- October 2014 Monthly Dividend of $0.18 Per Share
- Estimated Book Value Per Share at September 30, 2014 of $13.28
- 5.9% Total Return on Equity for the Quarter, or 23.6% Annualized
- RMBS Portfolio Characteristics as of September 30, 2014
VERO BEACH, FL, Oct. 9, 2014 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of October 2014. The dividend of $0.18 per share will be paid October 31, 2014, to holders of record on October 28, 2014, with an ex-dividend date of October 24, 2014.
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 October 9, 2014, the Company has 13,076,981 shares outstanding. At September 30, 2014 and June 30, 2014, the Company had 13,024,449 and 9,632,108 shares outstanding, respectively.
Estimated September 30, 2014 Book Value Per Share
The Company's estimated book value per share as of September 30, 2014 was $13.28. 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 September 30, 2014, the Company's preliminary estimated total stockholders' equity was approximately $173.0 million with 13,024,449 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 return on equity for the quarter ended September 30, 2014 was 5.9%, or 23.6% on an annualized basis. The Company calculates 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 $0.77 per share, comprised of dividends per share of $0.54 and an increase in book value per share of $0.23 from June 30, 2014.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of September 30, 2014 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's unaudited financial statements and associated footnotes as of and for the three month period ended September 30, 2014, are subject to review by the Company's independent registered public accounting firm.
- RMBS Assets by Agency
- Investment Company Act of 1940 Whole Pool Test Results
- Repurchase agreement exposure by counterparty
- RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. intends to elect to be taxed as a real estate investment trust for federal income tax purposes.
Forward Looking Statements
This press release contains forward looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward looking statements are based upon Orchid Island Capital, Inc.'s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward looking statements. For further discussion of the factors that could affect outcomes, please refer to the "Risk Factors" section of the Company's Form 10-K for the year ended December 31, 2013.
| RMBS Valuation Characteristics | ||||||
| ($ in thousands) | ||||||
| Asset Category |
Current Face(1) |
Fair Value(1) |
Current Price |
Percentage of Portfolio |
Weighted Average Coupon |
Realized Sep 2014 CPR (Reported in Oct) |
| As of September 30, 2014 | ||||||
| Adjustable Rate RMBS | $ 3,568 | $ 3,847 | 107.83 | 0.33% | 3.56% | 0.00% |
| 10-1 Hybrid Rate RMBS | 70,758 | 71,442 | 100.97 | 6.08% | 2.54% | 4.02% |
| Hybrid Adjustable Rate RMBS | 70,758 | 71,442 | 100.97 | 6.08% | 2.54% | 4.02% |
| 15 Year Fixed Rate RMBS | 81,102 | 85,346 | 105.23 | 7.26% | 3.40% | 5.92% |
| 20 Year Fixed Rate RMBS | 169,450 | 180,459 | 106.50 | 15.35% | 4.00% | 2.24% |
| 30 Year Fixed Rate RMBS | 705,544 | 770,052 | 109.14 | 65.48% | 4.58% | 5.43% |
| Total Fixed Rate RMBS | 956,096 | 1,035,857 | 108.34 | 88.09% | 4.38% | 5.29% |
| Total Pass-through RMBS | 1,030,422 | 1,111,146 | 107.83 | 94.41% | 4.26% | 5.13% |
| Interest-Only Securities | 326,309 | 45,947 | 14.08 | 3.91% | 4.12% | 17.74% |
| Inverse Interest-Only Securities | 110,644 | 18,671 | 16.88 | 1.59% | 6.24% | 15.47% |
| Structured RMBS | 436,953 | 64,618 | 14.79 | 5.50% | 4.73% | 17.17% |
| Total Mortgage Assets | $ 1,467,375 | $ 1,175,764 | 100.00% | 4.29% | 9.81% | |
| (1) Amounts include assets with a fair value of approximately $67.1 million purchased in September 2014 which settle in October 2014. Amounts do not include assets with a fair value of approximately $249.4 million sold in September 2014 which settle in October 2014. | ||||||
