Orchid Island Capital Announces December 2016 Monthly Dividend and November 30, 2016 RMBS Portfolio Characteristics

  • December 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of November 30, 2016

VERO BEACH, Fla., Dec. 08, 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 December 2016. The dividend of $0.14 per share will be paid January 10, 2017, to holders of record on December 30, 2016, with an ex-dividend date of December 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 December 8, 2016, the Company had 31,963,790 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 November 30, 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)
Percentage
Weighted
Realized
Current Fair Current of
Average
Nov 2016 CPR
Asset Category Face Value(1) Price Portfolio
Coupon
(Reported in Dec)
As of November 30, 2016
Adjustable Rate RMBS $1,938 $2,057 106.13 0.08% 3.50% 0.69%
10-1 Hybrid Rate RMBS 44,831 45,924 102.44 1.81% 2.55% 6.42%
Hybrid Adjustable Rate RMBS 44,831 45,924 102.44 1.81% 2.55% 6.42%
15 Year Fixed Rate RMBS 86,213 89,932 104.31 3.54% 3.28% 14.70%
20 Year Fixed Rate RMBS 410,784 439,804 107.06 17.33% 4.00% 8.78%
30 Year Fixed Rate RMBS 1,681,902 1,817,048 108.04 71.61% 4.33% 8.67%
Total Fixed Rate RMBS 2,178,899 2,346,784 107.71 92.48% 4.22% 8.93%
Total Pass-through RMBS 2,225,668 2,394,765 107.60 94.37% 4.19% 8.87%
Interest-Only Securities 534,146 61,345 11.48 2.42% 3.56% 18.81%
Inverse Interest-Only Securities 385,436 81,472 21.14 3.21% 5.58% 14.48%
Structured RMBS 919,582 142,817 15.53 5.63% 4.71% 17.00%
Total Mortgage Assets $3,145,250 $2,537,582 100.00% 4.22% 11.25%


RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
Percentage
Percentage
Fair of
Fair of
Asset Category Value(1) Portfolio
Asset Category Value(1) Portfolio
As of November 30, 2016 As of November 30, 2016
Fannie Mae $1,890,375 74.5% Whole Pool Assets $1,986,336 78.3%
Freddie Mac 637,529 25.1% Non Whole Pool Assets 551,246 21.7%
Ginnie Mae 9,678 0.4% Total Mortgage Assets $2,537,582 100.0%
Total Mortgage Assets $2,537,582 100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $5.1 million purchased in November 2016 which settle in December 2016.

Borrowings By Counterparty
($ in thousands)
Weighted
% of
Average
Total Total
Maturity Longest
As of November 30, 2016 Borrowings(1) Debt
in Days Maturity
Citigroup Global Markets Inc $276,506 11.6% 10 1/5/2017
Mitsubishi UFJ Securities (USA), Inc 190,922 8.1% 29 2/14/2017
South Street Securities, LLC 178,406 7.6% 6 12/21/2016
RBC Capital Markets, LLC 168,792 7.1% 13 12/13/2016
Goldman, Sachs & Co 167,675 7.1% 15 1/23/2017
J.P. Morgan Securities LLC 160,239 6.8% 23 1/10/2017
ED&F Man Capital Markets Inc 159,388 6.8% 60 2/13/2017
Cantor Fitzgerald & Co 149,977 6.4% 50 1/23/2017
ICBC Financial Services LLC 140,196 5.9% 19 12/30/2016
Wells Fargo Bank, N.A. 138,922 5.9% 9 12/9/2016
KGS-Alpha Capital Markets, L.P. 132,172 5.6% 24 2/24/2017
Daiwa Securities America Inc. 111,201 4.7% 11 12/14/2016
Guggenheim Securities, LLC 94,674 4.0% 38 1/30/2017
Natixis, New York Branch 94,100 4.0% 10 12/21/2016
Nomura Securities International, Inc. 83,928 3.6% 16 12/29/2016
Mizuho Securities USA, Inc 57,491 2.4% 7 12/7/2016
FHLB-Cincinnati 52,731 2.2% 1 12/1/2016
Suntrust Robinson Humphrey, Inc 3,976 0.2% 9 12/9/2016
Total Borrowings $2,361,296 100.0% 21 2/24/2017

(1) In November 2016, the Company purchased assets with a fair value of approximately $5.1 million which settle in December 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 Weighted
Weighted
Modeled
Modeled
Months Average
Average
Interest
Interest
To Next Lifetime
Periodic
Rate
Rate
Fair Coupon Reset Cap
Cap Per Year
Sensitivity
Sensitivity
Asset Category Value (if applicable) (if applicable)
(if applicable)
(-50 BPS)(1)
(+50 BPS)(1)
As of November 30, 2016
Adjustable Rate RMBS $2,057 6 10.05% 2.00% $ 11 $ (11)
Hybrid Adjustable Rate RMBS 45,924 74 7.55% 2.00% 757 (839)
Total Fixed Rate RMBS 2,346,784 n/a n/an/a 52,222 (60,457)
Total Pass-through RMBS 2,394,765 n/a n/an/a 52,990 (61,307)
Interest-Only Securities 61,345 n/a n/an/a (5,990) 4,442
Inverse Interest-Only Securities 81,472 1 6.14%n/a 4,963 (6,373)
Structured RMBS 142,817 n/a n/an/a (1,027) (1,931)
Total Mortgage Assets $2,537,582 n/a n/an/a $ 51,963 $ (63,238)
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 $ (5,677) $ 7,375
Treasury Futures Contracts - Short Positions 185,000 Dec-2026 (7,262) 7,016
Payer Swaps 600,000 Feb-2020 (8,837) 8,837
TBA Short Positions 200,000 Dec-2016 (3,672) 4,758
Grand Total $ 26,515 $ (35,252)

(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 $125.23 at November 30, 2016. The nominal value of the short position was $231.7 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.