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


  • 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)           
         PercentageWeightedRealized
   Current  Fair CurrentofAverageFeb 2017 CPR
Asset Category  Face  Value(1) PricePortfolioCoupon(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
   Fairof   Fairof
Asset Category  Value(1)Portfolio Asset Category Value(1)Portfolio
As of February 28, 2017     As of February 28, 2017   
Fannie Mae $2,342,63371.7% Whole Pool Assets$2,837,92086.9%
Freddie Mac  915,91928.0% Non Whole Pool Assets 429,44513.1%
Ginnie Mae  8,8130.3% Total Mortgage Assets$3,267,365100.0%
Total Mortgage Assets $3,267,365100.0%     

(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 MaturityLongest
As of February 28, 2017  Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc $292,372 9.6% 185/30/2017
J.P. Morgan Securities LLC  280,492 9.2% 133/17/2017
Wells Fargo Bank, N.A.  248,598 8.2% 113/13/2017
ICBC Financial Services LLC  244,580 8.0% 123/15/2017
RBC Capital Markets, LLC  233,901 7.7% 133/13/2017
Cantor Fitzgerald & Co  228,962 7.5% 464/21/2017
Mitsubishi UFJ Securities (USA), Inc  207,296 6.8% 464/17/2017
South Street Securities, LLC  174,672 5.7% 73/21/2017
ED&F Man Capital Markets Inc  154,916 5.1% 365/24/2017
Goldman, Sachs & Co  150,764 5.0% 133/23/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated  150,682 5.0% 255/1/2017
KGS-Alpha Capital Markets, L.P  146,357 4.8% 235/25/2017
Guggenheim Securities, LLC  145,913 4.8% 103/14/2017
Daiwa Securities America Inc.  124,801 4.1% 133/20/2017
Natixis, New York Branch  87,219 2.9% 83/17/2017
Nomura Securities International, Inc.  69,891 2.3% 223/29/2017
FHLB-Cincinnati  54,245 1.8% 13/1/2017
Mizuho Securities USA, Inc  45,645 1.5% 123/14/2017
Total Borrowings $3,041,306 100.0% 205/30/2017

(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 WeightedWeighted Modeled Modeled
    Months AverageAverage Interest Interest
    To Next LifetimePeriodic Rate Rate
   FairCoupon Reset CapCap 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 $2,0384 10.05%2.00%$10 $(9)
Hybrid Adjustable Rate RMBS  43,96171 7.55%2.00% 679  (765)
Total Fixed Rate RMBS  3,076,209n/a n/a n/a 61,976  (76,006)
Total Pass-through RMBS  3,122,208n/a n/a n/a 62,665  (76,780)
Interest-Only Securities  96,829n/a n/a n/a (11,954) 9,238 
Inverse Interest-Only Securities  48,3281 6.22%n/a 1,921  (3,160)
Structured RMBS  145,157n/a n/a n/a (10,033) 6,078 
Total Mortgage Assets $3,267,365n/a n/a n/a$52,632 $(70,702)
            
Funding Hedges           
         Modeled Modeled
         Interest Interest
      AverageHedge Rate Rate
      NotionalPeriod 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.


            

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