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

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

VERO BEACH, Fla., Sept. 14, 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 September 2017. The dividend of $0.14 per share will be paid October 10, 2017, to holders of record on September 29, 2017, with an ex-dividend date of September 28, 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 September 14, 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 August 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. 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)
Percentage Weighted Realized
Current Fair Current ofAverageAug 2017 CPR
Asset Category Face Value(1) Price PortfolioCoupon(Reported in Sep)
As of August 31, 2017
Adjustable Rate RMBS$1,801 $1,916 $106.38 0.05%3.55%51.67%
10-1 Hybrid Rate RMBS 41,293 42,474 102.86 1.07%2.55%3.63%
Hybrid Adjustable Rate RMBS 41,293 42,474 102.86 1.07%2.55%3.63%
15 Year Fixed Rate RMBS 41,541 43,943 105.78 1.10%3.50%8.41%
20 Year Fixed Rate RMBS 284,813 304,263 106.83 7.63%4.00%2.78%
30 Year Fixed Rate RMBS 3,171,935 3,445,250 108.62 86.43%4.45%7.76%
Total Fixed Rate RMBS 3,498,289 3,793,456 108.44 95.16%4.41%7.36%
Total Pass-through RMBS 3,541,383 3,837,846 108.37 96.28%4.39%7.34%
Interest-Only Securities 765,748 91,684 11.97 2.30%3.75%15.22%
Inverse Interest-Only Securities 361,407 56,698 15.69 1.42%4.44%10.72%
Structured RMBS 1,127,155 148,382 13.16 3.72%4.02%13.77%
Total Mortgage Assets$4,668,538 $3,986,228 100.00%4.37%8.89%


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 August 31, 2017 As of August 31, 2017
Fannie Mae$2,665,070 66.9% Whole Pool Assets$3,342,352 83.8%
Freddie Mac 1,314,175 32.9% Non-Whole Pool Assets 643,876 16.2%
Ginnie Mae 6,983 0.2% Total Mortgage Assets $3,986,228 100.0%
Total Mortgage Assets$3,986,228 100.0%

(1) Amounts in the tables above exclude assets with a fair value of approximately $52.1 million sold in August 2017, which settle in September 2017.


Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of August 31, 2017 Borrowings Debt in Days Maturity
J.P. Morgan Securities LLC$626,182 16.3% 186 8/10/2018
Citigroup Global Markets Inc 365,886 9.6% 13 9/27/2017
Mirae Asset Securities (USA) Inc. 327,518 8.6% 149 8/10/2018
ICBC Financial Services LLC 257,159 6.8% 17 10/12/2017
Cantor Fitzgerald & Co 246,872 6.5% 47 10/19/2017
Wells Fargo Bank, N.A. 242,611 6.4% 10 9/11/2017
RBC Capital Markets, LLC 224,584 5.9% 46 10/16/2017
Mitsubishi UFJ Securities (USA), Inc 207,565 5.5% 47 10/23/2017
South Street Securities, LLC 173,614 4.6% 12 9/25/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated 156,925 4.1% 17 10/2/2017
ED&F Man Capital Markets Inc 152,651 4.0% 18 10/6/2017
Nomura Securities International, Inc. 142,671 3.8% 54 11/15/2017
Natixis, New York Branch 135,659 3.6% 18 9/29/2017
Guggenheim Securities, LLC 114,013 3.0% 16 9/29/2017
Goldman, Sachs & Co 109,319 2.9% 27 10/13/2017
FHLB-Cincinnati 101,719 2.7% 1 9/1/2017
Daiwa Securities America Inc. 95,345 2.5% 11 9/14/2017
KGS-Alpha Capital Markets, L.P 66,963 1.8% 129 8/14/2018
Mizuho Securities USA, Inc 25,686 0.7% 25 9/25/2017
Lucid Cash Fund USG LLC 24,859 0.7% 26 9/26/2017
Total Borrowings$3,797,801 100.0% 64 8/14/2018


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 August 31, 2017
Adjustable Rate RMBS$1,9168 10.04%2.00%$14 $(13)
Hybrid Adjustable Rate RMBS 42,47465 7.55%2.00% 508 (620)
Total Fixed Rate RMBS 3,793,456n/a n/an/a 45,020 (67,203)
Total Pass-through RMBS 3,837,846n/a n/an/a 45,542 (67,836)
Interest-Only Securities 91,684n/a n/an/a (15,035) 14,297
Inverse Interest-Only Securities 56,6981 5.39%n/a 1,089 (3,274)
Structured RMBS 148,382n/a n/an/a (13,946) 11,023
Total Mortgage Assets$3,986,228n/a n/an/a$31,596 $(56,813)
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$978,571 Dec-2020$(11,243)$17,125
Treasury Futures Contracts - Short Positions 115,000 Dec-2027 (4,801) 4,207
Payer Swaps 1,010,000 Aug-2022 (14,993) 14,993
Payer Swaption 100,000 Aug-2025 (582) 1,376
TBA Short Positions 250,000 Sep-2017 (2,053) 2,782
Total Hedges (33,672) 40,483
Grand Total $(2,076)$(16,330)

(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 $126.98 at August 31, 2017. The nominal contract value of the short position was $146.0 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.