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

  • 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/a n/a   62,865       (73,259 )
Total Pass-through RMBS     2,874,215   n/a     n/a n/a   63,605       (74,080 )
Interest-Only Securities     69,726   n/a     n/a n/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/a n/a   (1,848 )     (1,144 )
Total Mortgage Assets   $ 3,022,174   n/a     n/a n/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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