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Orchid Island Capital Announces November 2015 Monthly Dividend and October 30, 2015 RMBS Portfolio Characteristics

  • November 2015 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of October 30, 2015

VERO BEACH, Fla., Nov. 10, 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 November 2015. The dividend of $0.14 per share will be paid November 30, 2015, to holders of record on November 24, 2015, with an ex-dividend date of November 20, 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 November 10, 2015, the Company had 21,768,190 shares outstanding. At September 30, 2015, the Company had 21,892,773 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 30, 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)
PercentageWeightedRealized
Current FairCurrentofAverageOct 2015 CPR
Asset Category Face Value(1)PricePortfolioCoupon(Reported in Nov)
As of October 30, 2015
Adjustable Rate RMBS$2,809 $2,995106.59 0.15% 3.62% 0.23%
10-1 Hybrid Rate RMBS 52,696 53,882102.25 2.67% 2.55% 9.55%
Hybrid Adjustable Rate RMBS 52,696 53,882102.25 2.67% 2.55% 9.55%
15 Year Fixed Rate RMBS 101,120 106,719105.54 5.30% 3.28% 7.47%
20 Year Fixed Rate RMBS 401,856 432,014107.50 21.44% 4.00% 3.30%
30 Year Fixed Rate RMBS 1,207,634 1,311,534108.60 65.07% 4.35% 7.94%
Total Fixed Rate RMBS 1,710,610 1,850,267108.16 91.81% 4.20% 6.84%
Total Pass-through RMBS 1,766,115 1,907,144107.99 94.63% 4.16% 6.91%
Interest-Only Securities 525,560 63,19612.02 3.14% 3.59% 14.02%
Inverse Interest-Only Securities 222,499 44,98620.22 2.23% 6.16% 12.88%
Structured RMBS 748,059 108,18214.46 5.37% 4.66% 13.72%
Total Mortgage Assets$2,514,174 $2,015,326 100.00% 4.18% 8.89%


RMBS Assets by Agency
Investment Company Act of 1940 (Whole Pool) Test
($ in thousands)
($ in thousands)
Percentage Percentage
Fairof Fairof
Asset Category Value(1)Portfolio Asset Category Value(1)Portfolio
As of October 30, 2015 As of October 30, 2015
Fannie Mae$1,634,651 81.1% Whole Pool Assets$1,542,820 76.6%
Freddie Mac 363,764 18.1% Non Whole Pool Assets 472,506 23.4%
Ginnie Mae 16,911 0.8% Total Mortgage Assets$2,015,326 100.0%
Total Mortgage Assets$2,015,326 100.0%


(1) Amounts in the tables above include assets with a fair value of approximately $28.4 million purchased in October 2015 which settle in November 2015.

Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of October 30, 2015 Borrowings(1) Debt in DaysMaturity
Goldman, Sachs & Co$156,955 8.7% 2611/25/2015
Wells Fargo Bank, N.A. 135,437 7.4% 1311/13/2015
Cantor Fitzgerald & Co 131,505 7.2% 1511/18/2015
Mizuho Securities USA, Inc 127,625 7.0% 1411/23/2015
ICBC Financial Services LLC 117,579 6.4% 1411/19/2015
Mitsubishi UFJ Securities (USA), Inc 112,740 6.2% 1911/30/2015
Citigroup Global Markets Inc 103,211 5.7% 161/19/2016
KGS-Alpha Capital Markets, L.P 101,759 5.6% 1211/19/2015
RBC Capital Markets, LLC 100,559 5.5% 1911/23/2015
Nomura Securities International, Inc. 97,540 5.3% 1911/23/2015
ED&F Man Capital Markets Inc 92,619 5.1% 1811/25/2015
J.P. Morgan Securities LLC 85,803 4.7% 1511/30/2015
Merrill Lynch, Pierce, Fenner & Smith Inc 82,326 4.5% 1711/16/2015
South Street Securities, LLC 80,845 4.4% 1711/20/2015
Daiwa Securities America Inc. 75,388 4.1% 1111/12/2015
Natixis, New York Branch 72,830 4.0% 1212/1/2015
Morgan Stanley & Co 49,292 2.7% 1011/9/2015
CRT Capital Group, LLC 45,190 2.5% 2011/23/2015
Guggenheim Securities, LLC 40,057 2.2% 2611/30/2015
Barclays Capital Inc 10,136 0.6% 1411/13/2015
Suntrust Robinson Humphrey, Inc 4,366 0.2% 2111/20/2015
Total Borrowings$1,823,762 100.0% 171/19/2016


(1) In October 2015, the Company purchased assets with a fair value of approximately $28.4 million which settle in November 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 WeightedWeighted Modeled Modeled
Months AverageAverage Interest Interest
To Next LifetimePeriodic Rate Rate
FairCoupon Reset CapCap Per Year Sensitivity Sensitivity
Asset Category Value(if applicable) (if applicable)(if applicable) (-50 BPS)(1) (+50 BPS)(1)
As of October 30, 2015
Adjustable Rate RMBS$2,9955 10.04% 2.00%$ 18 $ (19)
Hybrid Adjustable Rate RMBS 53,88287 7.55% 2.00% 862 (1,042)
Total Fixed Rate RMBS 1,850,267n/a n/an/a 27,833 (38,015)
Total Pass-through RMBS 1,907,144n/a n/an/a 28,713 (39,076)
Interest-Only Securities 63,196n/a n/an/a (11,531) 9,870
Inverse Interest-Only Securities 44,9861 5.49%n/a 427 (1,527)
Structured RMBS 108,182n/a n/an/a (11,104) 8,343
Total Mortgage Assets$2,015,326n/a n/an/a$ 17,609 $ (30,733)
Funding Hedges
Modeled Modeled
Interest Interest
AverageHedge Rate Rate
NotionalPeriod Sensitivity Sensitivity
Balance(2)End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions$ 873,333 Mar-2019$ (13,876)$ 16,375
Treasury Futures Contracts - Short Positions 185,000 Dec-2025 (7,314) 7,479
Grand Total $ (3,581)$ (6,879)


(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 127.69 at October 30, 2015. The nominal value of the short position was $236.2 million.


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

Source:Orchid Island Capital Inc.