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Orchid Island Capital Announces September 2015 Monthly Dividend and August 31, 2015 RMBS Portfolio Characteristics

  • September 2015 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of August 31, 2015
  • 1,020,841 cumulative shares repurchased through stock repurchase program

VERO BEACH, Fla., Sept. 14, 2015 (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 September 2015. The dividend of $0.14 per share will be paid September 30, 2015, to holders of record on September 25, 2015, with an ex-dividend date of September 23, 2015.

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 September 14, 2015, the Company had 21,941,652 shares outstanding, including 78,109 shares repurchased pursuant to the Company's stock repurchase program through that date that have not yet settled. At June 30, 2015, the Company had 22,959,817 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 2015 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

  • 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, 2014.

RMBS Valuation Characteristics
($ in thousands)
Percentage Weighted Realized
Current Fair Current of Average Aug 2015 CPR
Asset Category Face Value(1) Price Portfolio Coupon (Reported in Sep)
As of August 31, 2015
Adjustable Rate RMBS $ 2,895 $ 3,097 106.98 0.16% 3.49% 0.25%
10-1 Hybrid Rate RMBS 53,954 55,148 102.21 2.76% 2.56% 6.40%
Hybrid Adjustable Rate RMBS 53,954 55,148 102.21 2.76% 2.56% 6.40%
15 Year Fixed Rate RMBS 103,027 108,438 105.25 5.44% 3.28% 5.24%
20 Year Fixed Rate RMBS 323,379 347,594 107.49 17.45% 4.00% 2.38%
30 Year Fixed Rate RMBS 1,264,666 1,366,643 108.06 68.60% 4.24% 4.21%
Total Fixed Rate RMBS 1,691,072 1,822,675 107.78 91.49% 4.13% 3.98%
Total Pass-through RMBS 1,747,921 1,880,920 107.61 94.41% 4.09% 4.05%
Interest-Only Securities 549,008 68,385 12.46 3.43% 3.60% 14.53%
Inverse Interest-Only Securities 194,792 42,924 22.04 2.16% 6.19% 15.08%
Structured RMBS 743,800 111,309 14.96 5.59% 4.60% 14.67%
Total Mortgage Assets $ 2,491,721 $ 1,992,229 100.00% 4.12% 7.30%
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 August 31, 2015 As of August 31, 2015
Fannie Mae $ 1,633,634 82.0% Whole Pool Assets $ 1,646,065 82.6%
Freddie Mac 340,185 17.1% Non Whole Pool Assets 346,164 17.4%
Ginnie Mae 18,410 0.9% Total Mortgage Assets $ 1,992,229 100.0%
Total Mortgage Assets $ 1,992,229 100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $66.0 million purchased in August 2015 which settle in September 2015, and excludes assets with a fair value of $174.2 million sold in August 2015 which settle in September 2015.
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of August 31, 2015 Borrowings(1) Debt in Days Maturity
ED&F Man Capital Markets Inc $ 178,475 9.2% 17 10/6/2015
Goldman, Sachs & Co 159,425 8.2% 15 9/17/2015
Cantor Fitzgerald & Co 148,439 7.7% 13 9/17/2015
J.P. Morgan Securities LLC 122,239 6.3% 12 9/29/2015
Merrill Lynch, Pierce, Fenner & Smith Inc 119,580 6.2% 14 9/14/2015
Wells Fargo Bank, N.A. 116,088 6.0% 13 9/14/2015
Mizuho Securities USA, Inc 115,925 6.0% 11 9/22/2015
Citigroup Global Markets Inc 115,904 6.0% 15 9/25/2015
ICBC Financial Services LLC 115,643 6.0% 15 9/18/2015
Mitsubishi UFJ Securities (USA), Inc 110,189 5.7% 24 10/30/2015
KGS-Alpha Capital Markets, L.P 103,162 5.3% 9 9/16/2015
RBC Capital Markets, LLC 101,823 5.3% 32 10/14/2015
Nomura Securities International, Inc. 98,279 5.1% 20 9/30/2015
South Street Securities, LLC 90,908 4.7% 14 9/21/2015
Daiwa Securities America Inc. 81,520 4.2% 10 9/14/2015
Morgan Stanley & Co 53,445 2.8% 9 9/9/2015
CRT Capital Group, LLC 45,721 2.4% 19 9/25/2015
Guggenheim Securities, LLC 42,268 2.2% 52 11/30/2015
Barclays Capital Inc 10,159 0.5% 14 9/14/2015
Suntrust Robinson Humphrey, Inc 4,374 0.2% 25 9/25/2015
Total Borrowings $ 1,933,566 100.0% 16 11/30/2015
(1) In August 2015, the Company purchased assets with a fair value of approximately $66.0 million which settle in September 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
RMBS Risk Measures
($ 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 August 31, 2015
Adjustable Rate RMBS $ 3,097 6 10.06% 2.00% $ 19 $ (20)
Hybrid Adjustable Rate RMBS 55,148 89 7.56% 2.00% 931 (1,100)
Total Fixed Rate RMBS 1,822,675 n/a n/a n/a 31,660 (41,943)
Total Pass-through RMBS 1,880,920 n/a n/a n/a 32,610 (43,063)
Interest-Only Securities 68,385 n/a n/a n/a (11,465) 9,534
Inverse Interest-Only Securities 42,924 1 6.39% n/a (308) (1,028)
Structured RMBS 111,309 n/a n/a n/a (11,773) 8,506
Total Mortgage Assets $ 1,992,229 n/a n/a n/a $ 20,837 $ (34,557)
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 $ 916,667 Mar-2019 $ (14,536) $ 17,188
Treasury Futures Contracts - Short Positions 185,000 Dec-2025 (7,658) 7,112
Payer Swaption 100,000 Sep-2025 -- 2
Grand Total $ (1,357) $ (10,255)
(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 127-02 at August 31, 2015. The nominal value of the short position was $235.1 million.

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

Source:Orchid Island Capital