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Orchid Island Capital Announces May 2016 Monthly Dividend and April 29, 2016 RMBS Portfolio Characteristics

  • May 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of April 29, 2016

VERO BEACH, Fla., May 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 May 2016. The dividend of $0.14 per share will be paid May 31, 2016, to holders of record on May 26, 2016, with an ex-dividend date of May 24, 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 May 11, 2016, the Company had 21,783,356 shares outstanding. At March 31, 2016, the Company had 21,772,464 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 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 Current ofAverageApr 2016 CPR
Asset Category Face Value(1) Price PortfolioCoupon(Reported in May)
As of April 29, 2016
Adjustable Rate RMBS$1,989 $2,108 105.98 0.10% 3.06% 0.38%
10-1 Hybrid Rate RMBS 49,769 51,445 103.37 2.53% 2.55% 5.39%
Hybrid Adjustable Rate RMBS 49,769 51,445 103.37 2.53% 2.55% 5.39%
15 Year Fixed Rate RMBS 94,854 100,655 106.12 4.96% 3.28% 5.88%
20 Year Fixed Rate RMBS 300,854 324,956 108.01 16.00% 4.00% 9.59%
30 Year Fixed Rate RMBS 1,325,369 1,458,084 110.01 71.80% 4.42% 8.70%
Total Fixed Rate RMBS 1,721,077 1,883,695 109.45 92.76% 4.29% 8.70%
Total Pass-through RMBS 1,772,835 1,937,248 109.27 95.39% 4.24% 8.59%
Interest-Only Securities 523,712 55,064 10.51 2.71% 3.62% 15.39%
Inverse Interest-Only Securities 201,339 38,492 19.12 1.90% 5.91% 15.44%
Structured RMBS 725,051 93,556 12.90 4.61% 4.57% 15.40%
Total Mortgage Assets$2,497,886 $2,030,804 100.00% 4.26% 10.59%


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 April 29, 2016 As of April 29, 2016
Fannie Mae$1,697,801 83.6% Whole Pool Assets$1,578,214 77.7%
Freddie Mac 321,737 15.8% Non Whole Pool Assets 452,590 22.3%
Ginnie Mae 11,266 0.6% Total Mortgage Assets$2,030,804 100.0%
Total Mortgage Assets$2,030,804 100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $74.3 million purchased in April 2016 which settle in May 2016, and exclude assets with a fair value of $62.1 million sold in April 2016 which settle in May 2016.

Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of April 29, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$275,577 14.9% 667/11/2016
South Street Securities, LLC 181,039 9.7% 55/16/2016
FHLB-Cincinnati 144,698 7.7% 417/6/2016
Cantor Fitzgerald & Co 122,102 6.5% 225/26/2016
Guggenheim Securities, LLC 120,443 6.4% 236/16/2016
Goldman, Sachs & Co 118,858 6.4% 466/15/2016
Wells Fargo Bank, N.A. 106,905 5.7% 145/18/2016
Natixis, New York Branch 102,523 5.5% 115/20/2016
Daiwa Securities America Inc. 99,962 5.4% 85/11/2016
KGS-Alpha Capital Markets, L.P 88,298 4.7% 647/18/2016
Mitsubishi UFJ Securities (USA), Inc 87,498 4.7% 557/18/2016
Merrill Lynch, Pierce, Fenner & Smith Inc 84,666 4.5% 195/18/2016
Nomura Securities International, Inc. 71,614 3.8% 436/13/2016
Mizuho Securities USA, Inc 65,551 3.5% 185/27/2016
ICBC Financial Services LLC 62,623 3.4% 737/11/2016
ED&F Man Capital Markets Inc 59,125 3.2% 35/2/2016
RBC Capital Markets, LLC 41,573 2.2% 135/12/2016
J.P. Morgan Securities LLC 30,255 1.6% 527/13/2016
Suntrust Robinson Humphrey, Inc 4,198 0.2% 75/6/2016
Total Borrowings$1,867,508 100.0% 347/18/2016

(1) In April 2016, the Company purchased assets with a fair value of approximately $74.3 million which settle in May 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In April 2016, the Company also sold assets with a fair value of approximately $62.1 million which settle in May 2016. The table above includes repurchase agreement borrowings of approximately $59.7 million which are collateralized by these sold securities.

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 April 29, 2016
Adjustable Rate RMBS$2,1082 10.05% 2.00%$ 8 $ (8)
Hybrid Adjustable Rate RMBS 51,44581 7.55% 2.00% 685 (882)
Total Fixed Rate RMBS 1,883,695n/a n/an/a 26,424 (37,635)
Total Pass-through RMBS 1,937,248n/a n/an/a 27,117 (38,525)
Interest-Only Securities 55,064n/a n/an/a (8,853) 7,263
Inverse Interest-Only Securities 38,4921 6.35%n/a 376 (1,347)
Structured RMBS 93,556n/a n/an/a (8,477) 5,916
Total Mortgage Assets$2,030,804n/a n/an/a$ 18,640 $ (32,609)
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$ 160,000 Mar-2019$ (1,933)$ 3,000
Treasury Futures Contracts - Short Positions 185,000 Jun-2026 (8,300) 6,528
Payer Swaps
600,000 Feb-2020 (11,116) 11,116
TBA Short Positions
80,000 May-2016 (879) 1,283
Grand Total
$ (3,588)$ (10,682)

(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 $130.06 at April 29, 2016. The nominal value of the short position was $240.6 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.