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Orchid Island Capital Announces March 2017 Monthly Dividend and February 28, 2017 RMBS Portfolio Characteristics

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  • March 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of February 28, 2017

VERO BEACH, Fla., March 08, 2017 (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 2017. The dividend of $0.14 per share will be paid April 10, 2017, to holders of record on March 31, 2017, with an ex-dividend date of March 29, 2017. 

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, 2017, the Company had 32,964,547 shares outstanding, the same number of shares outstanding as of January 31, 2016. At December 31, 2016, the Company had 32,962,919 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 2017 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, 2016.

RMBS Valuation Characteristics                      
($ in thousands)                      
                  Percentage Weighted Realized
      Current     Fair   Current of Average Feb 2017 CPR
Asset Category     Face     Value(1)   Price Portfolio Coupon (Reported in Mar)
As of February 28, 2017                      
Adjustable Rate RMBS   $ 1,919   $ 2,038   106.23   0.06 %   3.50 % 38.32 %
10-1 Hybrid Rate RMBS     42,872     43,961   102.54   1.35 %   2.55 % 3.88 %
Hybrid Adjustable Rate RMBS     42,872     43,961   102.54   1.35 %   2.55 % 3.88 %
15 Year Fixed Rate RMBS     82,190     85,642   104.20   2.62 %   3.28 % 11.02 %
20 Year Fixed Rate RMBS     239,367     255,317   106.66   7.81 %   4.00 % 6.56 %
30 Year Fixed Rate RMBS     2,546,113     2,735,250   107.43   83.72 %   4.34 % 4.67 %
Total Fixed Rate RMBS     2,867,670     3,076,209   107.27   94.15 %   4.28 % 5.01 %
Total Pass-through RMBS     2,912,461     3,122,208   107.20   95.56 %   4.26 % 5.01 %
Interest-Only Securities     760,594     96,829   12.73   2.96 %   3.71 % 10.72 %
Inverse Interest-Only Securities     246,589     48,328   19.60   1.48 %   5.45 % 10.52 %
Structured RMBS     1,007,183     145,157   14.41   4.44 %   4.29 % 10.67 %
Total Mortgage Assets   $ 3,919,644   $ 3,267,365       100.00 %   4.26 % 6.42 %


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 February 28, 2017           As of February 28, 2017      
Fannie Mae   $ 2,342,633 71.7 %   Whole Pool Assets $ 2,837,920 86.9 %
Freddie Mac     915,919 28.0 %   Non Whole Pool Assets   429,445 13.1 %
Ginnie Mae     8,813 0.3 %   Total Mortgage Assets $ 3,267,365 100.0 %
Total Mortgage Assets   $ 3,267,365 100.0 %          

(1) Amounts in the tables above include assets with a fair value of approximately $7.8 million purchased in February 2017 which settle in March 2017.

Borrowings By Counterparty                
($ in thousands)                
              Weighted  
          % of   Average  
      Total   Total   Maturity Longest
As of February 28, 2017     Borrowings(1)   Debt   in Days Maturity
Citigroup Global Markets Inc   $ 292,372   9.6 %   18 5/30/2017
J.P. Morgan Securities LLC     280,492   9.2 %   13 3/17/2017
Wells Fargo Bank, N.A.     248,598   8.2 %   11 3/13/2017
ICBC Financial Services LLC     244,580   8.0 %   12 3/15/2017
RBC Capital Markets, LLC     233,901   7.7 %   13 3/13/2017
Cantor Fitzgerald & Co     228,962   7.5 %   46 4/21/2017
Mitsubishi UFJ Securities (USA), Inc     207,296   6.8 %   46 4/17/2017
South Street Securities, LLC     174,672   5.7 %   7 3/21/2017
ED&F Man Capital Markets Inc     154,916   5.1 %   36 5/24/2017
Goldman, Sachs & Co     150,764   5.0 %   13 3/23/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated     150,682   5.0 %   25 5/1/2017
KGS-Alpha Capital Markets, L.P     146,357   4.8 %   23 5/25/2017
Guggenheim Securities, LLC     145,913   4.8 %   10 3/14/2017
Daiwa Securities America Inc.     124,801   4.1 %   13 3/20/2017
Natixis, New York Branch     87,219   2.9 %   8 3/17/2017
Nomura Securities International, Inc.     69,891   2.3 %   22 3/29/2017
FHLB-Cincinnati     54,245   1.8 %   1 3/1/2017
Mizuho Securities USA, Inc     45,645   1.5 %   12 3/14/2017
Total Borrowings   $ 3,041,306   100.0 %   20 5/30/2017

(1) In February 2017, the Company purchased assets with a fair value of approximately $7.8 million which settle in March 2017 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 February 28, 2017                      
Adjustable Rate RMBS   $ 2,038 4   10.05 % 2.00 % $ 10   $ (9 )
Hybrid Adjustable Rate RMBS     43,961 71   7.55 % 2.00 %   679     (765 )
Total Fixed Rate RMBS     3,076,209 n/a   n/a   n/a   61,976     (76,006 )
Total Pass-through RMBS     3,122,208 n/a   n/a   n/a   62,665     (76,780 )
Interest-Only Securities     96,829 n/a   n/a   n/a   (11,954 )   9,238  
Inverse Interest-Only Securities     48,328 1   6.22 % n/a   1,921     (3,160 )
Structured RMBS     145,157 n/a   n/a   n/a   (10,033 )   6,078  
Total Mortgage Assets   $ 3,267,365 n/a   n/a   n/a $ 52,632   $ (70,702 )
                       
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 $ 643,750   Dec-2020 $ (11,554 ) $ 12,875  
Treasury Futures Contracts - Short Positions   465,000   Jun-2027   (17,939 )   17,508  
Payer Swaps           700,000   Dec-2021   (9,933 )   9,933  
TBA Short Positions           447,000   Mar-2017   (9,772 )   11,755  
Total Hedges                 (49,198 )   52,071  
                       
Grand Total               $ 3,434   $ (18,631 )

(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 $124.58 at February 28, 2017.  The nominal value of the short position was $579.3 million.

Contact:

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

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