- 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) | ||||||||||||||
| Percentage | Weighted | Realized | ||||||||||||
| Current | Fair | Current | of | Average | Dec 2015 CPR | |||||||||
| Asset Category | Face | Value | Price | Portfolio | Coupon | (Reported in Jan) | ||||||||
| As of December 31, 2015 | ||||||||||||||
| Adjustable Rate RMBS | $ | 2,791 | $ | 2,976 | 106.64 | 0.14 | % | 3.63 | % | 0.45 | % | |||
| 10-1 Hybrid Rate RMBS | 51,297 | 52,238 | 101.83 | 2.42 | % | 2.55 | % | 2.02 | % | |||||
| Hybrid Adjustable Rate RMBS | 51,297 | 52,238 | 101.83 | 2.42 | % | 2.55 | % | 2.02 | % | |||||
| 15 Year Fixed Rate RMBS | 99,030 | 103,534 | 104.55 | 4.80 | % | 3.28 | % | 5.69 | % | |||||
| 20 Year Fixed Rate RMBS | 438,687 | 468,564 | 106.81 | 21.71 | % | 4.00 | % | 4.15 | % | |||||
| 30 Year Fixed Rate RMBS | 1,319,596 | 1,428,525 | 108.25 | 66.20 | % | 4.36 | % | 6.64 | % | |||||
| Total Fixed Rate RMBS | 1,857,313 | 2,000,623 | 107.72 | 92.71 | % | 4.22 | % | 6.00 | % | |||||
| Total Pass-through RMBS | 1,911,401 | 2,055,837 | 107.56 | 95.27 | % | 4.18 | % | 5.89 | % | |||||
| Interest-Only Securities | 504,758 | 61,574 | 12.20 | 2.85 | % | 3.58 | % | 13.36 | % | |||||
| Inverse Interest-Only Securities | 216,114 | 40,599 | 18.79 | 1.88 | % | 5.97 | % | 14.84 | % | |||||
| Structured RMBS | 720,872 | 102,173 | 14.17 | 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 | |||||||||||
| Fair | of | Fair | of | |||||||||
| Asset Category | Value | Portfolio | Asset Category | Value | Portfolio | |||||||
| 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 | Maturity | Longest | ||||||
| As of December 31, 2015 | Borrowings | Debt | in Days | Maturity | |||||
| Citigroup Global Markets Inc | $ | 185,107 | 9.4 | % | 14 | 2/12/2016 | |||
| Federal Home Loan Bank of Cincinnati | 183,750 | 9.3 | % | 23 | 1/23/2016 | ||||
| South Street Securities, LLC | 156,375 | 7.9 | % | 28 | 1/28/2016 | ||||
| Wells Fargo Bank, N.A. | 130,331 | 6.6 | % | 11 | 1/13/2016 | ||||
| Cantor Fitzgerald & Co | 128,751 | 6.5 | % | 20 | 1/27/2016 | ||||
| ED&F Man Capital Markets Inc | 127,285 | 6.4 | % | 19 | 1/25/2016 | ||||
| ICBC Financial Services LLC | 125,437 | 6.3 | % | 12 | 1/12/2016 | ||||
| Mizuho Securities USA, Inc | 119,092 | 6.0 | % | 13 | 1/25/2016 | ||||
| KGS-Alpha Capital Markets, L.P | 117,395 | 5.9 | % | 13 | 1/22/2016 | ||||
| Mitsubishi UFJ Securities (USA), Inc | 113,021 | 5.7 | % | 18 | 1/29/2016 | ||||
| J.P. Morgan Securities LLC | 108,145 | 5.5 | % | 14 | 2/2/2016 | ||||
| Daiwa Securities America Inc. | 99,292 | 5.0 | % | 9 | 1/11/2016 | ||||
| RBC Capital Markets, LLC | 93,582 | 4.7 | % | 13 | 1/22/2016 | ||||
| Natixis, New York Branch | 86,180 | 4.3 | % | 10 | 1/22/2016 | ||||
| Guggenheim Securities, LLC | 83,913 | 4.2 | % | 17 | 1/29/2016 | ||||
| Merrill Lynch, Pierce, Fenner & Smith Inc | 81,284 | 4.1 | % | 15 | 1/15/2016 | ||||
| Nomura Securities International, Inc. | 39,422 | 2.0 | % | 13 | 1/13/2016 | ||||
| Suntrust Robinson Humphrey, Inc | 4,201 | 0.2 | % | 15 | 1/15/2016 | ||||
| Total Borrowings | $ | 1,982,563 | 100.0 | % | 16 | 2/12/2016 | |||
| 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, 2015 | ||||||||||||||
| Adjustable Rate RMBS | $ | 2,976 | 4 | 10.04 | % | 2.00 | % | $ | 18 | $ | (16 | ) | ||
| Hybrid Adjustable Rate RMBS | 52,238 | 85 | 7.55 | % | 2.00 | % | 880 | (1,012 | ) | |||||
| Total Fixed Rate RMBS | 2,000,623 | n/a | n/a | n/a | 32,110 | (42,585 | ) | |||||||
| Total Pass-through RMBS | 2,055,837 | n/a | n/a | n/a | 33,008 | (43,613 | ) | |||||||
| Interest-Only Securities | 61,574 | n/a | n/a | n/a | (10,394 | ) | 8,592 | |||||||
| Inverse Interest-Only Securities | 40,599 | 1 | 6.36 | % | n/a | 902 | (1,776 | ) | ||||||
| Structured RMBS | 102,173 | n/a | n/a | n/a | (9,492 | ) | 6,816 | |||||||
| Total Mortgage Assets | $ | 2,158,010 | n/a | n/a | n/a | $ | 23,516 | $ | (36,797 | ) | ||||
| 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 | $ | 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. | ||||||||||||||