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Orchid Island Capital Announces September 2016 Monthly Dividend and August 31, 2016 RMBS Portfolio Characteristics

  • September 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of August 31, 2016

VERO BEACH, Fla., Sept. 12, 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 September 2016. The dividend of $0.14 per share will be paid September 30, 2016, to holders of record on September 28, 2016, with an ex-dividend date of September 26, 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 September 12, 2016, the Company had 25,653,234 shares outstanding, including shares sold through the Company’s at the market program through that date that have not yet settled. At June 30, 2016, the Company had 22,430,858 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 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 FairCurrentofAverageAug 2016 CPR
Asset Category Face ValuePricePortfolioCoupon(Reported in Sep)
As of August 31, 2016
Adjustable Rate RMBS$1,960$2,070105.63 0.08% 3.12% 0.66%
10-1 Hybrid Rate RMBS 47,901 49,915104.20 2.04% 2.55% 15.50%
Hybrid Adjustable Rate RMBS 47,901 49,915104.20 2.04% 2.55% 15.50%
15 Year Fixed Rate RMBS 90,097 95,864106.40 3.90% 3.28% 7.23%
20 Year Fixed Rate RMBS 406,761 444,620109.31 18.10% 4.00% 10.11%
30 Year Fixed Rate RMBS 1,600,758 1,772,162110.71 72.17% 4.35% 9.17%
Total Fixed Rate RMBS 2,097,616 2,312,646110.25 94.17% 4.24% 9.27%
Total Pass-through RMBS 2,147,477 2,364,631110.11 96.29% 4.20% 9.40%
Interest-Only Securities 566,729 50,1968.86 2.04% 3.56% 19.52%
Inverse Interest-Only Securities 215,712 41,01219.01 1.67% 5.76% 17.71%
Structured RMBS 782,441 91,20811.66 3.71% 4.55% 19.02%
Total Mortgage Assets$2,929,918$2,455,839 100.00% 4.22% 11.97%


RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
Percentage Percentage
Fairof Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of August 31, 2016 As of August 31, 2016
Fannie Mae$1,914,816 78.0% Whole Pool Assets$1,975,955 80.5%
Freddie Mac 532,923 21.7% Non Whole Pool Assets 479,884 19.5%
Ginnie Mae 8,100 0.3% Total Mortgage Assets$2,455,839 100.0%
Total Mortgage Assets$2,455,839 100.0%


Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of August 31, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$269,245 11.4% 3810/12/2016
Mitsubishi UFJ Securities (USA), Inc 207,533 9.0% 4110/17/2016
J.P. Morgan Securities LLC 205,895 8.9% 1610/11/2016
South Street Securities, LLC 185,873 8.0% 510/19/2016
RBC Capital Markets, LLC 182,192 7.9% 4210/14/2016
Goldman, Sachs & Co 162,228 7.0% 4310/14/2016
ICBC Financial Services LLC 144,037 6.2% 3310/11/2016
ED&F Man Capital Markets Inc 138,101 6.0% 3711/3/2016
Wells Fargo Bank, N.A. 117,098 5.1% 109/12/2016
Daiwa Securities America Inc. 114,719 5.0% 99/12/2016
Cantor Fitzgerald & Co 114,312 4.9% 4910/24/2016
Natixis, New York Branch 98,782 4.3% 119/21/2016
KGS-Alpha Capital Markets, L.P 89,657 3.9% 199/26/2016
Nomura Securities International, Inc. 69,613 3.0% 139/26/2016
Guggenheim Securities, LLC 66,010 2.9% 5310/28/2016
Mizuho Securities USA, Inc 61,671 2.7% 169/19/2016
FHLB-Cincinnati 55,369 2.4% 19/1/2016
Morgan Stanley & Co. LLC 26,655 1.2% 99/9/2016
Suntrust Robinson Humphrey, Inc 4,218 0.2% 29/2/2016
Total Borrowings$2,313,208 100.0% 2811/3/2016

(1) In August 2016, the Company sold assets with a fair value of approximately $28.0 million which settle in September 2016. The table above includes repurchase agreement borrowings of approximately $26.5 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 August 31, 2016
Adjustable Rate RMBS$2,0708 10.05% 2.00%$ 12 $ (12)
Hybrid Adjustable Rate RMBS 49,91577 7.55% 2.00% 462 (707)
Total Fixed Rate RMBS 2,312,646n/a n/an/a 29,064 (42,412)
Total Pass-through RMBS 2,364,631n/a n/an/a 29,538 (43,131)
Interest-Only Securities 50,196n/a n/an/a (7,827) 6,452
Inverse Interest-Only Securities 41,0121 6.28%n/a 395 (1,402)
Structured RMBS 91,208n/a n/an/a (7,432) 5,050
Total Mortgage Assets$2,455,839n/a n/an/a$ 22,106 $ (38,081)
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$ 200,000 Mar-2019$ (1,431)$ 2,750
Treasury Futures Contracts - Short Positions 185,000 Sep-2026 (8,108) 7,303
Payer Swaps 600,000 Feb-2020 (9,678) 9,678
TBA Short Positions 100,000 Sep-2016 (675) 1,428
Grand Total $ 2,214 $ (16,922)

(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 $131.88 at August 31, 2016. The nominal value of the short position was $244.0 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.