Orchid Island Capital Announces November 2016 Monthly Dividend And October 31, 2016 RMBS Portfolio Characteristics

  • November 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2016

VERO BEACH, Fla., Nov. 09, 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 November 2016. The dividend of $0.14 per share will be paid December 9, 2016, to holders of record on November 30, 2016, with an ex-dividend date of November 28, 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 November 9, 2016, the Company had 26,425,291 shares outstanding, including shares sold through the Company's at the market program through that date that have not yet settled. At September 30, 2016, the Company had 26,252,193 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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 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, 2015.
RMBS Valuation Characteristics                        
($ in thousands)                        
                    Percentage Weighted Realized
    Current       Fair   Current   of Average Oct 2016 CPR
Asset Category   Face       Value (1)   Price   Portfolio Coupon (Reported in Nov)
As of October 31, 2016                        
Adjustable Rate RMBS $ 1,946     $ 2,068   106.26         0.09 %       3.50 %   0.67 %
10-1 Hybrid Rate RMBS   45,795       47,607   103.96         2.00 %       2.55 %   16.85 %
Hybrid Adjustable Rate RMBS   45,795       47,607   103.96         2.00 %       2.55 %   16.85 %
15 Year Fixed Rate RMBS   87,705       93,174   106.24         3.91 %       3.28 %   11.74 %
20 Year Fixed Rate RMBS   414,418       453,529   109.44         19.05 %       4.00 %   9.18 %
30 Year Fixed Rate RMBS   1,499,390       1,655,562   110.42         69.55 %       4.32 %   9.44 %
Total Fixed Rate RMBS   2,001,513       2,202,265   110.03         92.51 %       4.21 %   9.49 %
Total Pass-through RMBS   2,049,254       2,251,940   109.89         94.60 %       4.17 %   9.64 %
Interest-Only Securities   533,737       52,188   9.78         2.19 %       3.55 %   17.96 %
Inverse Interest-Only Securities   356,097       76,342   21.44         3.21 %       5.62 %   15.56 %
Structured RMBS   889,834       128,530   14.44         5.40 %       4.78 %   17.08 %
Total Mortgage Assets $ 2,939,088     $ 2,380,470             100.00 %       4.21 %   11.81 %

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 October 31, 2016         As of October 31, 2016      
Fannie Mae $ 1,841,313   77.4 %   Whole Pool Assets $ 1,961,445   82.4 %
Freddie Mac   530,750   22.2 %   Non Whole Pool Assets   419,025   17.6 %
Ginnie Mae   8,407   0.4 %   Total Mortgage Assets $ 2,380,470   100.0 %
Total Mortgage Assets $ 2,380,470   100.0 %          

(1) Amounts in the tables above include assets with a fair value of approximately $10.5 million purchased in October 2016 which settle in November 2016, and exclude assets with a fair value of $118.6 million sold in October 2016 which settle in November 2016.
Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of October 31, 2016   Borrowings (1)   Debt   in Days Maturity
Citigroup Global Markets Inc $ 277,985     12.1 %   10 1/5/2017
Mitsubishi UFJ Securities (USA), Inc   203,824     8.9 %   16 11/30/2016
RBC Capital Markets, LLC   202,219     8.8 %   14 11/14/2016
South Street Securities, LLC   183,022     8.0 %   5 11/21/2016
J.P. Morgan Securities LLC   175,600     7.7 %   26 12/16/2016
ED&F Man Capital Markets Inc   167,788     7.3 %   36 1/23/2017
Goldman, Sachs & Co   157,562     6.9 %   14 11/21/2016
Wells Fargo Bank, N.A.   150,474     6.6 %   10 11/10/2016
ICBC Financial Services LLC   140,773     6.1 %   42 12/30/2016
Daiwa Securities America Inc.   112,192     4.9 %   11 11/14/2016
Cantor Fitzgerald & Co   105,748     4.6 %   41 1/9/2017
Natixis, New York Branch   95,964     4.2 %   10 11/21/2016
KGS-Alpha Capital Markets, L.P   88,244     3.8 %   19 11/25/2016
Nomura Securities International, Inc.   67,649     3.0 %   41 12/12/2016
Mizuho Securities USA, Inc   55,770     2.4 %   7 11/7/2016
FHLB-Cincinnati   53,866     2.3 %   1 11/1/2016
Guggenheim Securities, LLC   50,284     2.2 %   28 11/28/2016
Suntrust Robinson Humphrey, Inc   4,024     0.2 %   10 11/10/2016
Total Borrowings $ 2,292,988     100.0 %   19 1/23/2017

(1) In October 2016, the Company purchased assets with a fair value of approximately $10.5 million which settle in November 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In October 2016, the Company also sold assets with a fair value of approximately $118.6 million which settle in November 2016. The table above includes repurchase agreement borrowings of approximately $112.2 million which are collateralized by these sold securities.
RMBS Risk Measures                    
($ 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 October 31, 2016                    
Adjustable Rate RMBS $ 2,068 7         10.05 %     2.00 % $   12   $   (12 )
Hybrid Adjustable Rate RMBS   47,607 75         7.55 %     2.00 %     566       (745 )
Total Fixed Rate RMBS   2,202,265 n/a   n/a n/a     32,649       (45,480 )
Total Pass-through RMBS   2,251,940 n/a   n/a n/a     33,227       (46,237 )
Interest-Only Securities   52,188 n/a   n/a n/a     (7,660 )     6,081  
Inverse Interest-Only Securities   76,342 1         6.15 % n/a     2,513       (4,295 )
Structured RMBS   128,530 n/a   n/a n/a     (5,147 )     1,786  
Total Mortgage Assets $ 2,380,470 n/a   n/a n/a $   28,080   $   (44,451 )
                     
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 $       453,846   Dec-2019 $   (4,478 ) $   7,375  
Treasury Futures Contracts - Short Positions         185,000   Dec-2026     (7,424 )     7,378  
Payer Swaps               600,000   Feb-2020     (9,715 )     9,715  
TBA Short Positions               135,000   Nov-2016     (1,490 )     2,682  
Grand Total             $   4,973   $   (17,301 )

(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 $129.63 at October 31, 2016.  The nominal value of the short position was $239.8 million.
Contact:Orchid Island Capital, Inc.Robert E. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400

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