Market Overview

Orchid Island Capital Announces August 2015 Monthly Dividend and July 31, 2015 RMBS Portfolio Characteristics

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  • August 2015 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of July 31, 2015
  • Repurchased 291,116 shares through stock repurchase program

VERO BEACH, Fla., Aug. 11, 2015 (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 2015. The dividend of $0.14 per share will be paid August 31, 2015, to holders of record on August 26, 2015, with an ex-dividend date of August 24, 2015.

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 certain percentages 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 11, 2015, the Company had 22,671,377 shares outstanding, including 198,600 shares repurchased pursuant to the Company's stock repurchase program through that date that have not yet settled. At June 30, 2015, the Company had 22,959,817 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2015 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, 2014.

RMBS Valuation Characteristics
($ in thousands)
        Percentage Weighted Realized
  Current Fair Current of Average Jul 2015 CPR
Asset Category Face Value(1)(2) Price Portfolio Coupon (Reported in Aug)
As of July 31, 2015            
Adjustable Rate RMBS  $ 3,215  $ 3,445 107.15 0.18% 3.65% 43.72%
10-1 Hybrid Rate RMBS 55,081 56,370 102.34 3.02% 2.56% 16.25%
Hybrid Adjustable Rate RMBS 55,081 56,370 102.34 3.02% 2.56% 16.25%
15 Year Fixed Rate RMBS 211,963 221,941 104.71 11.88% 3.14% 7.48%
20 Year Fixed Rate RMBS 228,152 245,728 107.70 13.16% 4.00% 3.64%
30 Year Fixed Rate RMBS 1,137,720 1,228,069 107.94 65.76% 4.17% 7.77%
Total Fixed Rate RMBS 1,577,835 1,695,738 107.47 90.80% 4.01% 7.10%
Total Pass-through RMBS 1,636,131 1,755,553 107.30 94.00% 3.96% 7.53%
Interest-Only Securities 563,085 70,247 12.48 3.76% 3.62% 17.06%
Inverse Interest-Only Securities 200,720 41,818 20.83 2.24% 6.19% 18.10%
Structured RMBS 763,805 112,065 14.67 6.00% 4.58% 17.33%
Total Mortgage Assets  $ 2,399,936  $ 1,867,618   100.00% 4.00% 10.88%
     
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)(2) Portfolio   Asset Category Value(1)(2) Portfolio
As of July 31, 2015       As of July 31, 2015    
Fannie Mae  $ 1,463,963 78.4%   Whole Pool Assets  $ 1,571,896 84.2%
Freddie Mac 384,676 20.6%   Non Whole Pool Assets 295,722 15.8%
Ginnie Mae 18,979 1.0%   Total Mortgage Assets  $ 1,867,618 100.0%
Total Mortgage Assets  $ 1,867,618 100.0%        
             
(1) Amounts in the tables above include assets with a fair value of approximately $194.3 million purchased in July 2015 which settle in August 2015, and excludes assets with a fair value of $179.3 million sold in July 2015 which settle in August 2015.
(2) The tables above include to-be-announced securities sold with a fair value of approximately $20.6 million entered into prior to month-end which settle in August 2015.
 
Repurchase Agreement Exposure By Counterparty
($ in thousands)
      Weighted  
    % of Average  
  Total Total Maturity Longest
As of July 31, 2015 Borrowings(1) Debt in Days Maturity
J.P. Morgan Securities LLC $ 156,332 9.1% 11 8/31/2015
ICBC Financial Services LLC 148,325 8.6% 13 8/21/2015
Citigroup Global Markets Inc 146,476 8.5% 16 9/18/2015
Cantor Fitzgerald & Co 144,574 8.4% 14 8/17/2015
ED&F Man Capital Markets Inc 139,184 8.1% 21 10/6/2015
Mizuho Securities USA, Inc 116,538 6.8% 15 9/2/2015
Mitsubishi UFJ Securities (USA), Inc 113,119 6.6% 18 8/31/2015
KGS-Alpha Capital Markets, L.P 103,826 6.0% 19 9/1/2015
RBC Capital Markets, LLC 102,724 6.0% 18 9/22/2015
Nomura Securities International, Inc. 98,366 5.7% 20 8/31/2015
South Street Securities, LLC 90,471 5.3% 13 8/20/2015
Daiwa Securities America Inc. 82,918 4.8% 11 9/9/2015
Wells Fargo Bank, N.A. 65,587 3.8% 14 8/14/2015
Goldman, Sachs & Co 55,918 3.2% 48 9/17/2015
Morgan Stanley & Co 53,593 3.1% 6 8/6/2015
CRT Capital Group, LLC 46,221 2.7% 19 8/28/2015
Guggenheim Securities, LLC 27,660 1.6% 29 9/2/2015
Merrill Lynch, Pierce, Fenner & Smith Inc 14,371 0.8% 13 8/13/2015
Barclays Capital Inc 10,089 0.6% 14 8/14/2015
Suntrust Robinson Humphrey, Inc 4,463 0.3% 28 8/28/2015
Total Borrowings $ 1,720,755 100.0% 17 10/6/2015
         
(1) In July 2015, the Company purchased assets with a fair value of approximately $194.3 million which settle in August 2015 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 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 July 31, 2015            
Adjustable Rate RMBS  $ 3,445 1 10.07% 2.00%  $ 24  $ (26)
Hybrid Adjustable Rate RMBS 56,370 90 7.56% 2.00% 940 (1,130)
Total Fixed Rate RMBS 1,695,738 n/a n/a n/a 30,955 (40,198)
Total Pass-through RMBS 1,755,553 n/a n/a n/a 31,919 (41,354)
Interest-Only Securities 70,247 n/a n/a n/a (12,026) 10,270
Inverse Interest-Only Securities 41,818 1 6.38% n/a (110) (1,168)
Structured RMBS 112,065 n/a n/a n/a (12,136) 9,102
Total Mortgage Assets  $ 1,867,618 n/a n/a n/a  $ 19,783  $ (32,252)
             
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    $ 900,000 Mar-2019  $ (14,983)  $ 16,875
Treasury Futures Contracts - Short Positions   240,000 Sep-2015 (8,495) 10,921
Payer Swaption     100,000 Sep-2025 (4) 50
Grand Total          $ (3,699)  $ (4,406)
             
(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 127.4375 at July 31, 2015. The nominal value of the short position was $305.9 million.
CONTACT: Orchid Island Capital, Inc. Robert E. Cauley 3305 Flamingo Drive, Vero Beach, Florida 32963 Telephone: (772) 231-1400

Orchid Island Capital, Inc.

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