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Orchid Island Capital Announces February 2017 Monthly Dividend and January 31, 2017 RMBS Portfolio Characteristics

  • February 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of January 31, 2017

VERO BEACH, Fla., Feb. 08, 2017 (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 February 2017. The dividend of $0.14 per share will be paid March 10, 2017, to holders of record on February 28, 2017, with an ex-dividend date of February 24, 2017.

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 February 8, 2017, the Company had 32,964,547 shares outstanding. At December 31, 2016, the Company had 32,962,919 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 31, 2017 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 Jan 2017 CPR
Asset Category Face Value(1) Price Portfolio
Coupon (Reported in Feb)
As of January 31, 2017
Adjustable Rate RMBS$1,925 $2,045 106.22 0.07% 3.50% 0.06%
10-1 Hybrid Rate RMBS 43,477 44,465 102.27 1.50% 2.55% 12.10%
Hybrid Adjustable Rate RMBS 43,477 44,465 102.27 1.50% 2.55% 12.10%
15 Year Fixed Rate RMBS 83,158 86,447 103.95 2.92% 3.28% 6.68%
20 Year Fixed Rate RMBS 401,806 429,447 106.88 14.49% 4.00% 7.85%
30 Year Fixed Rate RMBS 2,092,121 2,238,796 107.01 75.52% 4.27% 5.78%
Total Fixed Rate RMBS 2,577,085 2,754,690 106.89 92.92% 4.19% 6.13%
Total Pass-through RMBS 2,622,487 2,801,200 106.81 94.49% 4.17% 6.23%
Interest-Only Securities 620,111 75,304 12.14 2.54% 3.61% 12.49%
Inverse Interest-Only Securities 424,938 88,023 20.71 2.97% 5.36% 12.72%
Structured RMBS 1,045,049 163,327 15.63 5.51% 4.55% 12.58%
Total Mortgage Assets$3,667,536 $2,964,527 100.00% 4.19% 8.04%


RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s) (in thousands of $s)
As of January 31, 2017Fair
Value
Percentage
of Portfolio

As of January 31, 2017 Fair
Value
Percentage
of Portfolio

Fannie Mae$ 2,186,862 73.8%
Freddie Mac768,099 25.9% Whole Pool Assets$ 2,391,684 80.7%
Ginnie Mae9,566 0.3% Non Whole Pool Assets572,843 19.3%
Total Portfolio$ 2,964,527 100% Total Portfolio$ 2,964,527 100%

(1) Amounts in the tables above include assets with a fair value of approximately $5.7 million purchased in January 2017 which settle in February 2017, and excludes assets with a fair value of approximately $120.1 million sold in January 2017 which settle in February 2017.

Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
As of January 31, 2017Total Borrowings% Of Total DebtWeighted Average Maturity in DaysLongest Maturity
J.P. Morgan Securities LLC$289,03010.12%132/17/2017
Citigroup Global Markets Inc 288,35810.10%92/27/2017
Wells Fargo Bank, N.A. 247,2218.66%82/10/2017
Cantor Fitzgerald & Co 233,2758.17%424/21/2017
RBC Capital Markets, LLC 233,2528.17%413/13/2017
Mitsubishi UFJ Securities (USA), Inc 213,0587.46%132/14/2017
South Street Securities, LLC 173,3066.07%72/21/2017
KGS-Alpha Capital Markets, L.P 165,9065.81%223/16/2017
ICBC Financial Services LLC 162,0365.68%163/2/2017
ED&F Man Capital Markets Inc 156,5325.48%162/23/2017
Guggenheim Securities, LLC 144,2075.05%383/14/2017
Daiwa Securities America Inc. 125,2824.39%112/17/2017
Goldman, Sachs & Co 119,1254.17%132/23/2017
Natixis, New York Branch 89,2503.13%82/17/2017
Nomura Securities International, Inc. 69,7462.44%503/29/2017
Mizuho Securities USA, Inc 55,5011.94%163/2/2017
FHLB-Cincinnati 54,0581.89%12/1/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated 35,5031.24%905/1/2017
Total Borrowings$2,854,646100%205/1/2017


(1) In January 2017, the Company purchased assets with a fair value of approximately $5.7 million which settle in February 2017 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 January 31, 2017
Adjustable Rate RMBS$2,045 4 10.05% 2.00% $10 $(10)
Hybrid Adjustable Rate RMBS 44,465 71 7.55% 2.00% 718 (800)
Total Fixed Rate RMBS 2,754,690 n/a n/a n/a 61,553 (73,095)
Total Pass-through RMBS 2,801,200 n/a n/a n/a 62,281 (73,905)
Interest-Only Securities 75,304 n/a n/a n/a (7,358) 5,577
Inverse Interest-Only Securities 88,023 0 6.13% n/a 5,423 (7,239)
Structured RMBS 163,327 n/a n/a n/a (1,935) (1,662)
Total Mortgage Assets$2,964,527 n/a n/a n/a $60,346 $(75,567)
Funding Hedges
Modeled Modeled
Interest Interest
Average Hedge
Rate Rate
Notional Period
Sensitivity Sensitivity
Balance(2) End Date
(-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions$643,750 Dec-2020 $(11,408) $12,875
Treasury Futures Contracts - Short Positions 465,000 Mar-2027 (17,006) 18,376
Payer Swaps 700,000 Dec-2021 (10,677) 10,677
TBA Short Positions 200,000 Feb-2017 (3,940) 5,287
Total Hedges (43,031) 47,215
Grand Total $17,315 $(28,352)

(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 $124.47 at January 31, 2017. The nominal value of the short position was $578.8 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.