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

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

VERO BEACH, Fla., Sept. 14, 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 September 2017. The dividend of $0.14 per share will be paid October 10, 2017, to holders of record on September 29, 2017, with an ex-dividend date of September 28, 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 September 14, 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 August 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. 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 Aug 2017 CPR
Asset Category   Face     Value(1)     Price   Portfolio Coupon (Reported in Sep)
As of August 31, 2017                        
Adjustable Rate RMBS $ 1,801   $ 1,916   $ 106.38   0.05 % 3.55 % 51.67 %
10-1 Hybrid Rate RMBS   41,293     42,474     102.86   1.07 % 2.55 % 3.63 %
Hybrid Adjustable Rate RMBS   41,293     42,474     102.86   1.07 % 2.55 % 3.63 %
15 Year Fixed Rate RMBS   41,541     43,943     105.78   1.10 % 3.50 % 8.41 %
20 Year Fixed Rate RMBS   284,813     304,263     106.83   7.63 % 4.00 % 2.78 %
30 Year Fixed Rate RMBS   3,171,935     3,445,250     108.62   86.43 % 4.45 % 7.76 %
Total Fixed Rate RMBS   3,498,289     3,793,456     108.44   95.16 % 4.41 % 7.36 %
Total Pass-through RMBS   3,541,383     3,837,846     108.37   96.28 % 4.39 % 7.34 %
Interest-Only Securities   765,748     91,684     11.97   2.30 % 3.75 % 15.22 %
Inverse Interest-Only Securities   361,407     56,698     15.69   1.42 % 4.44 % 10.72 %
Structured RMBS   1,127,155     148,382     13.16   3.72 % 4.02 % 13.77 %
Total Mortgage Assets $ 4,668,538   $ 3,986,228         100.00 % 4.37 % 8.89 %


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 August 31, 2017                    As of August 31, 2017        
Fannie Mae $ 2,665,070   66.9 %   Whole Pool Assets $ 3,342,352   83.8 %
Freddie Mac   1,314,175   32.9 %   Non-Whole Pool Assets            643,876   16.2 %
Ginnie Mae   6,983   0.2 %   Total Mortgage Assets  $ 3,986,228   100.0 %
Total Mortgage Assets $ 3,986,228   100.0 %            

(1) Amounts in the tables above exclude assets with a fair value of approximately $52.1 million sold in August 2017, which settle in September 2017.


                 
Borrowings By Counterparty                
($ in thousands)                
              Weighted     
        % of   Average    
    Total   Total   Maturity          Longest       
As of August 31, 2017     Borrowings    Debt   in Days   Maturity
J.P. Morgan Securities LLC $ 626,182   16.3 %   186   8/10/2018
Citigroup Global Markets Inc   365,886   9.6 %   13   9/27/2017
Mirae Asset Securities (USA) Inc.   327,518   8.6 %   149   8/10/2018
ICBC Financial Services LLC   257,159   6.8 %   17   10/12/2017
Cantor Fitzgerald & Co   246,872   6.5 %   47   10/19/2017
Wells Fargo Bank, N.A.   242,611   6.4 %   10   9/11/2017
RBC Capital Markets, LLC   224,584   5.9 %   46   10/16/2017
Mitsubishi UFJ Securities (USA), Inc   207,565   5.5 %   47   10/23/2017
South Street Securities, LLC   173,614   4.6 %   12   9/25/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated            156,925   4.1 %   17   10/2/2017
ED&F Man Capital Markets Inc   152,651   4.0 %   18   10/6/2017
Nomura Securities International, Inc.   142,671   3.8 %   54   11/15/2017
Natixis, New York Branch   135,659   3.6 %   18   9/29/2017
Guggenheim Securities, LLC   114,013   3.0 %   16   9/29/2017
Goldman, Sachs & Co   109,319   2.9 %   27   10/13/2017
FHLB-Cincinnati   101,719   2.7 %   1   9/1/2017
Daiwa Securities America Inc.   95,345   2.5 %   11   9/14/2017
KGS-Alpha Capital Markets, L.P   66,963   1.8 %   129   8/14/2018
Mizuho Securities USA, Inc   25,686   0.7 %     25   9/25/2017
Lucid Cash Fund USG LLC   24,859     0.7 %   26   9/26/2017
Total Borrowings $ 3,797,801   100.0 %   64   8/14/2018


                     
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 August 31, 2017                    
Adjustable Rate RMBS $ 1,916 8   10.04% 2.00 % $ 14   $ (13 )
Hybrid Adjustable Rate RMBS   42,474 65   7.55% 2.00 %   508     (620 )
Total Fixed Rate RMBS   3,793,456 n/a   n/a n/a   45,020     (67,203 )
Total Pass-through RMBS   3,837,846 n/a   n/a n/a   45,542     (67,836 )
Interest-Only Securities   91,684 n/a   n/a n/a   (15,035 )   14,297  
Inverse Interest-Only Securities   56,698 1   5.39% n/a   1,089     (3,274 )
Structured RMBS   148,382 n/a   n/a n/a   (13,946 )   11,023  
Total Mortgage Assets $ 3,986,228 n/a   n/a n/a $ 31,596   $ (56,813 )
                     
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 $ (11,243 ) $ 17,125  
Treasury Futures Contracts - Short Positions   115,000   Dec-2027   (4,801 )   4,207  
Payer Swaps   1,010,000   Aug-2022   (14,993 )   14,993  
Payer Swaption   100,000   Aug-2025   (582 )   1,376  
TBA Short Positions   250,000   Sep-2017   (2,053 )   2,782  
Total Hedges         (33,672 )   40,483  
               
Grand Total       $ (2,076 ) $ (16,330 )

(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 $126.98 at August 31, 2017.  The nominal contract value of the short position was $146.0 million.


Contact:

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

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