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Orchid Island Capital Announces August 2017 Monthly Dividend and July 31, 2017 RMBS Portfolio Characteristics

  • August 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of July 31, 2017

VERO BEACH, Fla., Aug. 09, 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 August 2017. The dividend of $0.14 per share will be paid September 8, 2017, to holders of record on August 31, 2017, with an ex-dividend date of August 29, 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 August 9, 2017, the Company had 45,303,821 shares outstanding. At June 30, 2017, the Company had 45,299,812 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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, 2016.


RMBS Valuation Characteristics
($ in thousands)
PercentageWeightedRealized
Current Fair CurrentofAverageJul 2017 CPR
Asset Category Face Value(1) PricePortfolioCoupon(Reported in Aug)
As of July 31, 2017
Adjustable Rate RMBS$1,808$1,923 106.370.05%3.52%0.09%
10-1 Hybrid Rate RMBS 41,765 42,766 102.401.07%2.55%0.84%
Hybrid Adjustable Rate RMBS 41,765 42,766 102.401.07%2.55%0.84%
15 Year Fixed Rate RMBS 42,194 44,228 104.821.11%3.50%11.77%
20 Year Fixed Rate RMBS 227,847 242,668 106.506.09%4.00%4.01%
30 Year Fixed Rate RMBS 3,244,093 3,512,082 108.2688.12%4.45%4.64%
Total Fixed Rate RMBS 3,514,134 3,798,978 108.1195.32%4.41%4.69%
Total Pass-through RMBS 3,557,707 3,843,667 108.0496.44%4.39%4.64%
Interest-Only Securities 780,838 97,756 12.522.45%3.74%13.47%
Inverse Interest-Only Securities 228,785 44,189 19.311.11%4.99%14.97%
Structured RMBS 1,009,623 141,945 14.063.56%4.13%13.81%
Total Mortgage Assets$4,567,330$3,985,612 100.00%4.38%6.67%


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 July 31, 2017 As of July 31, 2017
Fannie Mae$2,656,78666.7% Whole Pool Assets$3,409,43685.5%
Freddie Mac 1,321,75633.1% Non-Whole Pool Assets 576,17614.5%
Ginnie Mae 7,0700.2% Total Mortgage Assets$3,985,612100.0%
Total Mortgage Assets$3,985,612100.0%

(1) Amounts in the tables above include assets with a fair value of approximately $6.5 million purchased in July 2017, which settle in August 2017.


Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of July 31, 2017 Borrowings(1) Debt in DaysMaturity
J.P. Morgan Securities LLC$731,588 19.6% 118/21/2017
Citigroup Global Markets Inc 367,625 9.8% 199/14/2017
ICBC Financial Services LLC 279,796 7.5% 4410/12/2017
Cantor Fitzgerald & Co 248,662 6.6% 4710/19/2017
Wells Fargo Bank, N.A. 244,886 6.5% 108/11/2017
Mirae Asset Securities (USA) Inc. 229,167 6.1% 189/22/2017
RBC Capital Markets, LLC 226,246 6.0% 148/14/2017
Mitsubishi UFJ Securities (USA), Inc 206,554 5.5% 7810/23/2017
South Street Securities, LLC 174,843 4.7% 118/24/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated 158,178 4.2% 188/31/2017
ED&F Man Capital Markets Inc 155,908 4.2% 209/22/2017
Nomura Securities International, Inc. 142,816 3.8% 6310/30/2017
Natixis, New York Branch 138,593 3.7% 188/31/2017
Goldman, Sachs & Co 104,232 2.8% 4310/13/2017
Daiwa Securities America Inc. 91,518 2.4% 128/14/2017
FHLB-Cincinnati 79,487 2.1% 18/1/2017
KGS-Alpha Capital Markets, L.P 67,895 1.8% 118/14/2017
Guggenheim Securities, LLC 51,867 1.4% 309/29/2017
Lucid Cash Fund USG LLC 24,831 0.7% 248/24/2017
Mizuho Securities USA, Inc 21,958 0.6% 258/25/2017
Total Borrowings$3,746,650 100.0% 2510/30/2017

(1) In July 2017, the Company purchased assets with a fair value of approximately $6.5 million which settle in August 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 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 July 31, 2017
Adjustable Rate RMBS$1,9231 10.04%2.00%$15 $(11)
Hybrid Adjustable Rate RMBS 42,76666 7.55%2.00% 571 (669)
Total Fixed Rate RMBS 3,798,978n/a n/a n/a 53,106 (77,106)
Total Pass-through RMBS 3,843,667n/a n/a n/a 53,692 (77,786)
Interest-Only Securities 97,756n/a n/a n/a (15,305) 12,919
Inverse Interest-Only Securities 44,1891 6.22%n/a 853 (2,235)
Structured RMBS 141,945n/a n/a n/a (14,452) 10,684
Total Mortgage Assets$3,985,612n/a n/a n/a $39,240 $(67,102)
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$978,571 Dec-2020$(13,128)$17,125
Treasury Futures Contracts - Short Positions 465,000 Sep-2027 (18,030) 17,933
Payer Swaps 950,000 May-2022 (14,422) 14,422
TBA Short Positions 250,000 Aug-2017 (6,643) 8,386
Total Hedges (52,223) 57,866
Grand Total $(12,983)$(9,236)

(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 $125.89 at July 31, 2017. The nominal contract value of the short position was $585.4 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.