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Orchid Island Capital Announces May 2017 Monthly Dividend and April 30, 2017 RMBS Portfolio Characteristics

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  • May 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of April 30, 2017

VERO BEACH, Fla., May 10, 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 May 2017. The dividend of $0.14 per share will be paid June 9, 2017, to holders of record on May 31, 2017, with an ex-dividend date of May 26, 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 May 10, 2017, the Company had 34,877,414 shares outstanding. At March 31, 2017, the Company had 34,270,126 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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 Apr 2017 CPR
Asset Category   Face     Value(1)     Price Portfolio Coupon (Reported in May)
As of April 30, 2017                      
Adjustable Rate RMBS $ 1,826   $ 1,941   $ 106.28 0.06 % 3.52 % 0.04 %
10-1 Hybrid Rate RMBS   42,613     43,676     102.49 1.35 % 2.55 % 14.25 %
Hybrid Adjustable Rate RMBS   42,613     43,676     102.49 1.35 % 2.55 % 14.25 %
15 Year Fixed Rate RMBS   44,150     46,391     105.08 1.43 % 3.50 % 7.39 %
20 Year Fixed Rate RMBS   165,257     176,310     106.69 5.43 % 4.00 % 6.60 %
30 Year Fixed Rate RMBS   2,622,106     2,828,265     107.86 87.10 % 4.44 % 7.74 %
Total Fixed Rate RMBS   2,831,513     3,050,966     107.75 93.96 % 4.40 % 7.68 %
Total Pass-through RMBS   2,875,952     3,096,583     107.67 95.37 % 4.37 % 7.78 %
Interest-Only Securities   829,553     104,424     12.59 3.22 % 3.75 % 11.31 %
Inverse Interest-Only Securities   239,135     46,012     19.24 1.42 % 5.23 % 9.72 %
Structured RMBS   1,068,688     150,436     14.08 4.63 % 4.20 % 10.95 %
Total Mortgage Assets $ 3,944,640   $ 3,247,019       100.00 % 4.36 % 8.68 %
 


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 April 30, 2017         As of April 30, 2017      
Fannie Mae $ 2,475,684 76.2 %   Whole Pool Assets $ 2,789,044 85.9 %  
Freddie Mac   763,129 23.5 %   Non Whole Pool Assets   457,975 14.1 %  
Ginnie Mae   8,206 0.3 %   Total Mortgage Assets $ 3,247,019 100.0 %  
Total Mortgage Assets $ 3,247,019 100.0 %          
                       
(1) Amounts in the tables above include assets with a fair value of approximately $184.6 million purchased in April 2017
which settle in May 2017, and exclude assets with a fair value of $118.6 million sold in April 2017, which settle in May
2017.
 


Borrowings By Counterparty                
($ in thousands)                
            Weighted    
        % of   Average    
    Total   Total   Maturity Longest  
As of April 30, 2017   Borrowings(1)   Debt   in Days Maturity  
Wells Fargo Bank, N.A. $ 421,382   14.2 %   13 5/12/2017  
Citigroup Global Markets Inc   269,230   9.0 %   37 6/16/2017  
ICBC Financial Services LLC   242,611   8.1 %   41 6/13/2017  
RBC Capital Markets, LLC   230,111   7.7 %   46 6/13/2017  
Cantor Fitzgerald & Co   229,546   7.7 %   51 6/21/2017  
Mitsubishi UFJ Securities (USA), Inc   202,629   6.8 %   78 7/17/2017  
J.P. Morgan Securities LLC   202,128   6.8 %   43 6/12/2017  
South Street Securities, LLC   172,073   5.8 %   11 5/22/2017  
ED&F Man Capital Markets Inc   151,950   5.1 %   38 6/12/2017  
Merrill Lynch, Pierce, Fenner & Smith Incorporated   149,129   5.0 %   11 5/11/2017  
KGS-Alpha Capital Markets, L.P   132,035   4.4 %   31 6/14/2017  
Goldman, Sachs & Co   128,944   4.3 %   39 6/13/2017  
Daiwa Securities America Inc.   107,517   3.6 %   17 5/19/2017  
Guggenheim Securities, LLC   81,432   2.7 %   50 6/29/2017  
FHLB-Cincinnati   81,181   2.7 %   3 5/1/2017  
Natixis, New York Branch   70,741   2.4 %   7 5/15/2017  
Nomura Securities International, Inc.   65,220   2.2 %   27 5/30/2017  
Mizuho Securities USA, Inc   44,478   1.5 %   20 5/22/2017  
Total Borrowings $ 2,982,337   100.0 %   33 7/17/2017  
                   
(1) In April 2017, the Company purchased assets with a fair value of approximately $184.6 million, which settle in May
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 April 30, 2017                    
Adjustable Rate RMBS $ 1,941 2   10.04 % 2.00 % $ 8   $ (7 )  
Hybrid Adjustable Rate RMBS   43,676 69   7.55 % 2.00 %   643     (742 )  
Total Fixed Rate RMBS   3,050,966 n/a   n/a n/a   50,067     (66,927 )  
Total Pass-through RMBS   3,096,583 n/a   n/a n/a   50,718     (67,676 )  
Interest-Only Securities   104,424 n/a   n/a n/a   (14,862 )   11,763    
Inverse Interest-Only Securities   46,012 1   6.22 % n/a   1,542     (2,956 )  
Structured RMBS   150,436 n/a   n/a n/a   (13,320 )   8,807    
Total Mortgage Assets $ 3,247,019 n/a   n/a n/a $ 37,398   $ (58,869 )  
                     
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 $ 893,750   Dec-2020 $ (15,871 ) $ 17,875    
Treasury Futures Contracts - Short Positions   465,000   Jun-2027   (15,588 )   20,003    
Payer Swaps   800,000   Mar-2022   (12,666 )   12,666    
TBA Short Positions   250,000   May-2017   (7,240 )   8,594    
Total Hedges         (51,365 )   59,138    
               
Grand Total       $ (13,967 ) $ 269    
   
(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 $125.72 at April 30, 2017.  The nominal contract value of the short  
position was $584.6 million.  
   

Contact:

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

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