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Orchid Island Capital Announces December 2017 Monthly Dividend and November 30, 2017 RMBS Portfolio Characteristics

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  • December 2017 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of November 30, 2017

VERO BEACH, Fla., Dec. 13, 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 December 2017. The dividend of $0.14 per share will be paid January 10, 2018, to holders of record on December 29, 2017, with an ex-dividend date of December 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 December 13, 2017, the Company had 51,571,065 shares outstanding. At September 30, 2017, the Company had 45,308,169 shares outstanding. 

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 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. 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 Nov 2017 CPR
Asset Category   Face   Value(1)   Price Portfolio Coupon (Reported in Dec)
As of November 30, 2017                  
Adjustable Rate RMBS $ 1,665 $ 1,768 $ 106.13 0.04 % 3.94 % 0.01 %
10-1 Hybrid Rate RMBS   40,503   41,212   101.75 1.04 % 2.55 % 6.73 %
Hybrid Adjustable Rate RMBS   40,503   41,212   101.75 1.04 % 2.55 % 6.73 %
15 Year Fixed Rate RMBS   39,763   41,340   103.97 1.04 % 3.50 % 8.90 %
20 Year Fixed Rate RMBS   298,941   315,960   105.69 7.98 % 4.00 % 3.72 %
30 Year Fixed Rate RMBS   3,202,439   3,433,875   107.23 86.78 % 4.38 % 9.25 %
Total Fixed Rate RMBS   3,541,143   3,791,175   107.06 95.81 % 4.33 % 8.78 %
Total Pass-through RMBS   3,583,311   3,834,155   107.00 96.90 % 4.32 % 8.75 %
Interest-Only Securities   716,812   88,407   12.33 2.23 % 3.76 % 13.85 %
Inverse Interest-Only Securities   270,283   34,414   12.73 0.87 % 4.29 % 9.79 %
Structured RMBS   987,095   122,821   12.44 3.10 % 3.91 % 12.74 %
Total Mortgage Assets $ 4,570,406 $ 3,956,976     100.00 % 4.30 % 9.61 %
 


           
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, 2017         As of November 30, 2017      
Fannie Mae $ 2,460,219 62.2 %   Whole Pool Assets $ 3,347,761 84.6 %
Freddie Mac   1,490,709 37.6 %   Non-Whole Pool Assets   609,215 15.4 %
Ginnie Mae   6,048 0.2 %   Total Mortgage Assets $ 3,956,976 100.0 %
Total Mortgage Assets $ 3,956,976 100.0 %          

(1)     Amounts in the tables above exclude assets with a fair value of approximately $119.0 million sold in November 2017, which settle in December 2017.

               
Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of November 30, 2017   Borrowings(1)   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 575,229   15.0 %   173 8/10/2018
Mirae Asset Securities (USA) Inc.   359,514   9.3 %   112 8/10/2018
Wells Fargo Bank, N.A.   275,257   7.1 %   11 12/11/2017
ICBC Financial Services LLC   247,114   6.4 %   13 12/13/2017
Cantor Fitzgerald & Co   242,372   6.3 %   28 1/16/2018
Citigroup Global Markets Inc   231,470   6.0 %   34 1/16/2018
Guggenheim Securities, LLC   228,125   5.9 %   29 1/12/2018
RBC Capital Markets, LLC   221,504   5.7 %   43 1/12/2018
Mizuho Securities USA, Inc   201,823   5.2 %   17 1/22/2018
Mitsubishi UFJ Securities (USA), Inc   187,974   4.9 %   48 1/22/2018
Goldman, Sachs & Co   168,481   4.4 %   17 12/29/2017
ED&F Man Capital Markets Inc   144,915   3.8 %   76 2/22/2018
South Street Securities, LLC   143,554   3.7 %   14 1/29/2018
Nomura Securities International, Inc.   135,829   3.5 %   46 1/29/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   106,155   2.7 %   9 12/13/2017
Natixis, New York Branch   105,160   2.7 %   17 12/27/2017
FHLB-Cincinnati   96,112   2.5 %   1 12/1/2017
Daiwa Securities America Inc.   70,924   1.8 %   11 12/13/2017
KGS-Alpha Capital Markets, L.P   65,704   1.7 %   101 8/14/2018
Lucid Cash Fund USG LLC   25,137   0.7 %   15 12/15/2017
ING Financial Markets LLC   17,185   0.4 %   1 12/1/2017
J.V.B. Financial Group, LLC   12,980   0.3 %   13 12/13/2017
Total Borrowings $ 3,862,518   100.0 %   58 8/14/2018

(1)     In November 2017, the Company sold assets with a fair value of approximately $119.0 million which settle in December 2017 that collateralize approximately $115.9 million of repurchase agreements 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, 2017                    
Adjustable Rate RMBS $ 1,768 6   10.05 % 2.00 % $ 12   $ (8 )
Hybrid Adjustable Rate RMBS   41,212 62   7.55 % 2.00 %   552     (632 )
Total Fixed Rate RMBS   3,791,175 n/a   n/a n/a   52,812     (76,970 )
Total Pass-through RMBS   3,834,155 n/a   n/a n/a   53,376     (77,610 )
Interest-Only Securities   88,407 n/a   n/a n/a   (13,633 )   11,368  
Inverse Interest-Only Securities   34,414 1   5.18 % n/a   2,088     (3,235 )
Structured RMBS   122,821 n/a   n/a n/a   (11,545 )   8,133  
Total Mortgage Assets $ 3,956,976 n/a   n/a n/a $ 41,831   $ (69,477 )
                     
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 $ 1,130,769   Dec-2020 $ (16,387 ) $ 18,375  
Treasury Futures Contracts - Short Positions   140,000   Mar-2018   (5,470 )   5,233  
Payer Swaps   1,010,000   Aug-2022   (13,545 )   13,545  
Payer Swaption   200,000   Sep-2025   (2,253 )   3,954  
TBA Short Positions   363,000   Jan-2018   (8,381 )   11,067  
Total Hedges         (46,036 )   52,174  
               
Grand Total       $ (4,205 ) $ (17,303 )
  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 $124.05 at November 30, 2017.  The notional contract value of the short position was $173.7 million.

Contact:

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

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