERO BEACH, Fla., July 12, 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 July 2017. The dividend of $0.14 per share will be paid August 10, 2017 to holders of record on July 31, 2017, with an ex-dividend date of July 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 July 12, 2017, the Company had 45,303,821 shares outstanding. At March 31, 2017, the Company had 34,270,126 shares outstanding.

Estimated June 30, 2017 Book Value Per Share

The Company's estimated book value per share as of June 30, 2017 was $9.23.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2017, the Company's preliminary estimated total stockholders' equity was approximately $418.2 million with 45,299,812 shares of common stock 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 Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.26, which includes ($0.86) per share of realized and unrealized gains and losses on RMBS and derivative instruments for the quarter ended June 30, 2017.  These figures compare to three monthly dividends declared during the quarter of $0.14, for a total of $0.42 declared during the quarter.  Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income.  The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer term estimate of the REIT taxable income of the Company. These figures 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 June 30, 2017 was (1.0)%, or (4.1)% 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 $(0.10) per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.52 from March 31, 2017.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 2017 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 June 30, 2017, 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 and 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, 2016.


RMBS Valuation Characteristics                      
($ in thousands)                      
                  Percentage Weighted Realized
    Current     Fair     Current of Average Jun 2017 CPR
Asset Category   Face     Value(1)     Price Portfolio Coupon (Reported in Jul)
As of June 30, 2017                      
Adjustable Rate RMBS $ 1,814   $ 1,929   $ 106.34 0.05 % 3.52 % 0.09 %
10-1 Hybrid Rate RMBS   41,839     42,881     102.49 1.15 % 2.55 % 0.84 %
Hybrid Adjustable Rate RMBS   41,839     42,881     102.49 1.15 % 2.55 % 0.84 %
15 Year Fixed Rate RMBS   42,907     45,049     104.99 1.21 % 3.50 % 11.80 %
20 Year Fixed Rate RMBS   212,874     226,258     106.29 6.05 % 4.00 % 4.16 %
30 Year Fixed Rate RMBS   3,034,026     3,274,307     107.92 87.60 % 4.46 % 6.62 %
Total Fixed Rate RMBS   3,289,807     3,545,614     107.78 94.86 % 4.42 % 6.52 %
Total Pass-through RMBS   3,333,460     3,590,424     107.71 96.06 % 4.39 % 6.44 %
Interest-Only Securities   798,981     102,552     12.84 2.74 % 3.74 % 15.51 %
Inverse Interest-Only Securities   232,723     44,851     19.27 1.20 % 5.02 % 14.10 %
Structured RMBS   1,031,704     147,403     14.29 3.94 % 4.13 % 15.20 %
Total Mortgage Assets $ 4,365,164   $ 3,737,827       100.00 % 4.38 % 8.64 %


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 June 30, 2017         As of June 30, 2017      
Fannie Mae $ 2,621,464 70.1 %   Whole Pool Assets $ 3,187,442 85.3 %
Freddie Mac   1,107,792 29.7 %   Non-Whole Pool Assets   550,385 14.7 %
Ginnie Mae   8,571 0.2 %   Total Mortgage Assets $ 3,737,827 100.0 %
Total Mortgage Assets $ 3,737,827 100.0 %          

(1)     Amounts in the tables above include assets with a fair value of approximately $272.3 million purchased in June 2017, which settle in July 2017.


Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of June 30, 2017   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 610,851   18.5 %   12 7/21/2017
Wells Fargo Bank, N.A.   313,206   9.6 %   11 7/12/2017
Citigroup Global Markets Inc   269,560   8.2 %   17 9/14/2017
ICBC Financial Services LLC   241,736   7.4 %   12 7/13/2017
Cantor Fitzgerald & Co   229,485   7.0 %   31 8/15/2017
RBC Capital Markets, LLC   227,896   7.0 %   13 7/13/2017
Mitsubishi UFJ Securities (USA), Inc   192,516   5.9 %   17 7/17/2017
South Street Securities, LLC   173,925   5.3 %   11 7/24/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated   159,470   4.9 %   17 7/31/2017
ED&F Man Capital Markets Inc   155,908   4.8 %   51 9/22/2017
Natixis, New York Branch   142,158   4.3 %   18 7/31/2017
Mirae Asset Securities (USA) Inc.   127,280   3.9 %   43 8/14/2017
Daiwa Securities America Inc.   92,750   2.8 %   12 7/14/2017
FHLB-Cincinnati   80,180   2.4 %   3 7/3/2017
KGS-Alpha Capital Markets, L.P   68,296   2.1 %   11 7/14/2017
Nomura Securities International, Inc.   63,992   2.0 %   40 8/17/2017
Goldman, Sachs & Co   53,858   1.6 %   14 7/14/2017
Guggenheim Securities, LLC   53,020   1.6 %   40 9/29/2017
Mizuho Securities USA, Inc   22,369   0.7 %   26 7/26/2017
Total Borrowings $ 3,278,456   100.0 %   18 9/29/2017

(1)     In June 2017, the Company purchased assets with a fair value of approximately $272.3 million which settle in July 2017 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   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 June 30, 2017                    
Adjustable Rate RMBS $ 1,929 1   10.04 % 2.00 % $ 5   $ (3 )
Hybrid Adjustable Rate RMBS   42,881 67   7.55 % 2.00 %   566     (665 )
Total Fixed Rate RMBS   3,545,614 n/a   n/a n/a   46,163     (69,033 )
Total Pass-through RMBS   3,590,424 n/a   n/a n/a   46,734     (69,701 )
Interest-Only Securities   102,552 n/a   n/a n/a   (17,804 )   15,329  
Inverse Interest-Only Securities   44,851 1   6.22 % n/a   571     (2,135 )
Structured RMBS   147,403 n/a   n/a n/a   (17,233 )   13,194  
Total Mortgage Assets $ 3,737,827 n/a   n/a n/a $ 29,501   $ (56,507 )
                     
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 $ 978,571   Dec-2020 $ (13,973 ) $ 17,125  
Treasury Futures Contracts - Short Positions   465,000   Sep-2027   (19,701 )   16,262  
Payer Swaps   950,000   May-2022   (11,678 )   11,678  
TBA Short Positions   400,000   Jul-2017   (8,666 )   11,016  
Total Hedges         (54,018 )   56,081  
               
Grand Total       $ (24,517 ) $ (426 )

(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 $125.53 at June 30, 2017.  The nominal contract value of the short position was $583.7 million.


Contact:

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

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