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Orchid Island Capital Announces December 2016 Monthly Dividend and November 30, 2016 RMBS Portfolio Characteristics

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  • December 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of November 30, 2016

VERO BEACH, Fla., Dec. 08, 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 December 2016. The dividend of $0.14 per share will be paid January 10, 2017, to holders of record on December 30, 2016, with an ex-dividend date of December 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 December 8, 2016, the Company had 31,963,790 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 November 30, 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
 Nov 2016 CPR
Asset Category  Face  Value(1) Price Portfolio
 Coupon
 (Reported in Dec)
As of November 30, 2016                 
Adjustable Rate RMBS $1,938 $2,057 106.13 0.08% 3.50% 0.69%
10-1 Hybrid Rate RMBS  44,831  45,924 102.44 1.81% 2.55% 6.42%
Hybrid Adjustable Rate RMBS  44,831  45,924 102.44 1.81% 2.55% 6.42%
15 Year Fixed Rate RMBS  86,213  89,932 104.31 3.54% 3.28% 14.70%
20 Year Fixed Rate RMBS  410,784  439,804 107.06 17.33% 4.00% 8.78%
30 Year Fixed Rate RMBS  1,681,902  1,817,048 108.04 71.61% 4.33% 8.67%
Total Fixed Rate RMBS  2,178,899  2,346,784 107.71 92.48% 4.22% 8.93%
Total Pass-through RMBS  2,225,668  2,394,765 107.60 94.37% 4.19% 8.87%
Interest-Only Securities  534,146  61,345 11.48 2.42% 3.56% 18.81%
Inverse Interest-Only Securities  385,436  81,472 21.14 3.21% 5.58% 14.48%
Structured RMBS  919,582  142,817 15.53 5.63% 4.71% 17.00%
Total Mortgage Assets $3,145,250 $2,537,582   100.00% 4.22% 11.25%
                  


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 November 30, 2016       As of November 30, 2016      
Fannie Mae $1,890,375 74.5% Whole Pool Assets $1,986,336 78.3%
Freddie Mac  637,529 25.1% Non Whole Pool Assets  551,246 21.7%
Ginnie Mae  9,678 0.4% Total Mortgage Assets $2,537,582 100.0%
Total Mortgage Assets $2,537,582 100.0%      
             

(1) Amounts in the tables above include assets with a fair value of approximately $5.1 million purchased in November 2016 which settle in December 2016.

Borrowings By Counterparty         
($ in thousands)         
        Weighted  
     % of
 Average  
   Total Total
 Maturity Longest
As of November 30, 2016  Borrowings(1) Debt
 in Days Maturity
Citigroup Global Markets Inc $276,506 11.6% 10 1/5/2017
Mitsubishi UFJ Securities (USA), Inc  190,922 8.1% 29 2/14/2017
South Street Securities, LLC  178,406 7.6% 6 12/21/2016
RBC Capital Markets, LLC  168,792 7.1% 13 12/13/2016
Goldman, Sachs & Co  167,675 7.1% 15 1/23/2017
J.P. Morgan Securities LLC  160,239 6.8% 23 1/10/2017
ED&F Man Capital Markets Inc  159,388 6.8% 60 2/13/2017
Cantor Fitzgerald & Co  149,977 6.4% 50 1/23/2017
ICBC Financial Services LLC  140,196 5.9% 19 12/30/2016
Wells Fargo Bank, N.A.  138,922 5.9% 9 12/9/2016
KGS-Alpha Capital Markets, L.P.  132,172 5.6% 24 2/24/2017
Daiwa Securities America Inc.  111,201 4.7% 11 12/14/2016
Guggenheim Securities, LLC  94,674 4.0% 38 1/30/2017
Natixis, New York Branch  94,100 4.0% 10 12/21/2016
Nomura Securities International, Inc.  83,928 3.6% 16 12/29/2016
Mizuho Securities USA, Inc  57,491 2.4% 7 12/7/2016
FHLB-Cincinnati  52,731 2.2% 1 12/1/2016
Suntrust Robinson Humphrey, Inc  3,976 0.2% 9 12/9/2016
Total Borrowings $2,361,296 100.0% 21 2/24/2017
           

(1) In November 2016, the Company purchased assets with a fair value of approximately $5.1 million which settle in December 2016 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 November 30, 2016              
Adjustable Rate RMBS $2,057 6  10.05%   2.00% $ 11  $ (11)
Hybrid Adjustable Rate RMBS  45,924 74  7.55%   2.00%   757    (839)
Total Fixed Rate RMBS  2,346,784 n/a n/an/a   52,222    (60,457)
Total Pass-through RMBS  2,394,765 n/a n/an/a   52,990    (61,307)
Interest-Only Securities  61,345 n/a n/an/a   (5,990)   4,442 
Inverse Interest-Only Securities  81,472 1  6.14%n/a   4,963    (6,373)
Structured RMBS  142,817 n/a n/an/a   (1,027)   (1,931)
Total Mortgage Assets $2,537,582 n/a n/an/a $ 51,963  $ (63,238)
               
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$ 453,846 Dec-2019 $ (5,677) $ 7,375 
Treasury Futures Contracts - Short Positions  185,000 Dec-2026   (7,262)   7,016 
Payer Swaps       600,000 Feb-2020   (8,837)   8,837 
TBA Short Positions       200,000 Dec-2016   (3,672)   4,758 
Grand Total         $ 26,515  $ (35,252)
                   

(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 $125.23 at November 30, 2016.  The nominal value of the short position was $231.7 million.

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

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