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Orchid Island Capital Announces November 2016 Monthly Dividend and October 31, 2016 RMBS Portfolio Characteristics

  • November 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2016

VERO BEACH, Fla., Nov. 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 November 2016. The dividend of $0.14 per share will be paid December 9, 2016, to holders of record on November 30, 2016, with an ex-dividend date of November 28, 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 November 9, 2016, the Company had 26,425,291 shares outstanding, including shares sold through the Company’s at the market program through that date that have not yet settled. At September 30, 2016, the Company had 26,252,193 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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 and the expected funding of purchased assets and anticipated borrowings. 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 ofAverageOct 2016 CPR
Asset Category Face Value(1) Price PortfolioCoupon(Reported in Nov)
As of October 31, 2016
Adjustable Rate RMBS$1,946 $2,068 106.26 0.09% 3.50% 0.67%
10-1 Hybrid Rate RMBS 45,795 47,607 103.96 2.00% 2.55% 16.85%
Hybrid Adjustable Rate RMBS 45,795 47,607 103.96 2.00% 2.55% 16.85%
15 Year Fixed Rate RMBS 87,705 93,174 106.24 3.91% 3.28% 11.74%
20 Year Fixed Rate RMBS 414,418 453,529 109.44 19.05% 4.00% 9.18%
30 Year Fixed Rate RMBS 1,499,390 1,655,562 110.42 69.55% 4.32% 9.44%
Total Fixed Rate RMBS 2,001,513 2,202,265 110.03 92.51% 4.21% 9.49%
Total Pass-through RMBS 2,049,254 2,251,940 109.89 94.60% 4.17% 9.64%
Interest-Only Securities 533,737 52,188 9.78 2.19% 3.55% 17.96%
Inverse Interest-Only Securities 356,097 76,342 21.44 3.21% 5.62% 15.56%
Structured RMBS 889,834 128,530 14.44 5.40% 4.78% 17.08%
Total Mortgage Assets$2,939,088 $2,380,470 100.00% 4.21% 11.81%


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 31, 2016 As of October 31, 2016
Fannie Mae$1,841,313 77.4% Whole Pool Assets$1,961,445 82.4%
Freddie Mac 530,750 22.2% Non Whole Pool Assets 419,025 17.6%
Ginnie Mae 8,407 0.4% Total Mortgage Assets$2,380,470 100.0%
Total Mortgage Assets$2,380,470 100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $10.5 million purchased in October 2016 which settle in November 2016, and exclude assets with a fair value of $118.6 million sold in October 2016 which settle in November 2016.

Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of October 31, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$277,985 12.1% 101/5/2017
Mitsubishi UFJ Securities (USA), Inc 203,824 8.9% 1611/30/2016
RBC Capital Markets, LLC 202,219 8.8% 1411/14/2016
South Street Securities, LLC 183,022 8.0% 511/21/2016
J.P. Morgan Securities LLC 175,600 7.7% 2612/16/2016
ED&F Man Capital Markets Inc 167,788 7.3% 361/23/2017
Goldman, Sachs & Co 157,562 6.9% 1411/21/2016
Wells Fargo Bank, N.A. 150,474 6.6% 1011/10/2016
ICBC Financial Services LLC 140,773 6.1% 4212/30/2016
Daiwa Securities America Inc. 112,192 4.9% 1111/14/2016
Cantor Fitzgerald & Co 105,748 4.6% 411/9/2017
Natixis, New York Branch 95,964 4.2% 1011/21/2016
KGS-Alpha Capital Markets, L.P 88,244 3.8% 1911/25/2016
Nomura Securities International, Inc. 67,649 3.0% 4112/12/2016
Mizuho Securities USA, Inc 55,770 2.4% 711/7/2016
FHLB-Cincinnati 53,866 2.3% 111/1/2016
Guggenheim Securities, LLC 50,284 2.2% 2811/28/2016
Suntrust Robinson Humphrey, Inc 4,024�� 0.2% 1011/10/2016
Total Borrowings$2,292,988 100.0% 191/23/2017

(1) In October 2016, the Company purchased assets with a fair value of approximately $10.5 million which settle in November 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In October 2016, the Company also sold assets with a fair value of approximately $118.6 million which settle in November 2016. The table above includes repurchase agreement borrowings of approximately $112.2 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 October 31, 2016
Adjustable Rate RMBS$2,0687 10.05% 2.00%$ 12 $ (12)
Hybrid Adjustable Rate RMBS 47,60775 7.55% 2.00% 566 (745)
Total Fixed Rate RMBS 2,202,265n/a n/an/a 32,649 (45,480)
Total Pass-through RMBS 2,251,940n/a n/an/a 33,227 (46,237)
Interest-Only Securities 52,188n/a n/an/a (7,660) 6,081
Inverse Interest-Only Securities 76,3421 6.15%n/a 2,513 (4,295)
Structured RMBS 128,530n/a n/an/a (5,147) 1,786
Total Mortgage Assets$2,380,470n/a n/an/a$ 28,080 $ (44,451)
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$ 453,846 Dec-2019$ (4,478)$ 7,375
Treasury Futures Contracts - Short Positions 185,000 Dec-2026 (7,424) 7,378
Payer Swaps 600,000 Feb-2020 (9,715) 9,715
TBA Short Positions 135,000 Nov-2016 (1,490) 2,682
Grand Total $ 4,973 $ (17,301)


(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 $129.63 at October 31, 2016. The nominal value of the short position was $239.8 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.