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Orchid Island Capital Announces August 2017 Monthly Dividend and July 31, 2017 RMBS Portfolio Characteristics

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  • August 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of July 31, 2017

VERO BEACH, Fla., Aug. 09, 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 August 2017. The dividend of $0.14 per share will be paid September 8, 2017, to holders of record on August 31, 2017, with an ex-dividend date of August 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 August 9, 2017, the Company had 45,303,821 shares outstanding. At June 30, 2017, the Company had 45,299,812 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 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 Jul 2017 CPR
Asset Category   Face   Value(1)   Price Portfolio Coupon (Reported in Aug)
As of July 31, 2017                  
Adjustable Rate RMBS $ 1,808 $ 1,923   106.37 0.05 % 3.52 % 0.09 %
10-1 Hybrid Rate RMBS   41,765   42,766   102.40 1.07 % 2.55 % 0.84 %
Hybrid Adjustable Rate RMBS   41,765   42,766   102.40 1.07 % 2.55 % 0.84 %
15 Year Fixed Rate RMBS   42,194   44,228   104.82 1.11 % 3.50 % 11.77 %
20 Year Fixed Rate RMBS   227,847   242,668   106.50 6.09 % 4.00 % 4.01 %
30 Year Fixed Rate RMBS   3,244,093   3,512,082   108.26 88.12 % 4.45 % 4.64 %
Total Fixed Rate RMBS   3,514,134   3,798,978   108.11 95.32 % 4.41 % 4.69 %
Total Pass-through RMBS   3,557,707   3,843,667   108.04 96.44 % 4.39 % 4.64 %
Interest-Only Securities   780,838   97,756   12.52 2.45 % 3.74 % 13.47 %
Inverse Interest-Only Securities   228,785   44,189   19.31 1.11 % 4.99 % 14.97 %
Structured RMBS   1,009,623   141,945   14.06 3.56 % 4.13 % 13.81 %
Total Mortgage Assets $ 4,567,330 $ 3,985,612     100.00 % 4.38 % 6.67 %


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 July 31, 2017         As of July 31, 2017      
Fannie Mae $ 2,656,786 66.7 %   Whole Pool Assets $ 3,409,436 85.5 %
Freddie Mac   1,321,756 33.1 %   Non-Whole Pool Assets   576,176 14.5 %
Ginnie Mae   7,070 0.2 %   Total Mortgage Assets $ 3,985,612 100.0 %
Total Mortgage Assets $ 3,985,612 100.0 %          

(1) Amounts in the tables above include assets with a fair value of approximately $6.5 million purchased in July 2017, which settle in August 2017.


               
Borrowings By Counterparty 
($ in thousands) 
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of July 31, 2017   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 731,588   19.6 %   11 8/21/2017
Citigroup Global Markets Inc   367,625   9.8 %   19 9/14/2017
ICBC Financial Services LLC   279,796   7.5 %   44 10/12/2017
Cantor Fitzgerald & Co   248,662   6.6 %   47 10/19/2017
Wells Fargo Bank, N.A.   244,886   6.5 %   10 8/11/2017
Mirae Asset Securities (USA) Inc.   229,167   6.1 %   18 9/22/2017
RBC Capital Markets, LLC   226,246   6.0 %   14 8/14/2017
Mitsubishi UFJ Securities (USA), Inc   206,554   5.5 %   78 10/23/2017
South Street Securities, LLC   174,843   4.7 %   11 8/24/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated   158,178   4.2 %   18 8/31/2017
ED&F Man Capital Markets Inc   155,908   4.2 %   20 9/22/2017
Nomura Securities International, Inc.   142,816   3.8 %   63 10/30/2017
Natixis, New York Branch   138,593   3.7 %   18 8/31/2017
Goldman, Sachs & Co   104,232   2.8 %   43 10/13/2017
Daiwa Securities America Inc.   91,518   2.4 %   12 8/14/2017
FHLB-Cincinnati   79,487   2.1 %   1 8/1/2017
KGS-Alpha Capital Markets, L.P   67,895   1.8 %   11 8/14/2017
Guggenheim Securities, LLC   51,867   1.4 %   30 9/29/2017
Lucid Cash Fund USG LLC   24,831   0.7 %   24 8/24/2017
Mizuho Securities USA, Inc   21,958   0.6 %   25 8/25/2017
Total Borrowings $ 3,746,650   100.0 %   25 10/30/2017

(1) In July 2017, the Company purchased assets with a fair value of approximately $6.5 million which settle in August 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 July 31, 2017                    
Adjustable Rate RMBS $ 1,923 1   10.04 % 2.00 % $ 15   $ (11 )
Hybrid Adjustable Rate RMBS   42,766 66   7.55 % 2.00 %   571     (669 )
Total Fixed Rate RMBS   3,798,978 n/a   n/a   n/a     53,106     (77,106 )
Total Pass-through RMBS   3,843,667 n/a   n/a   n/a     53,692     (77,786 )
Interest-Only Securities   97,756 n/a   n/a   n/a     (15,305 )   12,919  
Inverse Interest-Only Securities   44,189 1   6.22 % n/a     853     (2,235 )
Structured RMBS   141,945 n/a   n/a   n/a     (14,452 )   10,684  
Total Mortgage Assets $ 3,985,612 n/a   n/a   n/a   $ 39,240   $ (67,102 )
                     
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 $ 978,571   Dec-2020 $ (13,128 ) $ 17,125  
Treasury Futures Contracts - Short Positions   465,000   Sep-2027   (18,030 )   17,933  
Payer Swaps   950,000   May-2022   (14,422 )   14,422
 
TBA Short Positions   250,000   Aug-2017   (6,643 )   8,386  
Total Hedges         (52,223 )   57,866
 
               
Grand Total       $ (12,983 ) $ (9,236 )

(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 $125.89 at July 31, 2017.  The nominal contract value of the short position was $585.4 million.

Contact:

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

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