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Orchid Island Capital Announces March 2016 Monthly Dividend and February 29, 2016 RMBS Portfolio Characteristics

  • March 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of February 29, 2016
  • 1,216,243 cumulative shares repurchased through stock repurchase program

VERO BEACH, Fla., March 09, 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 March 2016. The dividend of $0.14 per share will be paid March 31, 2016, to holders of record on March 28, 2016, with an ex-dividend date of March 23, 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 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 March 9, 2016, the Company had 21,752,510 shares outstanding. At December 31, 2015, the Company had 21,749,490 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 29, 2016 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, 2015.

RMBS Valuation Characteristics
($ in thousands)
PercentageWeightedRealized
Current Fair CurrentofAverageFeb 2016 CPR
Asset Category Face Value(1) PricePortfolioCoupon(Reported in Mar)
As of February 29, 2016
Adjustable Rate RMBS$2,771 $2,937 105.96 0.14% 3.63% 0.46%
10-1 Hybrid Rate RMBS 50,900 52,347 102.84 2.58% 2.55% 4.36%
Hybrid Adjustable Rate RMBS 50,900 52,347 102.84 2.58% 2.55% 4.36%
15 Year Fixed Rate RMBS 97,103 102,804 105.87 5.04% 3.28% 5.14%
20 Year Fixed Rate RMBS 424,307 457,087 107.73 22.42% 4.00% 4.53%
30 Year Fixed Rate RMBS 1,208,486 1,328,464 109.93 65.16% 4.44% 5.12%
Total Fixed Rate RMBS 1,729,896 1,888,355 109.16 92.62% 4.27% 4.97%
Total Pass-through RMBS 1,783,567 1,943,639 108.97 95.34% 4.23% 4.94%
Interest-Only Securities 530,221 55,125 10.40 2.70% 3.64% 12.39%
Inverse Interest-Only Securities 209,000 39,978 19.13 1.96% 5.92% 12.72%
Structured RMBS 739,221 95,103 12.87 4.66% 4.59% 12.48%
Total Mortgage Assets$2,522,788 $2,038,742 100.00% 4.24% 7.23%


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 February 29, 2016 As of February 29, 2016
Fannie Mae$1,711,894 84.0% Whole Pool Assets$1,533,756 75.2%
Freddie Mac 315,232 15.4% Non Whole Pool Assets 504,986 24.8%
Ginnie Mae 11,616 0.6% Total Mortgage Assets$2,038,742 100.0%
Total Mortgage Assets$2,038,742 100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $99.3 million purchased in February 2016 which settle in March 2016, and exclude assets with a fair value of $95.3 million sold in February 2016 which settle in March 2016.

Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of February 29, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$277,935 14.7% 324/25/2016
South Street Securities, LLC 178,648 9.4% 304/1/2016
ED&F Man Capital Markets Inc 148,286 7.8% 224/19/2016
Goldman, Sachs & Co 119,082 6.3% 163/16/2016
Cantor Fitzgerald & Co 118,571 6.3% 404/26/2016
Guggenheim Securities, LLC 118,380 6.2% 415/4/2016
J.P. Morgan Securities LLC 108,444 5.7% 175/2/2016
Daiwa Securities America Inc. 107,374 5.7% 394/11/2016
Natixis, New York Branch 104,443 5.5% 123/23/2016
KGS-Alpha Capital Markets, L.P 90,523 4.8% 193/23/2016
Mitsubishi UFJ Securities (USA), Inc 90,077 4.8% 424/29/2016
Nomura Securities International, Inc. 86,970 4.6% 153/28/2016
Merrill Lynch, Pierce, Fenner & Smith Inc 85,509 4.5% 163/16/2016
Wells Fargo Bank, N.A. 74,461 3.9% 113/14/2016
Mizuho Securities USA, Inc 69,190 3.7% 394/25/2016
ICBC Financial Services LLC 68,971 3.6% 113/11/2016
RBC Capital Markets, LLC 44,076 2.3% 143/22/2016
Suntrust Robinson Humphrey, Inc 4,208 0.2% 113/11/2016
Total Borrowings$1,895,148 100.0% 265/4/2016

(1) In February 2016, the Company purchased assets with a fair value of approximately $99.3 million which settle in March 2016 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 February 29, 2016
Adjustable Rate RMBS$2,9373 10.04% 2.00%$ 17 $ (17)
Hybrid Adjustable Rate RMBS 52,34783 7.55% 2.00% 669 (839)
Total Fixed Rate RMBS 1,888,355n/a n/a n/a 25,591 (31,951)
Total Pass-through RMBS 1,943,639n/a n/a n/a 26,277 (32,807)
Interest-Only Securities 55,125n/a n/a n/a (10,620) 9,986
Inverse Interest-Only Securities 39,9781 6.35%n/a 51 (891)
Structured RMBS 95,103n/a n/a n/a (10,569) 9,095
Total Mortgage Assets$2,038,742n/a n/a n/a$ 15,708 $ (23,712)
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$ 173,333 Mar-2019$ (2,075)$ 3,250
Treasury Futures Contracts - Short Positions 185,000 Jun-2026 (7,040) 7,719
Payer Swaps 600,000 Feb-2020 (11,839) 11,839
Grand Total $ (5,246)$ (904)

(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 $130.52 at February 29, 2016. The nominal value of the short position was $241.5 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.