• May 2018 Monthly Dividend of $0.09 Per Share
  • RMBS Portfolio Characteristics as of April 30, 2018
  • Next Dividend Announcement Expected June 19, 2018

VERO BEACH, Fla., May 16, 2018 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of May 2018. The dividend of $0.09 per share will be paid June 8, 2018 to holders of record on May 31, 2018, with an ex-dividend date of May 30, 2018. The Company plans on announcing its next dividend after its Board meeting on June 19, 2018.

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 16, 2018, the Company had 52,160,408 shares outstanding. At March 31, 2018, the Company had 53,072,169 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 2018 are presented below. These figures are preliminary and subject to change.  The information contained herin is an intra-quarter update created by the Company based on information that the Company believes in 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, 2017.

         
MBS Valuation Characteristics        
Asset CategoryCurrent
Face
Fair ValuePercentage
of Portfolio
Current
Price
Weighted
Average
Coupon
Weighted
Average
Maturity
Realized
1-Month
CPR
April 2018
(Reported
in May)
Realized
3-Month
CPR
February
- April
2018
CPR
Hybrid/ARM         
<3yr reset$1,638$1,7280.05%105.523.95%2020.01%0.01%
3yr-5yr reset18,21118,1250.49%99.532.71%29434.15%20.56%
5yr-7yr reset8,2928,1030.22%97.722.33%3030.86%0.80%
Total Hybrid/ARM28,141 27,956 0.76%99.352.68%29122.35%13.54%
Fixed Rate RMBS         
Fixed Rate CMO150,000155,6934.21%103.804.50%2913.61%n/a 
Fixed Rate CMO Total150,000 155,693 4.21%103.804.50%2913.61%n/a 
Fixed Rate 15yr 3.53,3163,3660.09%101.523.50%12644.63%18.05%
Fixed Rate 15yr 4.0336,428348,4539.42%103.574.00%1804.83%n/a 
Fixed Rate 15yr Total339,744 351,819 9.51%103.553.99%1795.35%18.05%
Fixed Rate 20yr 4.0386,028397,88110.76%103.074.00%2347.26%5.30%
Fixed Rate 20yr Total386,028 397,881 10.76%103.074.00%2347.26%5.30%
Fixed Rate 30yr 4.0772,115791,00621.38%102.454.00%2345.12%4.28%
Fixed Rate 30yr 4.51,717,5571,805,70048.81%105.134.50%35010.35%9.15%
Fixed Rate 30yr 5.020,81022,3460.60%107.385.00%34823.50%11.71%
Fixed Rate 30yr Total2,510,482 2,619,052 70.80%104.324.35%3508.85%7.68%
Total Fixed Rate RMBS 3,386,254 3,524,445 95.28%104.084.28%3178.23%7.37%
Structured RMBS         
Interest-Only Securities777,038119,7833.24%15.423.83%28211.50%12.03%
Inverse Interest-Only Securities253,10526,9440.73%10.653.76%31111.74%10.83%
Total Structured RMBS 1,030,144 146,727 3.97%14.243.82%28711.56%10.94%
Total Mortgage Assets4,444,538 3,699,128 100.00% 4.26%3209.12%8.49%
             


      
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 April 30, 2018    As of April 30, 2018   
Fannie Mae$2,262,18461.2% Whole Pool Assets$2,757,93274.6%
Freddie Mac 1,431,25238.7% Non-Whole Pool Assets 941,19625.4%
Ginnie Mae 5,6920.1% Total Mortgage Assets$3,699,128100.0%
Total Mortgage Assets$3,699,128100.0%     
          

(1)  Amounts in the tables above include assets with a fair value of approximately $141.8 million purchased in April 2018, which settle in May 2018, and exclude assets with a fair value of approximately $130.3 million sold in April 2018, which settle in May 2018.