| RMBS Assets by Agency | ||
| ($ in thousands) | ||
| Asset Category |
Fair Value |
Percentage of Portfolio |
| As of September 30, 2014 | ||
| Fannie Mae | $ 798,733 | 67.9% |
| Freddie Mac | 367,096 | 31.3% |
| Ginnie Mae | 9,935 | 0.8% |
| Total Mortgage Assets | $ 1,175,764 | 100.0% |
| Investment Company Act of 1940 (Whole Pool) Test | ||
| ($ in thousands) | ||
| Asset Category |
Fair Value |
Percentage of Portfolio |
| As of September 30, 2014 | ||
| Whole Pool Assets | $ 947,947 | 80.6% |
| Non Whole Pool Assets | 227,817 | 19.4% |
| Total Mortgage Assets | $ 1,175,764 | 100.0% |
| Repurchase Agreement Exposure By Counterparty | ||||
| ($ in thousands) | ||||
| As of September 30, 2014 |
Total Borrowings(1) |
% of Total Debt |
Weighted Average Maturity in Days |
Longest Maturity |
| Citigroup Global Markets Inc | $ 260,602 | 20.8% | 20 | 12/2/2014 |
| J.P. Morgan Securities LLC | 184,938 | 14.7% | 86 | 3/10/2015 |
| CRT Capital Group, LLC | 104,245 | 8.3% | 39 | 11/24/2014 |
| Morgan Stanley & Co | 91,526 | 7.3% | 48 | 11/17/2014 |
| Mitsubishi UFJ Securities (USA), Inc | 84,358 | 6.7% | 14 | 11/25/2014 |
| KGS-Alpha Capital Markets, L.P | 84,208 | 6.7% | 38 | 12/3/2014 |
| Cantor Fitzgerald & Co | 77,731 | 6.2% | 34 | 11/10/2014 |
| ED&F Man Capital Markets Inc | 73,103 | 5.8% | 61 | 2/2/2015 |
| Goldman, Sachs & Co | 72,615 | 5.8% | 31 | 11/21/2014 |
| Mizuho Securities USA, Inc | 43,525 | 3.5% | 13 | 10/22/2014 |
| Guggenheim Securities, LLC | 41,228 | 3.3% | 22 | 10/24/2014 |
| South Street Securities, LLC | 38,255 | 3.0% | 17 | 10/27/2014 |
| Daiwa Securities America Inc. | 33,200 | 2.6% | 43 | 11/12/2014 |
| Suntrust Robinson Humphrey, Inc | 32,245 | 2.6% | 2 | 10/2/2014 |
| Other | 33,949 | 2.7% | 36 | 11/19/2014 |
| Total Borrowings | $ 1,255,728 | 100.0% | 38 | 3/10/2015 |
| (1) Amounts include repurchase agreement balances of approximately $238.5 million securing assets with a fair value of approximately $249.4 million sold in September 2014 that settle in October 2014. In September 2014, the Company purchased assets with a fair value of approximately $67.1 million which settle in October 2014 that are expected to be funded by repurchase agreements. | ||||
| RMBS Risk Measures | ||||||
| ($ in thousands) | ||||||
| Mortgage Assets | ||||||
| Asset Category |
Fair Value |
Weighted Average Months To Next Coupon Reset (if applicable) |
Weighted Average Lifetime Cap (if applicable) |
Weighted Average Periodic Cap Per Year (if applicable) |
Modeled Interest Rate Sensitivity (-50 BPS)(1) |
Modeled Interest Rate Sensitivity (+50 BPS)(1) |
| As of September 30, 2014 | ||||||
| Adjustable Rate RMBS | $ 3,847 | 6 | 10.05% | 2.00% | $ 11 | $ (19) |
| Hybrid Adjustable Rate RMBS | 71,442 | 101 | 7.54% | 2.00% | 1,637 | (1,935) |
| Total Fixed Rate RMBS | 1,035,857 | n/a | n/a | n/a | 17,751 | (24,851) |
| Total Pass-through RMBS | 1,111,146 | n/a | n/a | n/a | 19,399 | (26,805) |
| Interest-Only Securities | 45,947 | n/a | n/a | n/a | (6,825) | 5,779 |
| Inverse Interest-Only Securities | 18,671 | 1 | 6.39% | n/a | (1,027) | (269) |
| Structured RMBS | 64,618 | n/a | n/a | n/a | (7,852) | 5,510 |
| Total Mortgage Assets | $ 1,175,764 | n/a | n/a | n/a | $ 11,547 | $ (21,295) |
| Funding Hedges | ||||
|
Average Notional Balance |
Hedge Period End Date |
Modeled Interest Rate Sensitivity (-50 BPS)(1) |
Modeled Interest Rate Sensitivity (+50 BPS)(1) |
|
| Eurodollar Futures Contracts - Short Positions | $ 500,000 | Dec-2018 | $ (9,072) | $ 10,470 |
| Payer Swaption | 275,000 | Sep-2025 | (2,369) | 4,841 |
| Grand Total | $ 106 | $ (5,984) | ||
| (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 OAS. These results are for illustrative purposes only and actual results may differ materially. | ||||