Orchid Island Capital Announces May 2017 Monthly Dividend and April 30, 2017 RMBS Portfolio Characteristics

  • May 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of April 30, 2017

VERO BEACH, Fla., May 10, 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 May 2017. The dividend of $0.14 per share will be paid June 9, 2017, to holders of record on May 31, 2017, with an ex-dividend date of May 26, 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 May 10, 2017, the Company had 34,877,414 shares outstanding. At March 31, 2017, the Company had 34,270,126 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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, 2016.

RMBS Valuation Characteristics
($ in thousands)
Current Fair CurrentofAverageApr 2017 CPR
Asset Category Face Value(1) PricePortfolioCoupon(Reported in May)
As of April 30, 2017
Adjustable Rate RMBS$1,826 $1,941 $106.280.06%3.52%0.04%
10-1 Hybrid Rate RMBS 42,613 43,676 102.491.35%2.55%14.25%
Hybrid Adjustable Rate RMBS 42,613 43,676 102.491.35%2.55%14.25%
15 Year Fixed Rate RMBS 44,150 46,391 105.081.43%3.50%7.39%
20 Year Fixed Rate RMBS 165,257 176,310 106.695.43%4.00%6.60%
30 Year Fixed Rate RMBS 2,622,106 2,828,265 107.8687.10%4.44%7.74%
Total Fixed Rate RMBS 2,831,513 3,050,966 107.7593.96%4.40%7.68%
Total Pass-through RMBS 2,875,952 3,096,583 107.6795.37%4.37%7.78%
Interest-Only Securities 829,553 104,424 12.593.22%3.75%11.31%
Inverse Interest-Only Securities 239,135 46,012 19.241.42%5.23%9.72%
Structured RMBS 1,068,688 150,436 14.084.63%4.20%10.95%
Total Mortgage Assets$3,944,640 $3,247,019 100.00%4.36%8.68%

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 30, 2017 As of April 30, 2017
Fannie Mae$2,475,68476.2% Whole Pool Assets$2,789,04485.9%
Freddie Mac 763,12923.5% Non Whole Pool Assets 457,97514.1%
Ginnie Mae 8,2060.3% Total Mortgage Assets$3,247,019100.0%
Total Mortgage Assets$3,247,019100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $184.6 million purchased in April 2017
which settle in May 2017, and exclude assets with a fair value of $118.6 million sold in April 2017, which settle in May

Borrowings By Counterparty
($ in thousands)
% of Average
Total Total MaturityLongest
As of April 30, 2017 Borrowings(1) Debt in DaysMaturity
Wells Fargo Bank, N.A.$421,382 14.2% 135/12/2017
Citigroup Global Markets Inc 269,230 9.0% 376/16/2017
ICBC Financial Services LLC 242,611 8.1% 416/13/2017
RBC Capital Markets, LLC 230,111 7.7% 466/13/2017
Cantor Fitzgerald & Co 229,546 7.7% 516/21/2017
Mitsubishi UFJ Securities (USA), Inc 202,629 6.8% 787/17/2017
J.P. Morgan Securities LLC 202,128 6.8% 436/12/2017
South Street Securities, LLC 172,073 5.8% 115/22/2017
ED&F Man Capital Markets Inc 151,950 5.1% 386/12/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated 149,129 5.0% 115/11/2017
KGS-Alpha Capital Markets, L.P 132,035 4.4% 316/14/2017
Goldman, Sachs & Co 128,944 4.3% 396/13/2017
Daiwa Securities America Inc. 107,517 3.6% 175/19/2017
Guggenheim Securities, LLC 81,432 2.7% 506/29/2017
FHLB-Cincinnati 81,181 2.7% 35/1/2017
Natixis, New York Branch 70,741 2.4% 75/15/2017
Nomura Securities International, Inc. 65,220 2.2% 275/30/2017
Mizuho Securities USA, Inc 44,478 1.5% 205/22/2017
Total Borrowings$2,982,337 100.0% 337/17/2017
(1) In April 2017, the Company purchased assets with a fair value of approximately $184.6 million, which settle in May
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
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 30, 2017
Adjustable Rate RMBS$1,9412 10.04%2.00%$8 $(7)
Hybrid Adjustable Rate RMBS 43,67669 7.55%2.00% 643 (742)
Total Fixed Rate RMBS 3,050,966n/a n/an/a 50,067 (66,927)
Total Pass-through RMBS 3,096,583n/a n/an/a 50,718 (67,676)
Interest-Only Securities 104,424n/a n/an/a (14,862) 11,763
Inverse Interest-Only Securities 46,0121 6.22%n/a 1,542 (2,956)
Structured RMBS 150,436n/a n/an/a (13,320) 8,807
Total Mortgage Assets$3,247,019n/a n/an/a$37,398 $(58,869)
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$893,750 Dec-2020$(15,871)$17,875
Treasury Futures Contracts - Short Positions 465,000 Jun-2027 (15,588) 20,003
Payer Swaps 800,000 Mar-2022 (12,666) 12,666
TBA Short Positions 250,000 May-2017 (7,240) 8,594
Total Hedges (51,365) 59,138
Grand Total $(13,967)$269
(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 $125.72 at April 30, 2017. The nominal contract value of the short
position was $584.6 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.