        
Borrowings By Counterparty       
($ in thousands)       
      Weighted 
    % of Average 
  Total Total MaturityLongest
As of April 30, 2018 Borrowings(1) Debt in DaysMaturity
J.P. Morgan Securities LLC$462,204 13.3% 758/10/2018
Mirae Asset Securities (USA) Inc. 390,061 11.3% 438/10/2018
RBC Capital Markets, LLC 268,045 7.7% 205/30/2018
Wells Fargo Bank, N.A. 231,621 6.7% 145/14/2018
Citigroup Global Markets Inc 215,375 6.2% 165/18/2018
Cantor Fitzgerald & Co 193,199 5.6% 155/15/2018
ING Financial Markets LLC 185,394 5.4% 105/11/2018
Mitsubishi UFJ Securities (USA), Inc 170,768 4.9% 247/23/2018
Guggenheim Securities, LLC 159,372 4.6% 436/13/2018
ICBC Financial Services LLC 144,374 4.2% 255/25/2018
Nomura Securities International, Inc. 130,319 3.8% 306/18/2018
KGS-Alpha Capital Markets, L.P 121,337 3.5% 468/14/2018
South Street Securities, LLC 121,227 3.5% 295/31/2018
Natixis, New York Branch 97,706 2.8% 175/25/2018
FHLB-Cincinnati 90,730 2.6% 15/1/2018
ED&F Man Capital Markets Inc 81,553 2.4% 185/23/2018
ASL Capital Markets Inc. 72,270 2.1% 777/16/2018
Mizuho Securities USA, Inc 68,283 2.0% 287/26/2018
Daiwa Securities America Inc. 67,298 1.9% 95/11/2018
Goldman, Sachs & Co 58,845 1.7% 115/11/2018
Lucid Cash Fund USG LLC 39,853 1.2% 145/14/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated 39,575 1.1% 235/30/2018
ABN AMRO Bank N.V. 38,129 1.1% 75/7/2018
J.V.B. Financial Group, LLC 18,058 0.5% 145/14/2018
Total Borrowings$3,465,596 100.0% 328/14/2018
         

(1)  In April 2018, the Company purchased assets with a fair value of approximately $141.8 million, which settle in May 2018 that are expected to be funded by repurchase agreements.  The anticipated borrowings are not included in the table above.  In addition, the Company sold assets with a fair value of approximately $130.3 million, which settle in May 2018 that collateralize approximately $132.4 million of repurchase agreements 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 April 30, 2018          
Adjustable Rate RMBS$1,7282 10.05%2.00%$6 $(5)
Hybrid Adjustable Rate RMBS 26,22856 7.59%2.00% 382  (398)
Fixed Rate RMBS 3,524,445n/a n/a n/a  71,439  (86,636)
Fixed Rate CMO 155,693n/a n/a n/a  705  (2,071)
Total Pass-through RMBS 3,552,401n/a n/a n/a  72,532  (89,110)
Interest-Only Securities 119,783n/a n/a n/a  (13,624) 9,039 
Inverse Interest-Only Securities 26,9441 5.31%n/a  3,036  (3,597)
Structured RMBS 146,727n/a n/a n/a  (10,588) 5,443 
Total Mortgage Assets$3,699,128n/a n/a n/a $61,945 $(83,667)
           
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$1,454,545 Dec-20$(20,000)$20,000 
Treasury Futures Contracts - Short Positions 165,000 Jun-18 (4,097) 4,574 
Payer Swaps 1,010,000 Aug-22 (11,933) 11,933 
Payer Swaption 750,000 Aug-28 (9,562) 20,584 
Receiver Swaption 100,000 Feb-24 1,251  (443)
TBA Short Positions 400,000 Jun-18 (12,430) 13,966 
Total Hedges    (56,771) 70,614 
        
Grand Total   $5,173 $(13,053)
          

(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)  Five year treasury futures contracts were valued at prices of $113.5 at April 30, 2018.  The notional contract value of the short position was $187.3 million.

Contact:

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