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Orchid Island Capital Announces March 2018 Monthly Dividend and February 28, 2018 RMBS Portfolio Characteristics

  • March 2018 Monthly Dividend of $0.09 Per Share
  • RMBS Portfolio Characteristics as of February 28, 2018

VERO BEACH, Fla., March 08, 2018 (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 March 2018. The dividend of $0.09 per share will be paid April 10, 2018, to holders of record on March 29, 2018, with an ex-dividend date of March 28, 2018.

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 March 8, 2018, the Company had 53,065,790 shares outstanding. At December 31, 2017, the Company had 53,061,904 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 2018 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, 2017.

RMBS Valuation Characteristics
($ in thousands)
PercentageWeightedRealized
Current Fair CurrentofAverageFeb 2018 CPR
Asset Category Face Value PricePortfolioCoupon(Reported in Mar)
As of February 28, 2018
Adjustable Rate RMBS$1,649$1,740$105.530.05%3.95%0.02%
10-1 Hybrid Rate RMBS 26,568 26,448 99.550.69%2.59%0.70%
Hybrid Adjustable Rate RMBS 26,568 26,448 99.550.69%2.59%0.70%
15 Year Fixed Rate RMBS 38,111 38,944 102.191.02%3.50%10.69%
20 Year Fixed Rate RMBS 498,438 517,292 103.7813.50%4.00%6.03%
30 Year Fixed Rate RMBS 2,965,939 3,109,311 104.8381.16%4.32%5.71%
Total Fixed Rate RMBS 3,502,488 3,665,547 104.6695.68%4.26%5.81%
Total Pass-through RMBS 3,530,705 3,693,735 104.6296.41%4.25%5.77%
Interest-Only Securities 735,979 108,333 14.722.83%3.80%11.36%
Inverse Interest-Only Securities 259,670 29,024 11.180.76%4.04%11.68%
Structured RMBS 995,649 137,357 13.803.59%3.85%11.44%
Total Mortgage Assets$4,526,354$3,831,092 100.00%4.24%7.02%


RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test
($ in thousands) ($ in thousands)
Percentage Percentage
Fairof Fairof
Asset Category ValuePortfolio Asset Category ValuePortfolio
As of February 28, 2018 As of February 28, 2018
Fannie Mae$2,291,79959.8% Whole Pool Assets$3,129,85981.7%
Freddie Mac 1,533,37340.0% Non-Whole Pool Assets 701,23318.3%
Ginnie Mae 5,9200.2% Total Mortgage Assets$3,831,092100.0%
Total Mortgage Assets$3,831,092100.0%




Borrowings By Counterparty
($ in thousands)
Weighted
% of Average
Total Total MaturityLongest
As of February 28, 2018 Borrowings Debt in DaysMaturity
J.P. Morgan Securities LLC$592,982 16.5% 958/10/2018
Mirae Asset Securities (USA) Inc. 393,335 10.8% 508/10/2018
Wells Fargo Bank, N.A. 273,290 7.5% 143/14/2018
Citigroup Global Markets Inc 226,543 6.2% 163/19/2018
RBC Capital Markets, LLC 219,183 6.0% 123/12/2018
Guggenheim Securities, LLC 207,991 5.7% 153/27/2018
Cantor Fitzgerald & Co 196,124 5.4% 163/16/2018
ING Financial Markets LLC 192,698 5.3% 113/12/2018
Mitsubishi UFJ Securities (USA), Inc 173,432 4.8% 193/23/2018
Goldman, Sachs & Co 154,046 4.2% 163/29/2018
ICBC Financial Services LLC 151,117 4.1% 23/2/2018
Nomura Securities International, Inc. 136,686 3.7% 183/29/2018
KGS-Alpha Capital Markets, L.P 124,525 3.4% 438/14/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 111,128 3.0% 93/14/2018
Natixis, New York Branch 103,550 2.8% 203/26/2018
FHLB-Cincinnati 92,054 2.5% 13/1/2018
ED&F Man Capital Markets Inc 86,115 2.4% 173/22/2018
Mizuho Securities USA, Inc 73,769 2.0% 173/22/2018
Daiwa Securities America Inc. 67,255 1.8% 103/12/2018
Lucid Cash Fund USG LLC 40,111 1.1% 133/13/2018
J.V.B. Financial Group, LLC 18,697 0.5% 133/14/2018
South Street Securities, LLC 10,614 0.3% 283/28/2018
Total Borrowings$3,645,245 100.0% 328/14/2018




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 February 28, 2018
Adjustable Rate RMBS$1,7404 10.05%2.00%$8 $(6)
Hybrid Adjustable Rate RMBS 26,44858 7.59%2.00% 386 (406)
Total Fixed Rate RMBS 3,665,547n/a n/an/a 74,508 (93,300)
Total Pass-through RMBS 3,693,735n/a n/an/a 74,902 (93,712)
Interest-Only Securities 108,333n/a n/an/a (12,083) 8,526
Inverse Interest-Only Securities 29,0241 5.28%n/a 3,050 (3,647)
Structured RMBS 137,357n/a n/an/a (9,033) 4,879
Total Mortgage Assets$3,831,092n/a n/an/a$65,869 $(88,833)
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$1,454,545 Dec-2020$(20,000)$20,000
Treasury Futures Contracts - Short Positions 165,000 Jun-2018 (4,374) 4,308
Payer Swaps 1,010,000 Aug-2022 (12,175) 12,175
Payer Swaption 750,000 Aug-2028 (5,462) 13,106
Receiver Swaption 100,000 Feb-2024 1,141 (478)
TBA Short Positions 400,000 Mar-2018 (11,708) 13,640
Total Hedges (52,578) 62,751
Grand Total $13,291 $(26,082)

(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) Five year treasury futures contracts were valued at prices of $113.93 at February 28, 2018. The notional contract value of the short position was $188.0 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.

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