Orchid Island Capital Announces September 2016 Monthly Dividend and August 31, 2016 RMBS Portfolio Characteristics

  • September 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of August 31, 2016

VERO BEACH, Fla., Sept. 12, 2016 (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 2016. The dividend of $0.14 per share will be paid September 30, 2016, to holders of record on September 28, 2016, with an ex-dividend date of September 26, 2016. 

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 12, 2016, the Company had 25,653,234 shares outstanding, including shares sold through the Company’s at the market program through that date that have not yet settled. At June 30, 2016, the Company had 22,430,858 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 2016 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, 2015.

                 
RMBS Valuation Characteristics                
($ in thousands)                
            Percentage Weighted Realized
    Current   Fair Current of Average Aug 2016 CPR
Asset Category   Face   Value Price Portfolio Coupon (Reported in Sep)
As of August 31, 2016                
Adjustable Rate RMBS $ 1,960 $ 2,070 105.63   0.08 %   3.12 %   0.66 %
10-1 Hybrid Rate RMBS   47,901   49,915 104.20   2.04 %   2.55 %   15.50 %
Hybrid Adjustable Rate RMBS   47,901   49,915 104.20   2.04 %   2.55 %   15.50 %
15 Year Fixed Rate RMBS   90,097   95,864 106.40   3.90 %   3.28 %   7.23 %
20 Year Fixed Rate RMBS   406,761   444,620 109.31   18.10 %   4.00 %   10.11 %
30 Year Fixed Rate RMBS   1,600,758   1,772,162 110.71   72.17 %   4.35 %   9.17 %
Total Fixed Rate RMBS   2,097,616   2,312,646 110.25   94.17 %   4.24 %   9.27 %
Total Pass-through RMBS   2,147,477   2,364,631 110.11   96.29 %   4.20 %   9.40 %
Interest-Only Securities   566,729   50,196 8.86   2.04 %   3.56 %   19.52 %
Inverse Interest-Only Securities   215,712   41,012 19.01   1.67 %   5.76 %   17.71 %
Structured RMBS   782,441   91,208 11.66   3.71 %   4.55 %   19.02 %
Total Mortgage Assets $ 2,929,918 $ 2,455,839     100.00 %   4.22 %   11.97 %
                             

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 Portfolio   Asset Category   Value Portfolio
As of August 31, 2016         As of August 31, 2016      
Fannie Mae $ 1,914,816   78.0 %   Whole Pool Assets $ 1,975,955   80.5 %
Freddie Mac   532,923   21.7 %   Non Whole Pool Assets   479,884   19.5 %
Ginnie Mae   8,100   0.3 %   Total Mortgage Assets $ 2,455,839   100.0 %
Total Mortgage Assets $ 2,455,839   100.0 %          
                     

Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of August 31, 2016   Borrowings(1)   Debt   in Days Maturity
Citigroup Global Markets Inc $ 269,245     11.4 %   38 10/12/2016
Mitsubishi UFJ Securities (USA), Inc   207,533     9.0 %   41 10/17/2016
J.P. Morgan Securities LLC   205,895     8.9 %   16 10/11/2016
South Street Securities, LLC   185,873     8.0 %   5 10/19/2016
RBC Capital Markets, LLC   182,192     7.9 %   42 10/14/2016
Goldman, Sachs & Co   162,228     7.0 %   43 10/14/2016
ICBC Financial Services LLC   144,037     6.2 %   33 10/11/2016
ED&F Man Capital Markets Inc   138,101     6.0 %   37 11/3/2016
Wells Fargo Bank, N.A.   117,098     5.1 %   10 9/12/2016
Daiwa Securities America Inc.   114,719     5.0 %   9 9/12/2016
Cantor Fitzgerald & Co   114,312     4.9 %   49 10/24/2016
Natixis, New York Branch   98,782     4.3 %   11 9/21/2016
KGS-Alpha Capital Markets, L.P   89,657     3.9 %   19 9/26/2016
Nomura Securities International, Inc.   69,613     3.0 %   13 9/26/2016
Guggenheim Securities, LLC   66,010     2.9 %   53 10/28/2016
Mizuho Securities USA, Inc   61,671     2.7 %   16 9/19/2016
FHLB-Cincinnati   55,369     2.4 %   1 9/1/2016
Morgan Stanley & Co. LLC   26,655     1.2 %   9 9/9/2016
Suntrust Robinson Humphrey, Inc   4,218     0.2 %   2 9/2/2016
Total Borrowings $ 2,313,208     100.0 %   28 11/3/2016
                   

(1) In August 2016, the Company sold assets with a fair value of approximately $28.0 million which settle in September 2016. The table above includes repurchase agreement borrowings of approximately $26.5 million which are collateralized by these sold securities.

                     
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 August 31, 2016                    
Adjustable Rate RMBS $ 2,070 8     10.05 %   2.00 % $   12   $   (12 )
Hybrid Adjustable Rate RMBS   49,915 77     7.55 %   2.00 %     462       (707 )
Total Fixed Rate RMBS   2,312,646 n/a   n/a n/a     29,064       (42,412 )
Total Pass-through RMBS   2,364,631 n/a   n/a n/a     29,538       (43,131 )
Interest-Only Securities   50,196 n/a   n/a n/a     (7,827 )     6,452  
Inverse Interest-Only Securities   41,012 1     6.28 % n/a     395       (1,402 )
Structured RMBS   91,208 n/a   n/a n/a     (7,432 )     5,050  
Total Mortgage Assets $ 2,455,839 n/a   n/a n/a $   22,106   $   (38,081 )
                     
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 $   200,000   Mar-2019 $   (1,431 ) $   2,750  
Treasury Futures Contracts – Short Positions     185,000   Sep-2026     (8,108 )     7,303  
Payer Swaps           600,000   Feb-2020     (9,678 )     9,678  
TBA Short Positions           100,000   Sep-2016     (675 )     1,428  
Grand Total             $   2,214   $   (16,922 )
                             

(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 $131.88 at August 31, 2016.  The nominal value of the short position was $244.0 million.

CONTACT: Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400